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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
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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
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Risk based capital allocation
Albrecht, Peter - 2003
Persistent link: https://www.econbiz.de/10015204284
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Quantile maximizing safety-first investors : separation, performance measurement and capital market equilibrium
Albrecht, Peter - 2012
Persistent link: https://www.econbiz.de/10009578723
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Safety first-Portfoliooptimierung bei Beschränkung des Conditional Value at Risk
Albrecht, Peter - 2012
Persistent link: https://www.econbiz.de/10009578725
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Erfolgssteuerung des Kapitalanlageportefeulilles eines Versicherungsunternehmens unter Einschluß von derivaten Finanzinstrumenten
Albrecht, Peter - In: Allokation der Ressourcen bei Sicherheit und …, (pp. 343-358). 1997
Persistent link: https://www.econbiz.de/10003496112
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Rendite oder Sicherheit in der Altersversorgung - unvereinbare Gegensätze?
Albrecht, Peter - 1999
Persistent link: https://www.econbiz.de/10013442976
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Risk based capital allocation
Albrecht, Peter - 2003
Persistent link: https://www.econbiz.de/10013443139
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Theoretische Grundlagen des Minimum-Value at Risk-Hedges
Albrecht, Peter - 2010
Persistent link: https://www.econbiz.de/10008903635