Search Results - subject:"Tail conditional expectation"

Analysis and forecasting of risk in count processes

Homburg, Annika; Weiß, Christian H.; Frahm, Gabriel; … - In: Journal of Risk and Financial Management 14 (2021) 4, pp. 1-25

Risk measures are commonly used to prepare for a prospective occurrence of an adverse event. If we are concerned with discrete risk phenomena such as counts of natural disasters, counts of infections by a serious disease, or counts of certain economic events, then the required risk forecasts are...

Persistent link: https://www.econbiz.de/10012611739

Analysis and forecasting of risk in count processes

Homburg, Annika; Weiß, Christian; Frahm, Gabriel; … - In: Journal of risk and financial management : JRFM 14 (2021) 4, pp. 1-25

Persistent link: https://www.econbiz.de/10012522289

Tail Conditional Expectation for vector-valued Risks

Bentahar, Imen - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006

In his paper we introduce a quantile-based risk measure for multivariate financial positions "the vector-valued Tail-conditional-expectation … extension of the "classical" real-valued tail-conditional-expectation. Our main result states that for continuous distributions … SFB 649 Discussion Paper 2006-029 Tail Conditional Expectation for vector-valued Risks …

Persistent link: https://www.econbiz.de/10005677892

Optimal Dynamic Trading Strategies with Risk Limits

Cuoco, Domenico; He, Hua; Isaenko, Sergei - School of Management, Yale University - 2004

extreme losses is also lower. We also consider risk limits formulated in terms of Tail Conditional Expectation (TCE), a …

Persistent link: https://www.econbiz.de/10008852928