Performance-based regularization in mean-CVaR portfolio optimization,
Noureddine El Karoui, Andrew E. B. Lim and Gah-Yi Vahn,
from arXiv.org
(2012)
Stochastic dominance with respect to a capacity and risk measures,
Miryana Grigorova,
from HAL
(2011)
Keywords: Choquet integral,stochastic orderings with respect to a capacity,distortion risk measure,quantile function with respect to a capacity,distorted capacity,Choquet expected utility,ambiguity,non-additive probability,Value at Risk,Rank-dependent expected utility,behavioural finance,maximal correlation risk measure,quantile-based risk measure,Kusuoka's characterization theorem
On Multivariate Extensions of Value-at-Risk,
Areski Cousin and Elena Di Bernadino,
from HAL
(2013)
Keywords: Multivariate Risk Measures,Level sets of distribution functions,Kendall distributions,Copulas
Bank risk during the financial crisis: do business models matter?,
Simone Manganelli, Yener Altunbas and David Marques-Ibanez,
from European Central Bank
(2011)
Keywords: bank regulation, bank risk, Basle III, business models, financial crisis
A Transparency Standard for Derivatives,
Viral Acharya,
from National Bureau of Economic Research, Inc
(2011)
Temperature, Aggregate Risk, and Expected Returns,
Ravi Bansal and Juan Ochoa,
from National Bureau of Economic Research, Inc
(2011)
Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lending,
Damiano Brigo,
from arXiv.org
(2012)
Spending flexibility and safe withdrawal rates,
Michael Finke, Wade Pfau and Duncan Williams,
from University Library of Munich, Germany
(2011)
Keywords: retirement planning; utility maximization; retirement spending goals; safe withdrawal rates
SAFE: An early warning system for systemic banking risk,
Timothy Bianco, Ryan Eiben, Dieter Gramlich, Mikhail Oet, Stephen J. Ong and Jing Wang,
from Federal Reserve Bank of Cleveland
(2011)
Keywords: Systemic risk; Liquidity (Economics)
The Rise and Fall of S&P500 Variance Futures,
Chia-Lin Chang, Juan-à ngel Jiménez-MartÃn, Michael McAleer and Teodosio Pérez-Amaral,
from Kyoto University, Institute of Economic Research
(2011)
Keywords: Risk management, financial derivatives, futures, options, swaps, 3-month variance futures, 12-month variance futures, risk exposure, volatility.
A mathematical resurgence of risk management: an extreme modeling of expert opinions,
Dominique Guegan and Bertrand K. Hassani,
from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne
(2011)
Keywords: Basel II; operational risks; EVT; AMA; expert; Value-at-Risk; excepted shortfall
Viewing risk measures as information,
Dominique Guegan and Wayne Tarrant,
from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne
(2011)
Keywords: Risk measure; Value at Risk; Bank capital
Operational risk: a Basel II++ step before Basel III,
Dominique Guegan and Bertrand K. Hassani,
from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne
(2011)
Keywords: Operational risks; Loos Distribution Function; risk measures; EVT; Vine Copula
Three-Benchmarked Risk Minimization for Jump Diffusion Markets,
Ke Du and Eckhard Platen,
from Quantitative Finance Research Centre, University of Technology, Sydney
(2011)
Keywords: incomplete market; pricing; hedging; numeraire portfolio; risk minimization; benchmark approach
Credit scoring and loan default,
Geetesh Bhardwaj and Rajdeep Sengupta,
from Federal Reserve Bank of St. Louis
(2011)
Keywords: Credit scoring systems; Mortgage loans
Dynamic Correlations, Estimation Risk, and Porfolio Management During the Financial Crisis,
Luis García-Álvarez and Richard Luger,
from CEMFI
(2011)
How useful is the Marginal Expected Shortfall for the measurement of systemic exposure? A practical assessment,
Julien Idier, Gildas Lame and Jean-Stéphane Mésonnier,
from Banque de France
(2011)
Keywords: MES, systemic risk, tail correlation, balance sheet ratios, panel.