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We discuss liquidity risk from a pure risk-theoretical point of view in the axiomatic context of coherent measures of risk. We propose a formalism for liquidity risk that is compatible with the axioms of coherency. We emphasize the difference between 'coherent risk measures' (CRM) ρ(X ) defined...
Persistent link: https://www.econbiz.de/10005495760
We extend the definition of a convex risk measure to a conditional framework where additional information is available. We characterize these risk measures through the associated acceptance sets and prove a representation result in terms of conditional expectations. A suitable regularity...
Persistent link: https://www.econbiz.de/10005390720
Model risk has a huge impact on any risk measurement procedure and its quantification is therefore a crucial step. In this paper, we introduce three quantitative measures of model risk when choosing a particular reference model within a given class: the absolute measure of model risk, the...
Persistent link: https://www.econbiz.de/10011190800
Measuring the risk of a financial portfolio involves two steps: estimating the loss distribution of the portfolio from available observations and computing a 'risk measure' that summarizes the risk of the portfolio. We define the notion of 'risk measurement procedure', which includes both of...
Persistent link: https://www.econbiz.de/10008675020
New results are presented relating to the integration of the French, German, British, Dutch and Spanish power markets at day-ahead, week-ahead, one month-ahead and two month-ahead lead times. Overall, there is evidence of market integration, increasing over time, despite an underlying...
Persistent link: https://www.econbiz.de/10008507213
In the last few years we have observed the deregulation in electricity markets and an increasing interest in price dynamics has been developed especially to consider all stylized facts shown by spot prices. Only few papers have considered the Italian Electricity Spot market since it has been...
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