Search Results - subject:"Conditional risk measures"

Conditional distributionally robust functionals

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

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

Risk-averse multistage stochastic programs with expected conditional risk measures

Khatami, Maryam; Silva, Thuener; Pagnoncelli, Bernardo K.; … - In: Computers & operations research : an international journal 172 (2024), pp. 1-13

Persistent link: https://www.econbiz.de/10015066893

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

The Skew Normal multivariate risk measurement framework

Bernardi, Mauro; Cerqueti, Roy; Palestini, Arsen - In: Computational management science 17 (2020) 1, pp. 105-119

Persistent link: https://www.econbiz.de/10012206033

Conditional risk-based portfolio

Caillé, Olessia; Onori, Daria - In: Finance : revue de l'Association Française de Finance 40 (2019) 2, pp. 77-117

Persistent link: https://www.econbiz.de/10012114366

Time consistent expected mean-variance in multistage stochastic quadratic optimization : a model and a matheuristic

Aldasoro, Unai - 2019

Persistent link: https://www.econbiz.de/10012116213

Realized peaks over threshold : a time-varying extreme value approach with high-frequency-based measures

Bee, Marco; Dupuis, Debbie J.; Trapin, Luca - In: Journal of financial econometrics 17 (2019) 2, pp. 254-283

Persistent link: https://www.econbiz.de/10012054440

Conditional risk measures in a bipartite market structure

Kley, Oliver; Klüppelberg, Claudia; Reinert, Gesine - In: Scandinavian actuarial journal (2018) 4, pp. 328-355

Persistent link: https://www.econbiz.de/10011881106

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

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

We discuss linear regression approaches to conditional Value-at-Risk and Average Value-at-Risk (Conditional Value-at-Risk, Expected Shortfall) risk measures. Two estimation procedures are considered for each conditional risk measure, one is direct and the other is based on residual analysis of...

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