搜索结果: 1-13 共查到“货币银行学 Risk Measures”相关记录13条 . 查询时间(0.109 秒)
Distortion risk measures for sums of dependent losses
Coherence Dependence structure Distortion function Risk measure Risk theory insurance Wang transform
2011/7/5
We discuss two distinct approaches, for distorting risk measures of sums of dependent random variables,
which preserve the property of coherence. The first, based on distorted expectations, operates ...
The fractional volatility model: No-arbitrage, leverage and risk measures
Fractional noise Arbitrage Incomplete market Risk measures
2010/10/21
Based on a criterium of mathematical simplicity and consistency with empirical market data, a stochastic volatility model has been obtained with the volatility process driven by fractional noise. Dep...
We consider portfolio selection when decisions based on a dynamic risk measure are affected by the use of a moving horizon, and the possible inconsistencies that this creates. By giving a formal treat...
Recent progress in random metric theory and its applications to conditional risk measures
random normed module random inner product module random locally convex module
2010/10/20
The purpose of this paper is to give a selective survey on recent progress in random metric theory and its applications to conditional risk measures.
Risk Measures in Quantitative Finance
Risk measures coherent risk management portfolios investment
2010/10/29
This paper was presented and written for two seminars: a national UK University Risk Conference and a Risk Management industry workshop. The target audience is therefore a cross section of Academics a...
Defining, Estimating and Using Credit Term Structures. Part 2: Consistent Risk Measures
Estimating Term Structures Consistent Risk Measures
2010/11/3
In the second part of our series we suggest new definitions of credit bond duration and
convexity that remain consistent across all levels of credit quality including deeply distressed bonds and intr...
Superhedging and Dynamic Risk Measures under Volatility Uncertainty
Superhedging Dynamic Risk Measures
2010/12/13
We consider dynamic sublinear expectations (i.e., time-consistent coherent risk measures) whose scenario sets consist of singular measures corresponding to a general form of volatility uncertainty. W...
Spectral Risk Measures: Properties and Limitations
coherent risk measures spectral risk measures exponential utility power utility
2011/3/31
Spectral risk measures (SRMs) are risk measures that take account of user riskaversion, but to date there has been little guidance on the choice of utility function underlying them. This paper address...
Evaluating the Precision of Estimators of Quantile-Based Risk Measures
Value at Risk Expected Shortfall Spectral Risk Measures Moments Precision
2011/3/31
This paper examines the precision of estimators of Quantile-Based Risk Measures (Value at Risk, Expected Shortfall, Spectral Risk Measures). It first addresses the question of how to estimate the prec...
Spectral Risk Measures and the Choice of Risk Aversion Function
coherent risk measures spectral risk measures risk aversion functions
2011/3/31
Spectral risk measures are attractive risk measures as they allow the user to obtain risk measures that reflect their risk-aversion functions. To date there has been very little guidance on the choice...
Estimating financial risk measures for futures positions: a non-parametric approach
spectral risk alternative measures financial risk
2011/3/31
This paper presents non-parametric estimates of spectral risk measures applied to long and short positions in 5 prominent equity futures contracts. It also compares these to estimates of two popular a...
Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements
Spectral risk measures Expected Shortfall Value at Risk GARCH clearinghouse
2011/3/31
This paper applies an AR(1)-GARCH (1, 1) process to detail the conditional distributions of the return distributions for the S&P500, FT100, DAX, Hang Seng, and Nikkei225 futures contracts.
Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements
Spectral risk measures Expected Shortfall Value at Risk Extreme Value clearinghouse
2011/3/31
This paper applies the Extreme-Value (EV) Generalised Pareto distribution to the extreme tails of the return distributions for the S&P500, FT100, DAX, Hang Seng, and Nikkei225 futures contracts.