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搜索结果: 1-15 共查到理论经济学 Risk Measures相关记录21条 . 查询时间(0.14 秒)
In order to evaluate the quality of the scientific research, we introduce a new family of scientific performance measures, called Scientific Research Measures (SRM). Our proposal originates from the m...
When estimating the risk of a P&L from historical data or Monte Carlo simulation, the robustness of the estimate is important. We argue here that Hampel's classical notion of qualitative robustness is...
We provide a dual representation of quasiconvex conditional risk measures $% \rho $ defined on $L^{0}$ modules of the $L^{p}$ type. This is a consequence of more general result which extend the usual ...
The paper concerns primal and dual representations as well as time consistency of set-valued dynamic risk measures. Set-valued risk measures appear naturally when markets with transaction costs are co...
A proper framework for measuring and mitigating risk in dynamic settings is of utmost importance, on both a practical, as well as a theoretical level. In recent years, coherent risk measures have eme...
We discuss two distinct approaches, for distorting risk measures of sums of dependent random variables, which preserve the property of coherence. The first, based on distorted expectations, operates ...
Based on a criterium of mathematical simplicity and consistency with empirical market data, a stochastic volatility model has been obtained with the volatility process driven by fractional noise. Dep...
We consider portfolio selection when decisions based on a dynamic risk measure are affected by the use of a moving horizon, and the possible inconsistencies that this creates. By giving a formal treat...
The purpose of this paper is to give a selective survey on recent progress in random metric theory and its applications to conditional risk measures.
We investigate optimal consumption problems for a Black-Scholes market under uniform restrictions on Value-at-Risk and Expected Shortfall for logarithmic utility functions. We find the solutions in t...
We introduce the formalism of generalized Fourier transforms in the context of risk management. We develop a general framework to efficiently compute the most popular risk measures, Valueat- Risk an...
This paper was presented and written for two seminars: a national UK University Risk Conference and a Risk Management industry workshop. The target audience is therefore a cross section of Academics a...
In the second part of our series we suggest new definitions of credit bond duration and convexity that remain consistent across all levels of credit quality including deeply distressed bonds and intr...
We consider dynamic sublinear expectations (i.e., time-consistent coherent risk measures) whose scenario sets consist of singular measures corresponding to a general form of volatility uncertainty. W...
Spectral risk measures (SRMs) are risk measures that take account of user riskaversion, but to date there has been little guidance on the choice of utility function underlying them. This paper address...

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