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A risk-based approach for asset allocation with a defaultable share
Shen, Yang; Siu, Tak Kuen - In: Risks : open access journal 6 (2018) 1, pp. 1-27
This paper presents a novel risk-based approach for an optimal asset allocation problem with default risk, where a money market account, an ordinary share and a defaultable security are investment opportunities in a general non-Markovian economy incorporating random market parameters. The...
Persistent link: https://www.econbiz.de/10011811551
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Optimal reinsurance design under distortion risk measures and reinsurer's default risk with partial recovery
Yong, Yaodi; Cheung, Ka Chun; Zhang, Yiying - In: ASTIN bulletin : the journal of the International … 54 (2024) 3, pp. 738-766
Persistent link: https://www.econbiz.de/10015154573
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Is the sky bluer than before? : examining firm stability in Europe
Shafiq, Sadia Binte; Tahmid, Tahani; Yousuf, Md.; Azad, … - In: International journal of markets and business systems 5 (2024) 1, pp. 26-42
Persistent link: https://www.econbiz.de/10015065993
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Measuring default risk for a portfolio of equities
Rodrigues, Matheus Pimentel; Maialy, Andre Cury - In: International journal of theoretical and applied finance 22 (2019) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10012012883
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Z-score vs minimum variance preselection methods for constructing small portfolios
Cesarone, Francesco; Mango, Fabiomassimo; Sabato, Gabriele - In: Investment management and financial innovations 17 (2020) 1, pp. 64-76
Persistent link: https://www.econbiz.de/10012299819
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Strategic loan portfolio management in a changing risk environment
Pederson, Glenn; Wilberding, Tim - 1999
Persistent link: https://www.econbiz.de/10001422456
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Modeling liquidity risk, with implications for traditional market risk measurement and management
Bangia, Anil (contributor) - 1999
Persistent link: https://www.econbiz.de/10001426217
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Portfolio risks and bank asset choice
Samolyk, Katherine A. - 1989
Persistent link: https://www.econbiz.de/10000781892
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Risk
Hey, John Denis (ed.) - 1997
Persistent link: https://www.econbiz.de/10000947220
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Mathematical methods for the efficient assessment of market and credit risk
Reiß, Oliver (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001820960