搜索结果: 1-15 共查到“理论经济学 Risk Measures”相关记录21条 . 查询时间(0.13 秒)
From Risk Measures to Research Measures
Bibliometric Indices Citations Risk Measures Scienti c Impact Measures Calibration Duality
2012/6/4
In order to evaluate the quality of the scientific research, we introduce a new family of scientific performance measures, called Scientific Research Measures (SRM). Our proposal originates from the m...
Comparative and qualitative robustness for law-invariant risk measures
Law-invariant risk measure convex risk measure coherent risk measure Orlicz space qualitative robustness comparative robustness
2012/4/28
When estimating the risk of a P&L from historical data or Monte Carlo simulation, the robustness of the estimate is important. We argue here that Hampel's classical notion of qualitative robustness is...
Complete duality for quasiconvex dynamic risk measures on modules of the $L^{p}$-type
quasiconvex functions dual representation complete duality L0-modules dynamic risk measures quasiconvex risk measures
2012/3/2
We provide a dual representation of quasiconvex conditional risk measures $% \rho $ defined on $L^{0}$ modules of the $L^{p}$ type. This is a consequence of more general result which extend the usual ...
Set-Valued Dynamic Risk Measures
dynamic risk measures transaction costs set-valued risk measures time consistency dual representation
2012/3/2
The paper concerns primal and dual representations as well as time consistency of set-valued dynamic risk measures. Set-valued risk measures appear naturally when markets with transaction costs are co...
The Price of Dynamic Inconsistency for Distortion Risk Measures
The Price of Dynamic Inconsistency Distortion Risk Measures potentially inconsistent behavior.
2011/7/4
A proper framework for measuring and mitigating risk in dynamic settings is of utmost importance,
on both a practical, as well as a theoretical level. In recent years, coherent risk measures have eme...
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.
Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions
Optimal consumption investment bounded downside risk measures logarithmic utility functions
2010/10/18
We investigate optimal consumption problems for a Black-Scholes market under uniform restrictions on Value-at-Risk and Expected Shortfall for logarithmic utility functions. We find the solutions in t...
A Generalized Fourier Transform Approach to Risk Measures
Generalized Fourier Transform Risk Measures
2010/11/2
We introduce the formalism of generalized Fourier transforms in the context of risk management.
We develop a general framework to efficiently compute the most popular risk measures, Valueat-
Risk an...
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...