Search Results - subject:"Conditional risk"

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Conditional distributionally robust functionals

Shapiro, Alexander; Pichler, Alois - In: Operations research 72 (2024) 6, pp. 2745-2757

Persistent link: https://www.econbiz.de/10015371558

A refined measure of conditional maximum drawdown

Rossello, Damiano; Lo Cascio, Silvestro - In: Risk management : an international journal 23 (2021) 4, pp. 301-321

Persistent link: https://www.econbiz.de/10012792822

Varying the VaR for Unconditional and Conditional Environments

Cotter, John - Geary Institute, University College Dublin - 2011

Accurate forecasting of risk is the key to successful risk management techniques. Using the largest stock index futures from twelve European bourses, this paper presents VaR measures based on their unconditional and conditional distributions for single and multi-period settings. These measures...

Persistent link: https://www.econbiz.de/10009194551

Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics

Chun, So Yeon; Shapiro, Alexander; Uryasev, Stan - Volkswirtschaftliche Fakultät, … - 2011

-at-Risk, Expected Shortfall) risk measures. Two estimation procedures are considered for each conditional risk measure, one is direct …

Persistent link: https://www.econbiz.de/10009278294

CONDITIONAL RISK MEASURE MODELING FOR LATVIAN INSURANCE COMPANIES

KUZMINA, JEKATERINA; PETTERE, GAIDA; VORONOVA, IRINA - In: Perspectives of Innovation in Economics and Business (PIEB) 3 (2009) 3, pp. 59-61

paper we have used copula approach for estimating portfolio’s conditional risk measures and though to contribute to the …

Persistent link: https://www.econbiz.de/10010615563

Varying the VaR for unconditional and conditional environments

Cotter, John - 2007

Accurate forecasting of risk is the key to successful risk management techniques. Using the largest stock index futures from 12 European bourses, this paper presents VaR measures based on their unconditional and conditional distributions for single and multi-period settings. These measures...

Persistent link: https://www.econbiz.de/10009475703

Does Total Risk Matter? The Case of Emerging Markets

Girard, Eric; Sinha, Amit - In: Multinational Finance Journal 10 (2006) 1-2, pp. 117-151

This paper examines the relationships between market risk premiums, time-varying variance and covariance in forty-eight emerging, and seven developed capital markets. We allow each market’s risk premium generating process to be state-dependent by accounting for negative and positive market...

Persistent link: https://www.econbiz.de/10010937091

Approaches to conditional risk

FILIPOVIC, Damir; KUPPER, Michael; VOGELPOTH, Nicolas

We present and compare two dierent approaches to conditional risk measures. One approach draws from convex analysis in … analysis where conditional risk measures are dened on Lp type modules. Both approaches utilize general duality theory for … module-based convex analysis is well suited to the concept of conditional risk measures. …

Persistent link: https://www.econbiz.de/10010550288