Risk Measures
Characterization and Construction of Sequentially Consistent Risk Measures
... regulators. Risk measures are essential tools for quantifying financial ...Static risk measures, where un- certainty is resolved over a single period, have been extensively studied, see for ...
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Risk measures and economic capital for (re)insurers
... or risk capital held by a (re)insurer corresponds to the level of safely invested assets used to protect itself against unexpected volatility of its portfolio’s ...of risk measures in the ...
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On a relationship between distorted and spectral risk measures
... of risk measures, the difference is the properties that ...risk measures. We shall establish an equivalence between spectral risk measures, a special class of risk ...
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Dynamic capital allocation with distortion risk measures
... Tsanakas and Barnett (2002) employed concepts from cooperative game theory (Aumann and Shapley, 1974) for the allocation of risk capital to portfolios of pooled liabilities, when distortion risk ...
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Risk measures for Skew Normal mixtures
... Finite mixtures of Skew distributions have become increasingly popular in the last few years as a flexible tool for handling data displaying several different characteristics such as multimodality, asymmetry and ...
10
Extremes for coherent risk measures
... Non-parametric inferences for MES are present in Cai et al. (2015) via statistical extreme method- ologies. See also Kulik and Soulier (2015), which shows that the model of Cai et al. (2015) can be enlarged ...
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Sensitivity analysis using risk measures
... output risk measure, in the direction of model ...distortion risk measures, defined as weighted averages of output percentiles, and prove a representation of the sensitivity measure that can be ...
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Coherent risk measures, reserving, and transaction costs
... Such risk measures induce a set of claims X that are acceptable: the set of claims X for which no additional capital is required to take on claim X, ...a risk measure based on that ...probability ...
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The Impact Made on Project Portfolio Optimisation by the Selection of Various Risk Measures
... at Risk is that it provides quantitative benchmarks, which enables the estimation of interdependent fat tails and abnormal ...a risk constraint, while Yiu (2004) found it would result in the reduction of ...
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RISK MEASURES AND THE RISK-RETURN PARADOX: AN ANALYSIS IN THE CONTEXT OF THE ECONOMIC CRISIS
... variability measures, behavioral decision theory suggests that this approach may not reflect managers’ and investors’ conceptualizations of ...downside risk, ...side risk measures that include ...
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Risk measures on P(R) and value at risk with probability/loss function
... considering risk measures defined directly on the set of distribution functions is not new and it was already adopted by Weber ...quasi-convex risk measures based—as the above mentioned map—on ...
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Risk Measures and Capital Allocation
... standard risk measure among practitioners in the financial market, it has many deficiencies and inconsistencies when applied in real life ...coherent risk measures defined in Definition ...
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VaR Risk Measures versus Traditional Risk Measures: an Analysis and Survey
... VaR measures and traditional measures of risk in order to place these popular risk measures in the entire map of risk ...for risk management purposes, is at least as good ...
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The association between accounting and market-based risk measures
... stock risk are theoretically sound more recent evidence questions the robustness of these ...systematic risk and DOL (the opposite of Mandelker and Rhee’s ...leverage measures, included to test ...
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Evaluating the Precision of Estimators of Quantile Based Risk Measures
... because risk practitioners would not usually work with sample sizes that are less than 1 trading year or more than 8 trading ...our risk measures ...ES risk measures, and values for the ...
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Risk Measures and Nonlinear Expectations
... convex risk measures, Choquet expectation and Peng’s g-expectation are all generalizations of mathe- matical ...these risk measures and ...convex risk measures, and Choquet ...
9
On a relationship between distorted and spectral risk measures
... spectral risk measure as well as that of a distortion ...these measures. In section 3 we establish the equivalence between spectral risk measures and coherent distorted risk ...spectral ...
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Exponential Spectral Risk Measures
... spectral risk measures based on an exponential utility ...to risk-aversion functions and spectral risk measures with intuitive and nicely behaved ...
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Risk measures and theories of choice
... of risk measures is by definition normative rather than ...that risk measures derived from generalised expected utility get this balance about ...a risk measure to negate these factors; ...
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On representing claims for coherent risk measures
... Recent work on trading with transaction costs by Kabanov, Stricker, Rasonyi, Jouini, Kallal, Delbaen, Valkeila and Schachermayer, amongst others ([13], [14], [12], [8], [18]), lead to a necessary and sufficient condition ...
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