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Wrong-way risk bounds in counterparty credit risk management

Memartoluie, Amir; Saunders, David M.; Wirjanto, Tony S. - In: Journal of risk management in financial institutions 10 (2016/2017) 2, pp. 150-163

Persistent link: https://www.econbiz.de/10011670666

Systemically important banks : a permutation test approach

Frattarolo, Lorenzo; Parpinel, Francesca; Pizzi, Claudio - 2016

Persistent link: https://www.econbiz.de/10011636612

Reducing transaction costs for interest rate risk hedging with stochastic programming

Blomvall, Jörgen; Hagenbjörk, Johan - In: European journal of operational research : EJOR 302 (2022) 3, pp. 1282-1293

Persistent link: https://www.econbiz.de/10013363855

Risk modeling, assessment, and management

Haimes, Yacov - 2016 - Fourth Edition

"Examines the multidisciplinary applications, problems, and case histories in risk modeling, assessment, and management … This book examines risk analysis, focusing on quantifying risk and constructing probability in conjunction with real … material (extreme events and the partitioned multi-objective risk method; multi-objective decision-tree analysis; multi …

Persistent link: https://www.econbiz.de/10011332807

Risk management under Omega measure

Metel, Michael R.; Pirvu, Traian A.; Wong, Julian - In: Risks : open access journal 5 (2017) 2, pp. 1-14

We prove that the Omega measure, which considers all moments when assessing portfolio performance, is equivalent to the widely used Sharpe ratio under jointly elliptic distributions of returns. Portfolio optimization of the Sharpe ratio is then explored, with an active-set algorithm presented...

Persistent link: https://www.econbiz.de/10011643419