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On Dynamic Measures of Risk [PDF]
SSRN Electronic Journal, 1998 The paper deals with the situation when in a complete continuous-time financial market an agent starts with initial capital \(x\) less than the amount \(C(0)=E[C/S_0(T)]\) required for perfect hedging the liability (without risk) at terminal time \(t=T\).
Ioannis Karatzas, Jaksa Cvitanic
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On Coherent Risk Measures Induced by Convex Risk Measures
Methodology and Computing in Applied Probability, 2017zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Chen, Zhiping, Hu, Qianhui
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Journal of Banking & Finance, 2002
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zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Mathematical Finance, 1999
In this paper we study both market risks and nonmarket risks, without complete markets assumption, and discuss methods of measurement of these risks. We present and justify a set of four desirable properties for measures of risk, and call the measures satisfying these properties “coherent.” We examine the measures of risk provided and the related ...
Artzner, Philippe +3 more
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In this paper we study both market risks and nonmarket risks, without complete markets assumption, and discuss methods of measurement of these risks. We present and justify a set of four desirable properties for measures of risk, and call the measures satisfying these properties “coherent.” We examine the measures of risk provided and the related ...
Artzner, Philippe +3 more
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The Journal of Risk Model Validation, 2008 Model risk as part of the operational risk is a serious problem for financial institutions. As the pricing of derivatives as well as the computation of the market or credit risk of an institution depend on statistical models the application of a wrong model can lead to a serious overor underestimation of the institution’s risk.
Sibbertsen, Philipp +2 more
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, 2013 In this paper we present systemic risk measures based on contingent claims approach, banking sector multivariate density and cluster analysis. These indicators aim to capture credit risk stress and its potential to become systemic. The proposed measures capture not only individual bank vulnerability, but also the stress dependency structure between ...
Solange Maria Guerra +3 more
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1981
The Thirteenth Rochester International Conference on Environmental Toxicity examined both the logical soundness of the inference of risk and the validity of the experimental evidence of damage. Examples were drawn from current research by the participants on environmental hazards of toxic chemicals and ionizing radiation.
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The Thirteenth Rochester International Conference on Environmental Toxicity examined both the logical soundness of the inference of risk and the validity of the experimental evidence of damage. Examples were drawn from current research by the participants on environmental hazards of toxic chemicals and ionizing radiation.
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