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Risk measure
Var and Other Risk Measures
Comparative Analyses of Expected Shortfall and Value-At-Risk Under Market Stress1
Divergence-Based Risk Measures: a Discussion on Sensitivities and Extensions
G-Expectations with Application to Risk Measures
Towards a Topological Representation of Risks and Their Measures
A Discussion on Recent Risk Measures with Application to Credit Risk: Calculating Risk Contributions and Identifying Risk Concentrations
Subadditivity Re–Examined: the Case for Value–At–Risk∗
Are Quantile Risk Measures Suitable for Risk-Transfer Decisions?∗
Convex Risk Measures: Basic Facts, Law-Invariance and Beyond, Asymptotics for Large Portfolios
Risk Measures in Quantitative Finance
The Proper Use of Risk Measures in Portfolio Theory
What Is the Best Risk Measure in Practice? a Comparison of Standard Measures
Mathematics of Risk Measures and the Measures of the Basel Committee
Financial Risk Forecasting Chapter 4 Risk Measures
An Axiomatic Foundation for the Expected Shortfall
Market Risk Measurement, Beyond Value at Risk
1 a RISK MEASURE THAT GOES BEYOND COHERENCE Shaun S. Wang, Ph.D., FCAS, ASA SCOR Reinsurance Co. One Pierce Place, Itasca, IL US
Arxiv:2010.09937V2 [Q-Fin.RM] 20 Mar 2021 Are Present
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1 Shortfall Deviation Risk
Messages from the Academic Literature on Risk Measurement for the Trading Book
A Survey of Financial Risk Measurement Shuang-Qing Pan* College of Applied Science and Technology, Quanzhou Normal University, P.R
Risk Measurement with Equivalent Utility Principles
Value at Risk and Expected Shortfall: a Comparative Analysis of Performance in Normal and Crisis Markets
Covar" Tobias Adrian# Federal Reserve Bank of New York Markus K. Brunnermeier* Princeton University This Version: September
Financial Risk Measurement for Financial Risk Management
Coherent Measures of Risk
Coherence of Expected Shortfall
On the Validity of Value-At-Risk: Comparative Analyses with Expected Shortfall
Shortfall As a Risk Measure: Properties and Optimization
Risk Measures
Quantifying Regulatory Capital for Operational Risk
Value-At-Risk, Expected Shortfall, and Expectiles
Spectral Risk Measures and Uncertainty Arxiv:1905.07716V1 [Q
Chapter 5: Measuring Risk–Introduction
Arxiv:1808.07339V2 [Q-Fin.MF] 4 May 2021 Nlss N Ikpiig E ..Mni Ta.[ Al
An Introduction to Risk Measures for Actuarial Applications