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Shortfall Deviation Risk : An Alternative for Risk Measurement

Righi, Marcelo Brutti - 2016

We present the Shortfall Deviation Risk (SDR), a risk measure that represents the expected loss that occurs with certain probability penalized by the dispersion of results that are worse than such an expectation. SDR combines Expected Shortfall (ES) and Shortfall Deviation (SD), which we also...

Persistent link: https://www.econbiz.de/10013005534

Shortfall deviation risk : an alternative for risk measurement

Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Journal of risk 19 (2016) 2, pp. 81-116

Persistent link: https://www.econbiz.de/10013177086

Global risk evolution and diversification : a Copula-DCC-GARCH model approach

Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Revista Brasileira de Finanças : RBFin 10 (2012) 4, pp. 529-550

Persistent link: https://www.econbiz.de/10010412236

A comparison of expected shortfall estimation models

Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Journal of economics & business 78 (2015), pp. 14-47

Persistent link: https://www.econbiz.de/10011317189

Star-shaped acceptability indexes

Righi, Marcelo Brutti - In: Insurance : mathematics and economics 117 (2024), pp. 170-181

Persistent link: https://www.econbiz.de/10015066973

A composition between risk and deviation measures

Righi, Marcelo Brutti - In: Application of operations research to financial markets, (pp. 299-313). 2019

Persistent link: https://www.econbiz.de/10012159991

Optimal hedging with variational preferences under convex risk measures

Righi, Marcelo Brutti - In: Quantitative finance 24 (2024) 11, pp. 1703-1709

Persistent link: https://www.econbiz.de/10015196961

Risk measures-based cluster methods for finance

Guedes, Pablo Cristini; Müller, Fernanda Maria; Righi, … - In: Risk management : an international journal 25 (2023) 1, pp. 1-56

Persistent link: https://www.econbiz.de/10013490814

Range-based risk measures and their applications

Righi, Marcelo Brutti; Müller, Fernanda Maria - In: ASTIN bulletin : the journal of the International … 53 (2023) 3, pp. 636-657

Persistent link: https://www.econbiz.de/10014342970

A comparison of Range Value at Risk (RVaR) forecasting models

Müller, Fernanda Maria; Gössling, Thalles Weber; … - In: Journal of forecasting 43 (2024) 3, pp. 509-543

Persistent link: https://www.econbiz.de/10014532345