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Measurement of extreme market risk : insights from a comprehensive literature review

Chakraborty, Gourab; Chandrashekhar, G. R.; … - In: Cogent economics & finance 9 (2021) 1, pp. 1-24

evaluation of the methodological and empirical advances in the measurement of the extreme market risk. This paper argues that a … sustain the rise of financial markets. Thereafter, this review identified the value at risk (VaR) and VaR-based alternative … expected shortfall (ES) as the principal measures of extreme market risk. The deficiencies in the standard modelling approaches …

Persistent link: https://www.econbiz.de/10013183970

Multi-constrained optimal reinsurance model from the duality perspectives

Cheung, Ka Chun; He, Wanting; Wang, He - In: Insurance / Mathematics & economics 113 (2023), pp. 199-214

Persistent link: https://www.econbiz.de/10014466212

Scenario generation for single-period portfolio selection problems with tail risk measures : coping with high dimensions and integer variables

Fairbrother, Jamie; Turner, Amanda; Wallace, Stein W. - In: INFORMS journal on computing : JOC 30 (2018) 3, pp. 472-491

Persistent link: https://www.econbiz.de/10011948065

The cost of delay as risk measure in target-based multi-period portfolio selection models

Liu, Jia; Chen, Zhiping; Consigli, Giorgio - In: IMA journal of management mathematics 35 (2024) 3, pp. 345-377

Persistent link: https://www.econbiz.de/10014634191

Risk concentration and the mean-expected shortfall criterion

Han, Xia; Wang, Bin; Wang, Ruodu; Wu, Qinyu - In: Mathematical finance : an international journal of … 34 (2024) 3, pp. 819-846

Persistent link: https://www.econbiz.de/10014565286

Quantitative measurement and analysis of FinTech risk in China

Li, Cangshu - In: Economic research 35 (2022) 1,3, pp. 2596-2614

Persistent link: https://www.econbiz.de/10014382209

Assessing the impact of taxation on the effective tax rate and operational risk of capital investment projects under optimal capital structures

Paquin, Jean-Paul; Racicot, François-Éric; Koplyay, Tamas - In: International review of economics & finance : IREF 96 (2024) 1, pp. 1-27

tax rates (a) on the effective tax rate, and (b) on the operational risk of capital investment projects and their parent …-correlation coefficient between portfolio projects will markedly increase a parent firm's project portfolio operational risk while impeding …

Persistent link: https://www.econbiz.de/10015211040

Assessing the risks of trading strategies using acceptability indices

Sonono, Masimba E.; Mashele, Hopolang P. - In: Journal of mathematical finance 3 (2013) 4, pp. 465-475

Persistent link: https://www.econbiz.de/10010240790

Cooperative game with nondeterministic returns

Yang, Jian; Li, Jianbin - In: Journal of mathematical economics 88 (2020), pp. 123-140

Persistent link: https://www.econbiz.de/10012589932

Coherent risk measures and normal mixture distributions with applications in portfolio optimization

Shi, Xiang; Kim, Young Shin - In: International journal of theoretical and applied finance 24 (2021) 4, pp. 1-18

Persistent link: https://www.econbiz.de/10012652709