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The present review of (financial) risk measures, prepared for the Encyclopaedia of Actuarial Science, first distinguishes two conceptions of risk. Risk of the first kind conceives risk as the magnitude of (one- or two-sided) deviations from a target ...
Anja Blatter +3 more
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Systemic risk: Conditional distortion risk measures [PDF]
Insurance: Mathematics and Economics, 2022 In this paper, we introduce the rich classes of conditional distortion (CoD) risk measures and distortion risk contribution ($ $CoD) measures as measures of systemic risk and analyze their properties and representations. The classes include the well-known conditional Value-at-Risk, conditional Expected Shortfall, and risk contribution measures in ...
Dhaene, Jan +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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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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Zhongguo shipin weisheng zazhi, 2020 Objective To evaluate the effect of friction behavior on migration levels of metal elements from stainless-steel articles for food contact. Methods The migration levels of metal elements from used and new stainless-steel articles were compared according ...
Jingjing PAN +7 more
doaj +1 more source
Generalized Johnson Distributions and Risk Functionals
Mathematics, 2022 In this paper, we study the generalized Johnson distributions’ class and its applications in finance and risk theory. The recent literature on Johnson distributions displays a better gooodness of fitting for data coming from financial markets, such as ...
Christos Floros +2 more
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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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Dependence Analysis of the ISE100 Banking Sector Using Vine Copula
İstanbul İktisat Dergisi, 2023 The frequently observed time-varying trends and dependence in recent years within financial markets have been essential for modeling and pricing. This study aims to analyze the dependence structure of banking sector stocks traded on the ISE100 index ...
Bükre Yıldırım Külekci +3 more
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Stylized facts, volatility dynamics and risk measures of cryptocurrencies
Journal of Business Economics and Management, 2023 This study explores the stylized facts, volatility clustering, other highly irregular behaviour, and risk measures of cryptocurrencies’ returns. By analysing bitcoin, ripple, and ethereum daily data we establish evidence of strong dependencies among ...
Rasa Bruzgė +5 more
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Portfolio optimization with structured products under return constraint [PDF]
Yugoslav Journal of Operations Research, 2015 A new approach for optimizing risk in a portfolio of financial instruments involving structured products is presented. This paper deals with a portfolio selection model which uses optimization methodology to minimize conditional Value-at-Risk ...
Baweja Meena, Saxena Ratnesh R.
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