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Approving the ISDWIR method of risk measurement in making risk management decision

Strelnik, Mikhail - In: Revista de métodos cuantitativos para la economía y … 17 (2014), pp. 42-59

This paper is devoted to risk management and risk measurement methods. The author considers methods of risk measurement … and proposes the Inte- gral Sum of Differential Weighted Indexes of Risks (or ISDWIR) method of risk measurement. The … is also compared with other risk measurement methods. …

Persistent link: https://www.econbiz.de/10010385650

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

Comparing risk measures when aggregating market risk and credit risk using different copulas

Maciag, Jakob; Hesse, Frederik; Boeve, Rolf; Pfingsten, … - In: Journal of risk 18 (2016) 5, pp. 101-136

Persistent link: https://www.econbiz.de/10011598393

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

Risk quantization by magnitude and propensity

Faugeras, Olivier; Pagès, Gilles - 2021

Persistent link: https://www.econbiz.de/10012542714

Stochastic orders and multivariate measures of risk contagion

Ortega-Jiménez, P.; Sordo, M. A.; Suárez-Llorens, A. - In: Insurance 96 (2021), pp. 199-207

Persistent link: https://www.econbiz.de/10012482851

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

(Simple) ΔCoVaR bounds

Mercadier, Mathieu; Strobel, Frank - In: Applied economics letters 30 (2023) 14, pp. 1874-1881

Persistent link: https://www.econbiz.de/10014305372

Risk excess measures induced by hemi-metrics

Faugeras, Olivier; Rüschendorf, Ludger - 2018

Persistent link: https://www.econbiz.de/10013488890

FRM Financial Risk Meter

Althof, Michael - 2022

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

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