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Transmuted distortion functions for measuring risks

Alkasasbeh, Muna; Lee, Carl; Famoye, Felix - In: Risks : open access journal 12 (2024) 10, pp. 1-17

distortion parameters can be influenced by political factors or users' risk aversion levels, we generate plots of the distortion … functions to examine how these parameters impact the tasks and users' attitudes toward risk. The coherent properties of the … resulting risk measures are explored, outlining the conditions under which the transmuted Kumaraswamy and transmuted truncated …

Persistent link: https://www.econbiz.de/10015130324

On the General Deviation Measure and the Gini coefficient

Nisani, Doron - In: International journal of economic theory 19 (2023) 3, pp. 599-610

Persistent link: https://www.econbiz.de/10014335566

Remarks on a copula-based conditional value at risk for the portfolio problem

Molina Barreto, Andres Mauricio; Ishimura, Naoyuki - In: Intelligent systems in accounting, finance & management 30 (2023) 3, pp. 150-170

Persistent link: https://www.econbiz.de/10014375330

External risk measures and Basel accords

Kou, Steven; Peng, Xianhua; Heyde, Chris C. - In: Mathematics of operations research 38 (2013) 3, pp. 393-417

Persistent link: https://www.econbiz.de/10009787381

A note on a new weighted idiosyncratic risk measure

Jan, Yin-Ching - In: International journal of financial research 5 (2014) 3, pp. 194-198

Persistent link: https://www.econbiz.de/10010458525

The marginal cost of risk, risk measures, and capital allocation

Bauer, Daniel; Zanjani, George - In: Management science : journal of the Institute for … 62 (2016) 5, pp. 1431-1457

Persistent link: https://www.econbiz.de/10011487544

Outperforming benchmarks with their derivatives : theory and empirical evidence

Balbás de la Corte, Alejandro; Balbás, Beatriz; … - In: Journal of risk 18 (2015/2016) 4, pp. 25-52

Persistent link: https://www.econbiz.de/10011578371

An axiomatic foundation for the expected shortfall

Wang, Ruodu; Zitikis, Ričardas - In: Management science : journal of the Institute for … 67 (2021) 3, pp. 1413-1429

Persistent link: https://www.econbiz.de/10012505987

FRM Financial Risk Meter

Althof, Michael - 2022

Persistent link: https://www.econbiz.de/10013390868

Ambiguity framed

Schneider, Mark; Leland, Jonathan W.; Wilcox, Nathaniel T. - 2016

Persistent link: https://www.econbiz.de/10011486367