market with reinvestment risk, since in this case the total liability cannot easily be separated into hedgeable and non …

The objective is to study the use of non-translation invariant risk measures within the equal risk pricing (ERP …) methodology for the valuation of financial derivatives. The ability to move beyond the class of convex risk measures considered in … several prior studies provides more flexibility within the pricing scheme. In particular, suitable choices for the risk …

The combination of stochastic derivative pricing models and downside risk measures often leads to the paradox (risk … expected returns and very negative downside risk (henceforth "golden strategy") has only been studied if all the involved … multi-asset golden strategies for both the expected shortfall and the expectile risk measure, and shows that the use of …

In this paper, we deal with the pricing of European options in an incomplete market. We use the common risk measures … Value-at-Risk and Expected Shortfall to define good-deals on a financial market with log-normally distributed rate of … returns. We show that the pricing bounds obtained from the Value-at-Risk admit a non-smooth behavior under parameter changes …

-dependent features in a regime-switching risk model. In each regime, a binomial discretization of the asset value is obtained by … numerical applications are provided to support the model, which is also useful to accurately capture the market risk concerning …

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 …

in the computation of Value-at-Risk (VaR). Results show that copulas provide more sophisticated results in terms of the …

This paper focuses on weather derivatives as efficient risk management instruments and proposes a more advanced … region under study and introducing Value-at-Risk (VaR) and Expected Shortfall (ES) as appropriate measures for the strike … price. The numerical results show that VaR and ES are both efficient ways for managing the so-called Tail Risk; further …