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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

Estimating non-linear serial and cross-interdependence between financial assets

Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Journal of banking & finance 37 (2013) 3, pp. 837-846

Persistent link: https://www.econbiz.de/10009708737

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

Risk prediction management and weak form market efficiency in Eurozone financial crisis

Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: International review of financial analysis 30 (2013), pp. 384-393

Persistent link: https://www.econbiz.de/10010461544

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

A theory for combinations of risk measures

Righi, Marcelo Brutti - In: Journal of risk 25 (2023) 4, pp. 25-60

Persistent link: https://www.econbiz.de/10014314623

A theory for combinations of risk measures

Righi, Marcelo Brutti - In: Journal of risk : JOR 25 (2023) 4, pp. 25-60

Persistent link: https://www.econbiz.de/10014487105