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Pareto Optimal Allocations and Optimal Risk Sharing for Quasiconvex Risk Measures

Mastrogiacomo, Elisa - 2014

Pareto optimal allocations and optimal risk sharing for coherent or convex risk measures as well as for insurance prices have been studied widely in the literature. In particular, Pareto optimal allocations have been characterized by applying inf-convolution of risk measures and convex...

Persistent link: https://www.econbiz.de/10013060083

A Dual Characterisation of Regulatory Arbitrage for Expected Shortfall

Herdegen, Martin - 2019

arbitrage and show that the presence or absence of regulatory arbitrage for ES is intimately linked to the fine structure of … regulatory arbitrage for ES at confidence level α if and only if there exists an EMM Q ≈ P such that ll dQ/dP ll<sub>∞</sub> < 1 …

Persistent link: https://www.econbiz.de/10012888963

A Dual Characterisation of Regulatory Arbitrage for Coherent Risk Measures

Herdegen, Martin - 2020

portfolios exist. We call this situation regulatory arbitrage, and prove that it cannot be excluded – unless ρ is as conservative … measures, and give a necessary and sufficient characterization for regulatory arbitrage. We show that the presence or absence … of regulatory arbitrage for ρ is intimately linked to the interplay between the set of equivalent martingale measures …

Persistent link: https://www.econbiz.de/10012823360

Operating and Financial Leverage As Risk Measures in Agricultural Companies

Zabolotnyy, Serhiy; Wasilewski, Mirosław - 2018

The goal of the research is to estimate the level of risk of agricultural companies according to degree of operating and financial leverage, and to define relations between these measures and ratios of financial efficiency. The research involved companies from the database of the Institute of...

Persistent link: https://www.econbiz.de/10014111151

Two New Risk Metrics : Liquidity Asian Put VaR(TM) and Shortfall(TM) to LIQUIDATION Based on Tail Volatilities & Correlations 'The Need for New Valuation, Risk and Policy Making Models'

Crousillat, Cesar - 2017

This paper derives two new improved risk metrics LAPVaR and LAPSF. Traditional VaRDeltaNormal valuation exaggerates market and liquidity risks to the point it could be larger than the actual portfolio value. Put VaR – PVaR – as well as Put Shortfall – PSF – uses option theory to solve...

Persistent link: https://www.econbiz.de/10012962743

Stress Testing for Cyber Risks : Cyber Risk Insurance Modeling beyond Value-at-Risk (VaR): Risk, Uncertainty, and, Profit for the Cyber Era

Malhotra, Yogesh - 2017

To avert the impending global Cyber-Finance Insurance Crisis based upon large-scale commercial reliance upon quantitative models with inherent model risks, tail risks, and systemic risks in current form, this post-doctoral thesis makes the following key contributions: Develops the first known...

Persistent link: https://www.econbiz.de/10012972233

Measuring Exposure to Dependence Risk with Random Bernstein Copula Scenarios

Tavin, Bertrand - 2019

This paper considers the problem of measuring the exposure to dependence risk carried by a portfolio with an arbitrary number of two-asset derivative contracts. We develop a worst-case risk measure computed over a set of dependence scenarios within a divergence restricted region. The set of...

Persistent link: https://www.econbiz.de/10012902575

Periodic Value at Risk

Khokhlov, Valentyn - 2011

Many practitioners annualize VaR just like the standard deviation. We show that this approach is incorrect, and a more sophisticated formula should be used for deriving a periodic VaR from parameters of the daily returns distribution. Another problem addressed here is the distribution of daily...

Persistent link: https://www.econbiz.de/10013117236

Pricing Risk Under Risk Measures : An Introduction to Stochastic-Endogenous Equilibria

Ralph, Daniel - 2011

We investigate risk averse agents who manage risk by trading financial securities in a market that we call a risk market. We assume this market is perfectly competitive and complete. When risk aversion is expressed using risk measures, the (bundle of) prices for financial securities turns out to...

Persistent link: https://www.econbiz.de/10013121852

Value at Risk (VaR) Backtesting Techniques and P-Value Risk Decomposition Analysis

Shirazi, Ali - 2014

This paper presents a methodology to analyze the Value at Risk (VaR) backtesting probability values to detect the soundness of the VaR model, the integrity of the VaR input and output as well as providing information about the type of the risk that a subportfolio is exposed to in every trading...

Persistent link: https://www.econbiz.de/10013056573