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Capital requirement modeling for market and non-life premium risk in a dynamic insurance portfolio

Cotticelli, Stefano; Savelli, Nino - In: Annals of actuarial science : publ. by the Institute of … 18 (2024) 1, pp. 205-236

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The Measurement of Market Risk : Modelling of Risk Factors, Asset Pricing, and Approximation of Portfolio Distributions

Moix, Pierre-Yves - 2001

The objective of this book is to set up an economic quantitative model for the assessment of financial market risk. The Measurement of Market Risk reviews the probabilistic modelling of so-called risk factors, which represent the uncertainty of financial markets, and discusses the issue of risk...

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Hedging the extreme risk of cryptocurrency

Dunbar, Kwamie; Owusu-Amoako, Johnson - In: The North American journal of economics and finance : a … 63 (2022), pp. 1-11

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Marktrisiken : Portfoliotheorie und Risikomaße

Kremer, Jürgen - 2018

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Marktrisiken : Portfoliotheorie und Risikomaße

Kremer, Jürgen - 2018

Portfoliotheorie -- Arbitragefreie Ein-Perioden-Modelle und CAPM -- Value at Risk -- Kohärente Risikomaße und der …

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Predictors of excess return in a green energy equity portfolio : market risk, market return, value-at-risk and or expected shortfall?

Abraham, Rebecca; El-Chaarani, Hani; Tao, Zhi - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-31

(beta), as indicated by the single-factor Capital Asset Pricing Model (CAPM), and the multifactor Fama-French Three …

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Systematic tail risk

Harris, Richard D. F.; Nguyen, Linh; Stoja, Evarist - 2016

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Portfolio selection : should be a wise decision!

Dsouza, Suzan; Dey, Prithviraj - In: Indian journal of economics & business : IJEB 16 (2017) 2, pp. 269-278

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Systematic extreme downside risk

Harris, Richard D. F.; Nguyen, Linh; Stoja, Evarist - In: Journal of international financial markets, … 61 (2019), pp. 128-142

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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

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