Results 11 to 20 of about 5,312,301 (290)
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
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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
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Dispersion measures as immunization risk measures [PDF]
, 2002 The quadratic and linear cash flow dispersion measures M2 and Ñ are two immunization risk measures designed to build immunized bond portfolios. This paper generalizes these two measures by showing that any dispersion measure is an immunization risk ...
Balbás, Alejandro +2 more
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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
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Risks, 2019 In this paper, the generalized Pareto distribution (GPD) copula approach is utilized to solve the conditional value-at-risk (CVaR) portfolio problem.
Nader Trabelsi, Aviral Kumar Tiwari
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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
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Grouped Normal Variance Mixtures
Risks, 2020 Grouped normal variance mixtures are a class of multivariate distributions that generalize classical normal variance mixtures such as the multivariate t distribution, by allowing different groups to have different (comonotone) mixing distributions.
Erik Hintz +2 more
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Interval Estimation of Value-at-Risk Based on Nonparametric Models
Econometrics, 2018 Value-at-Risk (VaR) has become the most important benchmark for measuring risk in portfolios of different types of financial instruments. However, as reported by many authors, estimating VaR is subject to a high level of uncertainty.
Hussein Khraibani +2 more
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, 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
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On the existence of an optimal estimation window for risk measures
Applied Finance Letters, 2015 We investigate whether there can exist an optimal estimation window for financial risk measures. Accordingly, we propose a procedure that achieves optimal estimation window by minimizing estimation bias.
Marcelo Brutti Righi +1 more
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