Results 241 to 250 of about 2,051,678 (269)

How to Measure Risk?

1999
In financial optimization, the future distribution of wealth is projected by methods of statistical estimation and simulation. For making decisions, different wealth distributions have to be compared and the optimal has to be chosen. In this paper we discuss methods of assigning measures for risk (which are to be minimized) and measures for safety ...
openaire   +3 more sources

Measuring DeFi risk

Finance Research Letters, 2022
Jeremy Bertomeu, Xiumin Martin, Ibrahima Sall   +2 more
openaire   +1 more source

Risk Measures: Value at Risk and beyond

2013
In the late 90s an increasing interest has been developing towards risk measures, in particular the Value at Risk (VaR) and the Conditional Value at Risk (CVaR). The use of such risk measures is due, on the one hand, to the rules imposed by the Basel Accord on the deposit of margins by banks and financial institutions because of the financial risks ...
Emanuela Rosazza Gianin, Carlo Sgarra
openaire   +1 more source

FIXING RISK NEUTRAL RISK MEASURES

International Journal of Theoretical and Applied Finance, 2016
In line with regulations and common risk management practice, the credit risk of a portfolio is managed via its potential future exposures (PFEs), expected exposures (EEs), and related measures, the expected positive exposure (EPE), effective expected exposure (EEE), and the effective expected positive exposure (EEPE).
openaire   +1 more source

Model risk in backtesting risk measures [PDF]

, 2014
Under the Basel II regulatory framework non-negligible statistical problems arise when backtesting risk measures. In this setting backtests often become infeasible due to a low number of violations leading to heavy size distortions. According to Escanciano and Olmo (2010, 2011) these problems persist when incorporating estimation and model risk by ...
Evers, Corinna, Rohde, Johannes
openaire   +1 more source

Risk Measurement: An Introduction to Value at Risk

1996
This paper is a self-contained introduction to the concept and methodology of "value at risk," which is a new tool for measuring an entity's exposure to market risk. We explain the concept of value at risk, and then describe in detail the three methods for computing it: historical simulation; the variance-covariance method; and Monte Carlo or ...
Linsmeier, Thomas J., Pearson, Neil D.
openaire   +2 more sources

Cancer‐related risk factors and preventive measures in US Hispanics/Latinos

Ca-A Cancer Journal for Clinicians, 2012
Vilma E Cokkinides, Priti Bandi, Rebecca L Siegel   +2 more
exaly  

Measuring Risk and Measuring Risk Aversion

2016
openaire   +1 more source

An overview of quantitative risk measures for loss of life and economic damage

Journal of Hazardous Materials, 2003
S N Jonkman, Pieter Van Gelder, J K Vrijling   +2 more
exaly  

DISTRIBUTION-INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY

Mathematical Finance, 2006

exaly