Showing 1 - 10 of 15
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
Persistent link: https://www.econbiz.de/10005655237
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. As an example we consider the...
Persistent link: https://www.econbiz.de/10005678011
The aim of this paper is twofold. First, we generalize the notion of capital requirement, originally formulated in a regulatory framework, in order to unify other apparently diverse financial concepts. Second, we stress the interpretation of a capital requirement as a measure of risk, providing...
Persistent link: https://www.econbiz.de/10005164898
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
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/10010676261
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" which summarizes the risk of the portfolio. We define the notion of ``risk measurement procedure", which includes both of...
Persistent link: https://www.econbiz.de/10008793218
We characterize the optimal investment decision and the stock value of an unlevered firm that holds the non-standard option of improving the growth rate of cashflows from its assets in place upon incurring an irreversible cost. The firm's investment policy and equity price are studied as a...
Persistent link: https://www.econbiz.de/10005418850