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Aggregation-Robustness and Model Uncertainty of Regulatory Risk Measures

Embrechts, Paul - 2015

Research related to aggregation, robustness, and model uncertainty of regulatory risk measures, for instance, Value-at-Risk (VaR) and Expected Shortfall (ES), is of fundamental importance within quantitative risk management. In risk aggregation, marginal risks and their dependence structure are...

Persistent link: https://www.econbiz.de/10013029101

Aggregation-robustness and model uncertainty of regulatory risk measures

Embrechts, Paul; Wang, Bin; Wang, Ruodu - In: Finance and stochastics 19 (2015) 4, pp. 763-790

Persistent link: https://www.econbiz.de/10011420503

CreditRisk+ model with dependent risk factors

Wang, Ruodu; Peng, Liang; Yang, Jingping - In: North American actuarial journal 19 (2015) 1, pp. 24-40

Persistent link: https://www.econbiz.de/10011420714

FTAP in finite discrete time with transaction costs by utility maximization

Sass, Jörn; Smaga, Martin - In: Finance and stochastics 18 (2014) 4, pp. 805-823

Persistent link: https://www.econbiz.de/10010416234

Finite-horizon optimal investment with transaction costs : construction of the optimal strategies

Belak, Christoph; Sass, Jörn - In: Finance and stochastics 23 (2019) 4, pp. 861-888

Persistent link: https://www.econbiz.de/10012114661

Dual utilities on risk aggregation under dependence uncertainty

Wang, Ruodu; Xu, Zuo Quan; Zhou, Xun Yu - In: Finance and stochastics 23 (2019) 4, pp. 1025-1048

Persistent link: https://www.econbiz.de/10012114687

Expert opinions and logarithmic utility maximization for multivariate stock returns with Gaussian drift

Sass, Jörn; Westphal, Dorothee; Wunderlich, Ralf - In: International journal of theoretical and applied finance 20 (2017) 4, pp. 1-41

Persistent link: https://www.econbiz.de/10011687059

Quantile-based risk sharing

Embrechts, Paul; Liu, Haiyan; Wang, Ruodu - 2017 - This version: October 24, 2017

We address the problem of risk sharing among agents using a two-parameter class of quantile-based risk measures, the so-called Range-Value-at-Risk (RVaR), as their preferences. The family of RVaR includes the Value-at-Risk (VaR) and the Expected Shortfall (ES), the two popular and competing...

Persistent link: https://www.econbiz.de/10011874813

Approximation for portfolio optimization in a financial market with shot-noise jumps

Putyatina, Oleksandra; Sass, Jörn - In: Computational Management Science : CMS 15 (2018) 2, pp. 161-186

Persistent link: https://www.econbiz.de/10011876522

Gini-type measures of risk and variability : gini shortfall, capital allocations, and heavy-tailed risks

Furman, Edward; Wang, Ruodu; Zitikis, Ričardas - In: Journal of banking & finance 83 (2017), pp. 70-84

Persistent link: https://www.econbiz.de/10011816823