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

expected shortfallrisk measuresconditional value-at-riskscalar 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
• Capital requirements, risk measures and comonotonicity
• Coherent measures of risk
• Copula conditional tail expectation for multivariate financial risks
• On quantile based co-risk measures and their estimation

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Cited in

(48)

• Pricing and risk management of interest rate swaps
• A generalized measure of riskiness
• Measuring risk for income streams
• Financial risk measurement
• Comparison of certain value-at-risk estimation methods for the two-parameter Weibull loss distribution
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• An a posteriori decision support methodology for solving the multi-criteria supplier selection problem
• Firm value and the impact of operational management
• Multivariate dependence analysis via tree copula models: an application to one-year forward energy contracts
• Measurement of bivariate risks by the north-south quantile points approach
• Design of efficient investment portfolios with a shortfall probability as a measure of risk
• Dynamic risk measures under model uncertainty
• Sufficient conditions under which SSD- and MR-efficient sets are identical
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• An analysis of dollar cost averaging and market timing investment strategies
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• A quantitative comparison of risk measures
• Natural risk measures
• On the relationship between entropy, demand uncertainty, and expected loss
• An omega portfolio model with dynamic return thresholds
• Risk measures and dependencies of risks
• Manufacturer cooperation in supplier development under risk
• Portfolio selection under uncertainty: a new methodology for computing relative‐robust solutions
• Star-Shaped Risk Measures
• Nonlinear bivariate comovements of asset prices: methodology, tests and applications
• On the non-existence of conditional value-at-risk under heavy tails and short sales
• Different Kinds of Risk
• The Mathematical Concept of Measuring Risk
• Optimal investment policy in a multi-stage problem with bankruptcy and stage-by-stage probability constraints
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• Risk tomography
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• Risk Measurement
• Quantifying Extreme Risks
• On measuring and profiling catastrophic risks
• Measures of Perceived Risk
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Uses Software

• RiskMetrics

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