Results 11 to 20 of about 438,264 (227)

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

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

Regularizing Portfolio Optimization [PDF]

, 2009
The optimization of large portfolios displays an inherent instability to estimation error. This poses a fundamental problem, because solutions that are not stable under sample fluctuations may look optimal for a given sample, but are, in effect, very far
Acerbi C, Acerbi C Nordio C Sirtori C, Bengio Y, Bertsekas D P, Bordes A, Bottou L, Bouchaud J-Ph, Burda Z, Chopra V K, DeMiguel V, Elton E J, Embrechts P, Frahm G, Frahm G Memmel Ch, Gulyas N Kondor I, Imre Kondor, Jobson J D, Jorion P, Kempf A, Kondor I Varga-Haszonits I, Macrae R, Markowitz H, Morgan J P Reuters Riskmetrics, Perez-Cruz F, Potters M, Rockafellar R T, Schölkopf B, Schölkopf B, Susanne Still, Tibshirani R, Vanderbei R J, Vapnik V, Vapnik V, Vapnik V, Varga-Haszonits I   +34 more
core   +2 more sources

Efficient pricing algorithms for exotic derivatives [PDF]

, 2008
Since the Nobel-prize winning papers of Black and Scholes and Merton in 1973, the derivatives market has evolved into a multi-trillion dollar market. Structures which were once considered as exotic are now commonplace, appearing in retail products such
Lord, R. (Roger)
core   +6 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

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

Fokus Brasilien - Vor den Wahlen am 3. Oktober 2010 [PDF]

, 2010
Project finance is a financing arrangement for projects, and it is characterised by the creation of a legally independent project company financed with non- or limited recourse loans. It is observed that the popularity of project finance is increasing in
Erkens, Rainer
core  

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