Results 11 to 20 of about 442,095 (213)

Alexander McNeil, Rüdiger Frey, Paul Embrechts (2005): “Quantitative Risk Management”, Princeton Series in Finance, $79.50.-. [PDF]

Financial Markets and Portfolio Management, 2006
Süss, Stephan
openaire   +3 more sources

A Non-Gaussian Approach to Risk Measures [PDF]

, 2006
Reliable calculations of financial risk require that the fat-tailed nature of prices changes is included in risk measures. To this end, a non-Gaussian approach to financial risk management is presented, modeling the power-law tails of the returns ...
Bacry, Borland, Borland, Bouchaud, Efron, Enrica Cisana, Gell-Mann, Giacomo Bormetti, Goldstein, Guido Montagna, Heikkinen, Heston, Hill, Jorion, Kamdem, Mandelbrot, Mantegna, Mantegna, Mattedi, McNeil, Mina, Nelson, Oreste Nicrosini, Pafka, Press, Tsallis   +25 more
core   +2 more sources

A Survey of Systemic Risk Analytics [PDF]

, 2012
We provide a survey of 31 quantitative measures of systemic risk in the economics and finance literature, chosen to span key themes and issues in systemic risk measurement and management.
Bisias, Dimitrios, Flood, Mark, Lo, Andrew W., Valavanis, Stavros   +3 more
core   +1 more source

The optimal use of return predictability : an empirical study [PDF]

, 2011
In this paper we study the economic value and statistical significance of asset return predictability, based on a wide range of commonly used predictive variables.
Abhay Abhyankar, Alexander Stremme, Cochrane, Devraj Basu   +3 more
core   +2 more sources

WARNING: Physics Envy May Be Hazardous To Your Wealth! [PDF]

, 2010
The quantitative aspirations of economists and financial analysts have for many years been based on the belief that it should be possible to build models of economic systems - and financial markets in particular - that are as predictive as those in ...
A Blinder, A Damasio, A Hull, A Khandani, A Khandani, A Lo, A Lo, A Lo, A Lo, A Lo, A Lo, A Lo, Andrew W. Lo, B Lehmann, C Lloyd, D Crane, D Duffie, D Farmer, D Farmer, D Li, E Lorenz, E Peters, E Rolls, E Sirri, F Knight, F Reif, F Salmon, G Debreu, G Debreu, G Gigerenzer, G Loewenstein, H Scarf, H Theil, H White, J Bouchaud, J Caouette, J Coffee, J Elster, J Hamilton, J Hamilton, J Hawkins, J Lintner, J Muth, J Nash, J Satow, J Stiglitz, J Stiglitz, J Tinbergen, J Tobin, J Von Neumann, Kenneth Arrow, L Klein, L Pickard, M Gitterman, Mark T. Mueller, N Taleb, P Cootner, P Diaconis, P Samuelson, P Samuelson, P Samuelson, R Lucas, R Mantegna, R Mantegna, R Merton, R Merton, R Solow, S Grossberg, S Labaton, S Weinberg, S Woodward, Steven H Strogatz, T Brennan, T De Jong, T Masters, T Philippon, W Sharpe   +76 more
core   +3 more sources

What is the best risk measure in practice? A comparison of standard measures [PDF]

, 2015
Expected Shortfall (ES) has been widely accepted as a risk measure that is conceptually superior to Value-at-Risk (VaR). At the same time, however, it has been criticised for issues relating to backtesting.
Emmer, Susanne, Kratz, Marie, Tasche, Dirk   +2 more
core   +1 more source

Does Intellectual Capital Affect the Volatility of Returns? An Empirical Investigation on Italian Listed Companies [PDF]

, 2017
In modern information economies, economic success increasingly depends on the ability to apply knowledge and to transform it into firm value. While intellectual capital plays a critical role in firm success, it is an intangible asset that is difficult to
Cantrell, Brett W., Coluccia, Daniela, Fontana, Stefano, Solimene, Silvia   +3 more
core   +1 more source

Handbook of Quantitative Finance and Risk Management [PDF]

, 2010
Quantitative finance is a combination of economics, accounting, statistics, econometrics, mathematics, stochastic process, and computer science and technology. Increasingly, the tools of financial analysis are being applied to assess, monitor, and mitigate risk, especially in the context of globalization, market volatility, and economic crisis.
openaire   +1 more source

Theoretical Sensitivity Analysis for Quantitative Operational Risk Management

, 2017
We study the asymptotic behavior of the difference between the values at risk VaR(L) and VaR(L+S) for heavy tailed random variables L and S for application in sensitivity analysis of quantitative operational risk management within the framework of the ...
Böcker C., Degen M., Embrechts P., Garman M., Kato T., McNeil A. J., TAKASHI KATO, Tasche D.   +7 more
core   +1 more source

Political risk in light rail transit PPP projects [PDF]

, 2008
Since 2003 public-private partnerships (PPPs) have represented between 10 and 13.5% of the total investment in public services in the UK. The macro-economic and political benefits of PPPs were among the key drivers for central government's decision ...
Al-Tabtabai H., Allen G., Gannon M. J., Gannon M. J., Gannon M. J., Gannon M. J., Kettis M., Loosemore M., M. Gannon, Merna A., Micallef J. V., N. J. Smith, National Audit Office, Robock S. H., Rummel R. J., Simon J. D.   +15 more
core   +1 more source