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On the network topology of variance decompositions : measuring the connectedness of financial firms
Diebold, Francis X.; Yılmaz, Kamil - In: Journal of econometrics 182 (2014) 1, pp. 119-134
Persistent link: https://www.econbiz.de/10010497110
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Quantification of risk in classical models of finance
Pichler, Alois; Schlotter, Ruben - In: Quantitative finance 22 (2022) 1, pp. 31-45
Persistent link: https://www.econbiz.de/10012872493
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A liquidation risk adjustment for value at risk and expected shortfall
Wagalath, Lakshithe; Zubelli, Jorge P. - In: International journal of theoretical and applied finance 21 (2018) 3, pp. 1-21
Persistent link: https://www.econbiz.de/10011889543
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Portfolio stress testing applied to commodity futures
Paraschiv, Florentina; Reese, Stine Marie; Skjelstad, … - In: Computational management science 17 (2020) 2, pp. 203-240
Persistent link: https://www.econbiz.de/10012272062
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Development of risk-based control charts considering measurement uncertainty
Hegedüs, Csaba; Kosztyán, Zsolt Tibor - In: Research in the decision sciences for global business : …, (pp. 239-248). 2015
Persistent link: https://www.econbiz.de/10011896850
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Uncertainty in historical value-at-risk : an alternative quantile-based risk measure
Guégan, Dominique; Hassani, Bertrand; Li, Kehan - In: Mathematical and statistical methods for actuarial …, (pp. 119-128). 2017
Persistent link: https://www.econbiz.de/10012098775
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Efficiency evaluation of fuzzy portfolio in different risk measures via DEA
Chen, Wei; Gai, Yuxi; Gupta, Pankaj - In: Recent advances in optimization theory and applications, (pp. 103-127). 2018
Persistent link: https://www.econbiz.de/10011943426
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Equal risk pricing and hedging of financial derivatives with convex risk measures
Marzban, Saeed; Delage, Erick; Li, Jonathan Yu-Meng - In: Quantitative finance 22 (2022) 1, pp. 47-73
Persistent link: https://www.econbiz.de/10012872521
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Effect of the time to maturity on the risk of the covered call strategy
Dziawgo, Ewa - In: Eurasian economic perspectives : proceedings of the …, (pp. 67-75). 2020
values of the ratios delta, gamma, vega, theta, and rho. These ratios are the risk measures and are very important in risk … management of the option transactions. They determine the influence of changes in the risk factor on the price of the option. The … aim of this study is to present an analysis of the effect of the time to expiration on the value and the risk of the …
Persistent link: https://www.econbiz.de/10012793374
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Oil risk and asset returns : evidence from emerging markets in the Middle East
Nikkinen, Jussi; Saleem, Kashif; Martikainen, Minna; … - In: Emerging markets finance & trade : a journal of the … 50 (2014), pp. 169-189
Persistent link: https://www.econbiz.de/10010465076