outperform the broad market and therefore generate significant alpha. However, the paper shows that a dynamic allocation of risk … different financial conditions and that an allocation to more offensive or more conservative risk factors can outperform a … significant losses across several asset classes. The objective of this paper is to investigate risk premia factors such as size …

A retiree with a savings account balance, but without a pension, is confronted with an important investment decision … acquired by investing in an annuity. However, that decision takes funds away from investment alternatives that might grow the … investment strategies. We propose a stochastic programming model to frame this complicated problem. The objective is to maximize …

Portfolio credit risk is often concerned with the tail distribution of the total loss, defined to be the sum of default … also discuss estimates for Value-at-Risk, and observe that our results may be extended to cases where the number of factors …

Hedging downside risk before substantial price corrections is vital for risk management and long-only active equity … manager performance. This study proposes a novel methodology for crafting timing signals to hedge sectors' downside risk …

innovation lies in the integration of classical credibility theory with expected risk models, enhancing their stability and …Accurate risk assessment is crucial for predicting potential financial losses. This paper introduces an innovative … approach by employing expected risk models that utilize risk samples to capture comprehensive risk characteristics. The …

entropy. To measure risk, we use value-at-risk and conditional value-at-risk. The results indicate that, except for Tether …, the analyzed cryptocurrencies’ returns exhibited similar patterns of uncertainty and risk. Levels of uncertainty were … close to the maximum values, but high uncertainty is not always associated with high risk. During the pandemic crisis …

and conducting an investment risk assessment as a group process is defined. It has been determined that the defining … features of investment risks are the environment, duration, and scope of the project, risk position, profile, risk appetite …, consequences, capacity, and results of the impact on the investment project. An investment risk accounting system is formed, which …

investment returns and risk, provide an attractive and effective alternative to traditional guaranteed life annuity products …. While longevity risk sharing in pooled annuities has received recent attention, incorporating investment risk beyond fixed …, while reducing pooled annuity income volatility and downside risk, as well as an investment strategy that reduces exposure …

When the uni-variate risk measure analysis is generalized into the multi-variate setting, many complex theoretical and … applied problems arise, and therefore the mathematical models used for risk quantification usually present model risk. As a … task, we propose a novel multi-variate risk measure, based on the notion of the Wasserstein barycenter. The proposed …

Purpose - This paper measures different market risk impacts on options portfolios under the new Fundamental Review of … estimate a portfolio's risk capital and presents an illustration applied to an option position. Second, it proposes a … application is developed to measure expected shortfall (ES) and value at risk (VaR) impacts under FRTB versus conventional VaR in …