Measures of risk

DOI10.1016/J.EJOR.2003.12.016MaRDI QIDQ704052zbMATH OpenOpenAlexFDO

Authors Giorgio Szegö

Publication date 12 January 2005

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2003.12.016

zbMATH Keywords

conditional value-at-riskexpected shortfallrisk measuresscalar co-dependence measuresspectral risk measures and acceptable risk weights

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Recommendations

• Risk measures and dependencies of risks
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• Copula conditional tail expectation for multivariate financial risks
• On quantile based co-risk measures and their estimation

Cites work

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Cited in

(50)

• Reverse sensitivity testing: what does it take to break the model?
• Risk tomography
• Firm value and the impact of operational management
• Multivariate dependence analysis via tree copula models: an application to one-year forward energy contracts
• A multi-stage financial hedging approach for the procurement of manufacturing materials
• Measuring the subprime crisis contagion: evidence of change point analysis of copula functions
• An a posteriori decision support methodology for solving the multi-criteria supplier selection problem
• Replenishment decisions for complementary components with supply capacity uncertainty under the CVaR criterion
• Downside risk measurement in regime switching stochastic volatility
• An analysis of dollar cost averaging and market timing investment strategies
• Measurement of bivariate risks by the north-south quantile points approach
• Robust portfolio optimization with copulas
• On the non-existence of conditional value-at-risk under heavy tails and short sales
• Mean-variance analysis of the newsvendor problem with price-dependent, isoelastic demand
• Risk analysis with contractual default. Does covenant breach matter?
• A quantitative comparison of risk measures
• On measuring and profiling catastrophic risks
• Dynamic risk measures under model uncertainty
• Pricing and risk management of interest rate swaps
• Measuring risk for income streams
• Nonlinear bivariate comovements of asset prices: methodology, tests and applications
• Estimation of multiple period expected shortfall and median shortfall for risk management
• A generalized measure of riskiness
• Financial risk measurement
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• Robust -support vector machine based on worst-case conditional value-at-risk minimization
• Sufficient conditions under which SSD- and MR-efficient sets are identical
• Operational risk: emerging markets, sectors and measurement
• Measures of Perceived Risk
• Natural risk measures
• On the relationship between entropy, demand uncertainty, and expected loss
• Different Kinds of Risk
• Risk measures and dependencies of risks
• Optimal investment policy in a multi-stage problem with bankruptcy and stage-by-stage probability constraints
• Star-Shaped Risk Measures
• Efficient option risk measurement with reduced model risk
• Portfolio optimization of stock returns in high-dimensions: a copula-based approach
• Comparing the small-sample estimation error of conceptually different risk measures
• The Mathematical Concept of Measuring Risk
• Quantifying Extreme Risks
• Risk Measurement
• Comparison of certain value-at-risk estimation methods for the two-parameter Weibull loss distribution
• scientific article; zbMATH DE number 5220427 (Why is no real title available?)
• Portfolio selection under uncertainty: a new methodology for computing relative‐robust solutions
• An omega portfolio model with dynamic return thresholds
• Design of efficient investment portfolios with a shortfall probability as a measure of risk
• Partially ordered data sets and a new efficient method for calculating multivariate conditional value-at-risk
• A theory of multivariate stress testing
• Multi-objective robust cross-market mixed portfolio optimization under hierarchical risk integration
• Manufacturer cooperation in supplier development under risk

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Uses Software

• RiskMetrics

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