Results 11 to 20 of about 1,839,327 (268)
IEEE AccessAssessing the financial risks is an essential component of portfolio management. This assessment involves the employment of one or more risk measures, i.e., quantitative coefficients employed to capture how risky a portfolio is.
Adriano Chaves Lisboa +8 more
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Journal of Informetrics, 2023 Risk plays a fundamental role in scientific discoveries, and thus it is critical that the level of risk can be systematically quantified. Knowledge recombination is an important route to generating new knowledge, but it often fails. We propose a novel approach to measuring risk involved in this discovery process. Drawing on machine learning and natural
Deyun Yin, Zhao Wu, Sotaro Shibayama
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Measures of Systemic Risk [PDF]
SIAM Journal on Financial Mathematics, 2017 35 pages, 11 ...
Zachary Feinstein +2 more
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SHAREHOLDER RISK MEASURES [PDF]
Mathematical Finance, 2016 AbstractThe aim of this paper is to put forward a new family of risk measures that could guide investment decisions of private companies. But at the difference of the classical approach of Artzner, Delbaen, Eber, and Heath and the subsequent extensions of this model, our risk measures are built to reflect the risk perception of shareholders rather than
Rochet, Jean-Charles, Coculescu, Délia
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Journal of Business & Economic Statistics, 2013 We propose a bootstrap-based test of the null hypothesis of equality of two firms’ conditional risk measures (RMs) at a single point in time. The test can be applied to a wide class of conditional risk measures issued from parametric or semiparametric models.
Hurlin, Christophe +3 more
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Innovations in Insurance, Risk- and Asset Management, 2018 Monetary risk measures classify a financial position by the minimal amount of external capital that must be added to the position to make it acceptable. We propose a new concept: intrinsic risk measures. The definition via external capital is avoided and only internal resources appear.
Farkas, Walter, Smirnow, Alexander
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Optimal Deterministic Investment Strategies for Insurers
Risks, 2013 We consider an insurance company whose risk reserve is given by a Brownian motion with drift and which is able to invest the money into a Black–Scholes financial market.
Ulrich Rieder, Nicole Bäuerle
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The Journal of Finance and Data Science, 2022 Value at risk (VaR) and expected shortfall (ES) are common high quantile-based risk measures adopted in financial regulations and risk management. In this paper, we propose a tail risk measure based on the most probable maximum size of risk events (MPMR) that can occur over a length of time.
Kan Chen, Tuoyuan Cheng
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Liquidity, Risk Measures, and Concentration of Measure [PDF]
Mathematics of Operations Research, 2018 This paper studies curves of the form (ρ(λX))λ≥0, called risk profiles, where ρ is a convex risk measure and X a random variable. Financially, this captures the sensitivity of risk to the size of the investment in X, which the original axiomatic foundations of convex risk measures suggest to interpret as liquidity risk.
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Miara rentowności kapitału skorygowanego o ryzyko w zarządzaniu ryzykiem kredytowym w banku
Problemy Zarządzania, 2013 The activity in conditions of credit risk has a specific place in each banks’ performance. There is no way of imagining bank’s functioning on financial services market without its stable development.
Jerzy P. Gwizdała
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