Results 11 to 20 of about 3,369,849 (301)
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
openaire +4 more sources
IEEE Access, 2021 Different capacity incentives like feed-in-tariff have been considered to encourage companies to invest in wind power units. One of the main challenges of the electricity market policymakers is the determination of this fixed payment based on limited ...
Mohammad Esmaeili +1 more
doaj +1 more source
Innovations in Insurance, Risk- and Asset Management, 2018 Monetary risk measures are usually interpreted as the smallest amount of external capital that must be added to a financial position to make it acceptable. We propose a new concept: intrinsic risk measures and argue that this approach provides a direct path from unacceptable positions towards the acceptance set.
Farkas, Walter, Smirnow, Alexander
openaire +4 more sources
CHANGING RISK-RETURN CORRESPONDENCE DURING THE COVID-19 TURMOIL: EVIDENCE FROM POLISH STOCK MARKET
Research on Enterprise in Modern Economy Theory and Practice, 2022 The article examines the impact of the shock induced by COVID-19 on the Polish stock market. As an object of research, 18 shares of companies included in the WIG20 index were taken.
Andrii Kaminskyi, Marina Nehrey
doaj +1 more source
Aspects of a Phase Transition in High-Dimensional Random Geometry
Entropy, 2021 A phase transition in high-dimensional random geometry is analyzed as it arises in a variety of problems. A prominent example is the feasibility of a minimax problem that represents the extremal case of a class of financial risk measures, among them the ...
Axel Prüser, Imre Kondor, Andreas Engel
doaj +1 more source
Review of Financial Studies, 2010 We present a simple model of systemic risk and we show that each financial institution's contribution to systemic risk can be measured as its systemic expected shortfall (SES), i.e., its propensity to be undercapitalized when the system as a whole is undercapitalized.
Viral V. Acharya +3 more
openaire +5 more sources
Risk Measurement Method for Privilege Escalation Attacks on Android Apps Based on Process Algebra
Information, 2020 On the Android platform, information leakage can use an application-layer privilege escalation attack composed of multi-app collusion. However, the detection effect of a single app that can construct privilege escalation attacks is not good. Furthermore,
Limin Shen +5 more
doaj +1 more source
Operations Research, 2022 One of the mantras of risk measurement is the avoidance of risk concentration. However, most formal approaches to the topic actually require more than this. In “Star-Shaped Risk Measures,” Castagnoli, Cattelan, Maccheroni, Tebaldi, and Wang study this property “in purity” for monetary risk measures.
Erio Castagnoli +4 more
openaire +2 more sources
Towards a Topological Representation of Risks and Their Measures
Risks, 2018 In risk theory, risks are often modeled by risk measures which allow quantifying the risks and estimating their possible outcomes. Risk measures rely on measure theory, where the risks are assumed to be random variables with some distribution function ...
Tomer Shushi
doaj +1 more source
, 2011 This paper gives an overview of the theory of dynamic convex risk measures for random variables in discrete time setting. We summarize robust representation results of conditional convex risk measures, and we characterize various time consistency properties of dynamic risk measures in terms of acceptance sets, penalty functions, and by supermartingale ...
Beatrice Acciaio, Irina Penner
openaire +2 more sources