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FIXING RISK NEUTRAL RISK MEASURES
International Journal of Theoretical and Applied Finance, 2016In 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).
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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
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Risk Measurement: An Introduction to Value at Risk
1996This 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.
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Cancer‐related risk factors and preventive measures in US Hispanics/Latinos
Ca-A Cancer Journal for Clinicians, 2012Priti Bandi
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On Kusuoka Representation of Law Invariant Risk Measures
Mathematics of Operations Research, 2013Alexander Shapiro
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DISTRIBUTION-INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY
Mathematical Finance, 2006exaly
An overview of quantitative risk measures for loss of life and economic damage
Journal of Hazardous Materials, 2003J K Vrijling +2 more
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