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A scenario decomposition algorithm for stochastic programming problems with a class of downside risk measures

Rysz, Maciej; Vinel, Alexander; Krokhmal, Pavlo; … - In: INFORMS journal on computing : JOC 27 (2015) 2, pp. 416-430

Persistent link: https://www.econbiz.de/10011291285

Risk-return optimization with different risk-aggregation strategies

Uryasev, Stan; Theiler, Ursula A.; Serraino, Gaia - In: Journal of risk finance : the convergence of financial … 11 (2010) 2, pp. 129-146

Persistent link: https://www.econbiz.de/10003953347

Efficient execution in the secondary mortgage market : a stochastic optimization model using CVaR constraints

Wang, Chung-Jui; Uryasev, Stan - In: Journal of risk 10 (2007/08) 1, pp. 41-66

Persistent link: https://www.econbiz.de/10003572494

CoCDaR and mCoCDaR : new approach for measurement of systemic risk contributions

Ding, Rui; Uryasev, Stan - In: Journal of risk and financial management : JRFM 13 (2020) 11/270, pp. 1-18

Systemic risk is the risk that the distress of one or more institutions trigger a collapse of the entire financial system. We extend CoVaR (value-at-risk conditioned on an institution) and CoCVaR (conditional value-at-risk conditioned on an institution) systemic risk contribution measures and...

Persistent link: https://www.econbiz.de/10012389811

The CoCVaR approach : systemic risk contribution measurement

Huang, Wei-Qiang; Uryasev, Stan - In: Journal of risk 20 (2017/2018) 4, pp. 75-93

Persistent link: https://www.econbiz.de/10011848936