risk measure
How Superadditive Can a Risk Measure Be?
... extreme-aggregation measure induced by common risk measures and find that it is in fact coherent in cases of ...distortion risk measures (Yaari, 1987; Wang et ...Distortion risk measures ...
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Financial Portfolios based on Tsallis Relative Entropy as the Risk Measure
... a risk measure which is not bound by the constraints of ...such risk measure. In statistical mechanics, entropy is a measure of the number of unknown microscopic configurations of a ...
22
Multiportfolio Optimization with CVaR Risk Measure
... a risk measure is taken into consideration in the model, the problem becomes nonconvex, plus if the size of the question is large, then even the state-of-the art NLP solvers would have difficulties finding ...
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Higher Order Risk Measure and (Higher Order) Stochastic Dominance
... In this paper, we will develop properties for the (n + 1)-order SD with the Kappa ratio with subscript n. As far as we know, our paper is the first paper establishing the relationships between high-order risk ...
12
Allocation of risk capital based on iso-entropic coherent risk measure
... a risk capital allocation problem. One is to quantify the risk of the portfolio and its subportfolios with a good risk measure ...the risk capital to each subportfolios ...good ...
24
A Research on the Risk Measure of Chinese Copper Futures Market Based on VaR
... VaR risk measure of the asset ...VaR risk measure is not compatible, because of that the diversification will not necessarily spread ...
8
Portfolio Optimization with Reward-Risk Ratio Measure based on the Conditional Value-at-Risk
... the risk- free investment ...type risk measure. Exactly the deviation type of risk measure must be used, ...CVaR risk-reward ratio optimization to an LP model and taking ...
6
Conditional Value at Risk for Random Immediate Reward Variables in Markov Decision Processes
... new risk measure for each policy using condi- tional value-at-risk for random immediate reward vari- ables, under whose risk measure criteria the optimization will be done, ...
6
Using mammographic density to predict breast cancer risk: dense area or percentage dense area
... s measure expressed in terms of number of standard deviations above or below the mean could be derived, as well as her predicted future breast cancer ...risk. Measure- ment of dense area is currently ...
7
Optimal Reciprocal Reinsurance under GlueVaR Distortion Risk Measures
... Distortion risk measure or distorted expectation ) A distortion function is a non-decreasing function g : 0,1 [ ] [ ] → 0,1 such that g ( ) 0 = 0 and g ( ) 1 1 = ...distortion risk measure or ...
14
Risk measurement in the presence of background risk
... that risk measure, it is possible to capture the impact of background risk on preferences, given that these preferences are captured by a distortion risk ...background risk increases ...
28
Cascade Sensitivity Measures
... In risk analysis, sensitivity measures quantify the extent to which the probability distri- bution of a model output is affected by changes (stresses) in individual random input ...sensitivity measure, ...
40
Tradable measure of risk
... of Risk as an objective and model independent way of measuring ...of risk measurement, such as the standard Value-at-Risk supported by BASEL II, are based on subjective assumptions of future ...a ...
19
Parameter uncertainty and residual estimation risk
... study risk measurement procedures, but from a perspective that is complementary to that of Cont et ...a risk measure that is positive homogeneous, translation in- variant, and law ...used risk ...
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New Class of Distortion Risk Measures and Their Tail Asymptotics with Emphasis on VaR
... A risk measure ρ is a mapping from the set of random variables , standing for risky portfolios of assets and/or liabilities, to the real line R ...Distortion risk measures are a particular and most ...
27
Coherent risk measures, reserving, and transaction costs
... Coherent risk measures (CRMs) were introduced in [Artzner et ...at Risk (a coherent risk measure unlike the widely-used Value at Risk (VaR)measure, which is not coherent) for re- ...
105
Market risk of developed and developing countries during the global financial crisis
... used risk measure Value-at- Risk (VaR) across a large sample of developed and developing ...a measure of risk is much worse for developed countries than the developing ones during our ...
23
Market Discipline of Subordinated Debt: Empirical Evidence from Japanese Commercial Banks
... the risk preference of the ...high risk borrowers for high return, and then defaulted loan would nec- essarily ...take risk, then only very good credits could get loans from the ...high risk ...
5
Basel II, External Ratings and Adverse Selection
... There exists a certain controversy about the use of unsolicited ratings since rating agencies can use them to put pressure on firms to pay for a solicited rating. “Rating agencies argue that they are responsible for the ...
33
Managing Hurricane (And Other Natural Disaster) Risk
... perfect risk management world, markets send clear signals to market participants, and these participants react by always making benefit-optimizing ...post risk management activities are not perfectly ...to ...
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