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Risk measures and the impact of asset price bubbles
Jarrow, Robert A.; Silva, Felipe Bastos Gurgel - In: Journal of risk 17 (2014/15) 3, pp. 35-56
Persistent link: https://www.econbiz.de/10011298886
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Implied Equity Duration : A Measure of Pandemic Shutdown Risk
Dechow, Patricia; Erhard, Ryan; Sloan, Richard G.; … - 2021
Implied equity duration was originally developed to analyze the sensitivity of equity prices to discount rate changes. We demonstrate that implied equity duration is also useful for analyzing the sensitivity of equity prices to pandemic shutdowns. Pandemic shutdowns primarily impact short‐term...
Persistent link: https://www.econbiz.de/10013234191
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Implied Equity Duration : A Measure of Pandemic Shutdown Risk
Dechow, Patricia - 2020
Implied equity duration was originally developed to analyze the sensitivity of equity prices to discount rate changes. We demonstrate that implied equity duration is also useful for analyzing the sensitivity of equity prices to pandemic shutdowns. Pandemic shutdowns primarily impact short-term...
Persistent link: https://www.econbiz.de/10012831673
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The influence of data theft on the share prices and systematic risk of consumer electronics companies
Hinz, Oliver; Nofer, Michael; Schiereck, Dirk; Trillig, … - In: Information & management : the internat. journal of … 52 (2015) 3, pp. 337-347
Persistent link: https://www.econbiz.de/10010515254
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Alternative measures for modeling risk and expected utility theory : (risk adjustment, measurement and attitude)
Seber, Akin - In: International journal of economics and finance 6 (2014) 9, pp. 151-157
Persistent link: https://www.econbiz.de/10010417168
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Coherent Measures of Risk from a General Equilibrium Perspective
Herings, Peter Jean-Jacques; Csóka, Péter; Kóczy, … - 2011
Coherent measures of risk defined by the axioms of monotonicity, subadditivity, positive homogeneity, and translation … invariance are recent tools in risk management to assess the amount of risk agents are exposed to. If they also satisfy law … invariance and comonotonic additivity, then we get a subclass of them: spectral measures of risk. Expected shortfall is a well …
Persistent link: https://www.econbiz.de/10014181761
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Average drawdown risk and capital asset pricing
Tavakoli Baghdadabad, Mohammad Reza; Glabadanidis, Paskalis - In: Review of Pacific Basin financial markets and policies 16 (2013) 4, pp. 1-21
Persistent link: https://www.econbiz.de/10010241626
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Coherent measures of risk from a general equilibrium perspective
Csóka, Péter; Herings, Peter Jean-Jacques; Kóczy, … - 2006
Persistent link: https://www.econbiz.de/10003383551
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Coherent measures of risk from a general equilibrium perspective
Csoka, Peter (contributor);  … - 2006
Coherent measures of risk defined by the axioms of monotonicity, subadditivity, positive homogeneity, and translation … invariance are recent tools in risk management to assess the amount of risk agents are exposed to. If they also satisfy law … invariance and comonotonic additivity, then we get a subclass of them: spectral measures of risk. Expected shortfall is a well …
Persistent link: https://www.econbiz.de/10003435485
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Coherent measures of risk from a general equilibrium perspective
Csóka, Péter; Herings, Peter Jean-Jacques; Kóczy, … - In: Journal of banking & finance 31 (2007) 8, pp. 2517-2534
Persistent link: https://www.econbiz.de/10003522971