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Bayesian Methods for Measuring Operational Risk [PDF]
SSRN Electronic Journal, 2000 The likely imposition by regulators of minimum standards for capital to cover 'other risks' has been a driving force behind the recent interest in operational risk management. Much discussion has been centered on the form of capital charges for other risks. At the same time major banks are developing models to improve internal management of operational
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Methods for generating coherent distortion risk measures
Annals of Actuarial Science, 2018AbstractThis paper presents methods for generating new distortion functions utilising distribution functions and composite distribution functions. To ensure the coherency of the corresponding distortion risk measures, the concavity of the proposed distortion functions is established by restricting the parameter space of the generating distribution ...
Ranadeera G.M. Samanthi +1 more
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Extended saddlepoint methods for credit risk measurement
The Journal of Computational Finance, 2016We propose a new method that extends the saddlepoint approximation to allocate credit risk. This method applies a Taylor expansion to the inverse Laplace transform around an arbitrary point to characterize the loss distribution of a portfolio. It is based on Hermite polynomials.
Rubén García-Céspedes, Manuel Moreno
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Substituting one risk increase for another: A method for measuring risk aversion
Journal of Economic Theory, 2013zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Liu, Liqun, Meyer, Jack
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A Bayesian method for measuring risk propensity in the Balloon Analogue Risk Task
Behavior Research Methods, 2021The Balloon Analogue Risk Task (BART) is widely-used to measure risk propensity in theoretical, clinical, and applied research. In the task, people choose either to pump a balloon to increase its value at the risk of the balloon bursting and losing all value, or to bank the current value of the balloon.
Jeff, Coon, Michael D, Lee
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ENTERPRISE RISK MANAGEMENT MEASUREMENT METHOD
Proceedings of the 23rd International Academic Conference, Venice, 2016Enterprise Risk Management (ERM) is seen as an holistic approach to ensure a good risk management strategy for companies to help minimise potential pitfalls and improve long term business sustainability. However questions still arise whether ERM implementation impacts on a firm's performance.
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The Risk-Point Method for Measuring and Controlling Yield Curve Risk
Financial Analysts Journal, 1995The duration of a fixed-income asset (or liability) is a measure of its price sensitivity relative to its own yield. It is well recognized that duration fails to capture the exposure of a portfolio to changes in the shape of the yield curve. This form of interest rate risk, referred to as yield curve risk, can be significant in portfolios containing ...
Ravi E. Dattatreya, Frank J. Fabozzi
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2006
Market risk is a complex subject with multiple dimensions and implications for electricity business activity. Analytical risk measures such as traditional Greek measures or high-order and cross-sensitivities allow us to control in detail market risk, but sometimes these analytical risk measures are too technical to be understood by non-technical staff ...
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Market risk is a complex subject with multiple dimensions and implications for electricity business activity. Analytical risk measures such as traditional Greek measures or high-order and cross-sensitivities allow us to control in detail market risk, but sometimes these analytical risk measures are too technical to be understood by non-technical staff ...
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Taylor Expansion Based Methods to Measure Credit Risk
SSRN Electronic Journal, 2014This paper explores the accuracy of the Taylor expansion based approximations to measure the credit risk loss distribution of the Spanish financial system. We also evaluate the accuracy of the risk allocation under VaR and expected shortfall (ES) criteria obtained with the Taylor expansion based approximations. Finally, we develop two random recoveries
Rubbn Garcca-CCspedes, Manuel Moreno
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