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Sentiment and economic activity in Brazil
Marschner, Paulo Fernando; Ceretta, Paulo Sergio - In: REGE revista de gestão 31 (2024) 2, pp. 186-200
Persistent link: https://www.econbiz.de/10015189991
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Teoria de medidas de risco : uma revisão abrangente
Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Revista Brasileira de Finanças : RBFin 12 (2014) 3, pp. 411-464
Persistent link: https://www.econbiz.de/10011585239
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Shortfall Deviation Risk : An Alternative for Risk Measurement
Righi, Marcelo Brutti - 2016
We present the Shortfall Deviation Risk (SDR), a risk measure that represents the expected loss that occurs with certain probability penalized by the dispersion of results that are worse than such an expectation. SDR combines Expected Shortfall (ES) and Shortfall Deviation (SD), which we also...
Persistent link: https://www.econbiz.de/10013005534
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Previsão de value-at-risk para o mercado de criptomoedas usando modelos EGARCH com regimes markovianos
Marschner, Paulo Fernando; Ceretta, Paulo Sergio - In: Revista Brasileira de Finanças : RBFin 18 (2020) 3, pp. 80-107
Persistent link: https://www.econbiz.de/10012306256
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Explorando a assimetria na dependência entre os índices da B3 : uma análise de cópula
Moraes, Alexandra Kelly de; Ceretta, Paulo Sergio; … - In: Revista brasileira de economia de empresas 24 (2024) 1, pp. 5-22
Persistent link: https://www.econbiz.de/10015199644
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Risk based capital allocation
Albrecht, Peter - 2003
Persistent link: https://www.econbiz.de/10015204284
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Risk measures
Albrecht, Peter - 2003
Persistent link: https://www.econbiz.de/10015204285
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Kreditrisiken : Modellierung und Management ; ein Überblick
Albrecht, Peter - In: German Risk and Insurance Review : GRIR ; das e-Journal … 1 (2005), pp. 1-21
Die Messung und Bewertung von Kreditrisiken stellt sich aktuell als ein sehr bedeutsames (Stichworte : Basel II, Solvency II, Kreditderivate) Gebiet dar. Allerdings hat sich hierbei keine einheitliche Vorgehensweise herausgebildet, sondern es existieren eine Vielzahl unterschiedlicher...
Persistent link: https://www.econbiz.de/10008651435
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30 Jahre Kapitalanlageperformance der deutschen Lebensversicherer
Albrecht, Peter - 2010
Persistent link: https://www.econbiz.de/10003998019