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Market-risk optimization among the developed and emerging markets with cvar measure and copula simulation

Trabelsi, Nader; Tiwari, Aviral Kumar - In: Risks : open access journal 7 (2019) 3/78, pp. 1-20

In this paper, the generalized Pareto distribution (GPD) copula approach is utilized to solve the conditional value …-at-risk (CVaR) portfolio problem. Particularly, this approach used (i) copula to model the complete linear and non … minimizing CVaR measure and simulated copula returns combined outperforms the risk/return of domestic portfolios, such as the US …

Persistent link: https://www.econbiz.de/10012127555

On exactitude in financial regulation : value-at-risk, expected shortfall, and expectiles

Chen, Jim - In: Risks : open access journal 6 (2018) 2, pp. 1-28

This article reviews two leading measures of financial risk and an emerging alternative. Embraced by the Basel accords, value-at-risk and expected shortfall are the leading measures of financial risk. Expectiles offset the weaknesses of value-at-risk (VaR) and expected shortfall. Indeed,...

Persistent link: https://www.econbiz.de/10011867427

A review and some complements on quantile risk measures and their domain

Fuchs, Sebastian; Schlotter, Ruben; Schmidt, Klaus D. - In: Risks : open access journal 5 (2017) 4, pp. 1-16

In the present paper, we study quantile risk measures and their domain. Our starting point is that, for a probability measure Q on the open unit interval and a wide class L Q of random variables, we define the quantile risk measure ϱ Q as the map that integrates the quantile function of a...

Persistent link: https://www.econbiz.de/10011783578

An optimal tail selection in risk measurement

Just, Małgorzata; Echaust, Krzysztof - In: Risks : open access journal 9 (2021) 4, pp. 1-16

The appropriate choice of a threshold level, which separates the tails of the probability distribution of a random variable from its middle part, is considered to be a very complex and challenging task. This paper provides an empirical study on various methods of the optimal tail selection in...

Persistent link: https://www.econbiz.de/10012508704

Modeling multivariate financial series and computing risk measures via Gram-Charlier-like expansions

Zoia, Maria Grazia; Vacca, Gianmarco; Barbieri, Laura - In: Risks : open access journal 8 (2020) 4/123, pp. 1-21

This paper develops an approach based on Gram-Charlier-like expansions for modeling financial series to take in due account features such as leptokurtosis. A Gram-Charlier-like expansion adjusts the moments of interest of a given distribution via its own orthogonal polynomials. This approach,...

Persistent link: https://www.econbiz.de/10012390846

Multi-variate risk measures under Wasserstein barycenter

Arias-Serna, M. Andrea; Loubes, Jean Michel; … - In: Risks : open access journal 10 (2022) 9, pp. 1-15

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 result, regulators have started to require that the...

Persistent link: https://www.econbiz.de/10013368725

Multi-Variate risk measures under Wasserstein Barycenter

Arias-Serna, M. Andrea; Loubes, Jean Michel; … - In: Risks : open access journal 10 (2022) 9, pp. 1-15

Persistent link: https://www.econbiz.de/10013555458

Evaluating risk measures and capital allocations based on multi-losses driven by a heavy-tailed background risk : the multivariate Pareto-II model

Asimit, Alexandru V.; Vernic, Raluca; Zitikis, Riċardas - In: Risks : open access journal 1 (2013) 1, pp. 14-33

Evaluating risk measures, premiums, and capital allocation based on dependent multi-losses is a notoriously difficult task. In this paper, we demonstrate how this can be successfully accomplished when losses follow the multivariate Pareto distribution of the second kind, which is an attractive...

Persistent link: https://www.econbiz.de/10009754682

Optimal reinsurance : a risk sharing approach

Balbás de la Corte, Alejandro; Balbas, Beatriz; … - In: Risks : open access journal 1 (2013) 2, pp. 45-56

This paper proposes risk sharing strategies, which allow insurers to cooperate and diversify non-systemic risk. We deal with both deviation measures and coherent risk measures and provide general mathematical methods applying to optimize them all. Numerical examples are given in order to...

Persistent link: https://www.econbiz.de/10010199029

Sharp convex bounds on the aggregate sums : an alternative proof

Yin, Chuancun; Zhu, Dan - In: Risks : open access journal 4 (2016) 4, pp. 1-8

It is well known that a random vector with given marginals is comonotonic if and only if it has the largest convex sum, and that a random vector with given marginals (under an additional condition) is mutually exclusive if and only if it has the minimal convex sum. This paper provides an...

Persistent link: https://www.econbiz.de/10011556539