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Showing 1 to 20 of 84 for “"risk measures"”.

  1. Portfolio optimization with quantile-based risk measures

    Lemus Rodriguez, Gerardo JoséMassachusetts Institute of Technology1999

    In this thesis we analyze Portfolio Optimization risk-reward theory, a generalization of the mean-variance theory, in the cases where the risk measures are quantile-based (such as the Value at Risk (V aR) and the shortfall). We show, using multicriteria theory arguments, that if the measure of risk …

    mit Repository record

  2. An examination of liquidity risk and liquidity risk measures

    Bhyat, AneezSchool of Economics2010

    Liquidity risk represents a vacuum of rigour in the otherwise well-researched area of risk management. In both practice and theory most of finance is silent regarding its scope and effect. This is principally due to a lack of consensus regarding its definition and measurement. Current liquidity …

    cape-town Repository record

  3. The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures

    Prause, Karsten

    Finanzmathematische Modelle sind in den 90ern sowohl von der <br>Mathematik her deutlich weiterentwickelt, als auch verstärkt in <br>Finanzinstitutionenen angewandt worden. Hierbei geht der Trend dahin, <br>die in Standardansätzen verwandte Brownsche Bewegung durch <br>realistischere Prozesse, die …

    freiburg-diss Repository record

  4. INCORPORATING CLIMATE CHANGE PROJECTIONS INTO RISK MEASURES OF INDEX-BASED INSURANCE

    Jin, ZhuoliWake Forest University2018

    … model projections to estimate the changing risks of temperature index-based insurance products defined for a series of locations in California. This region is a major agricultural producer for the US and the world. The climate model projections are an ensemble of six regional climate model …

    wfu Repository record

  5. An Empirical Investigation of the Predictive Ability of Selected Accounting Risk Measures

    Bates, Homer LeeUniversity of Illinois at Urbana-Champaign2014

    Made available in DSpace on 2014-12-14T13:33:59Z (GMT). No. of bitstreams: 1 7803931.pdf: 6812251 bytes, checksum: 1f880499143d46e3ed8e3f08b495ba68 (MD5) Previous issue date: 1977

    uiuc Repository record

  6. An examination of bond rating, beta and value-at-risk as financial risk measures.

    Muresan, Elisa RinastitiRobert Gordon University2004

    … findings. Additionally, a company’s relative risk is also gauged by the relative movement of its stock price in the market (beta). A bond rating downgrade indicates that a company has become riskier relative to its past or its industry, which could lead to a change in the market perception of …

    rgu Repository record

  7. Monte Carlo methods for the estimation of value-at-risk and related risk measures

    Marks, DeanDivision of Actuarial Science2011

    … Monte Carlo for the estimation of Value-at-Risk and Expected-Tail-Loss. The algorithms are designed to take advantage of multiprocessing computer architecture by performing computational tasks in parallel. Through numerical experiments we show that our algorithms can improve efficiency in …

    cape-town Repository record

  8. Theory-consistent formal risk measures : using financial market data from a middle income context

    Pillay, NeryviaSchool of Economics2007

    Includes bibliographical references (leaves 26-29).

    cape-town Repository record

  9. An Examination of the Effect of Disclosures Concerning Unfunded Pension Benefits on Market Risk Measures

    Stone, Mary SheetzUniversity of Illinois at Urbana-Champaign2014

    … ERISA on investors' perceptions of the financial risk of firms sponsoring defined benefit pension plans. This study was undertaken to determine (1) if firms subject to the mandates of ERISA experienced shifts in systematic risk subsequent to the passage of ERISA; (2) if unfunded pension benefit …

    uiuc Repository record

  10. The Performance Of Alternative Interest Rate Risk Measures And Immunization Strategies Under A Heath-Jarrow-Morton Framework

    Agca, SenayVirginia Tech2002

    … the term structure and managing interest rate risk. Yet risk management strategies in the form of immunization portfolios using duration, convexity, and M-square are still widely used in bond portfolio management today. This study addresses the question of how traditional risk measures and …

    vt Repository record

  11. Efficient estimation of coherent risk measures for risk-averse optimization problems governed by partial differential equations with random inputs

    Takhtaganov, TimurRice University2017

    … methods for the efficient estimation of risk measures of quantities of interest in the context of optimization of partial differential equations (PDEs) with random inputs. Risk measures of the quantities of interest arise as objective functions or as constraints in the PDE-constrained …

    rice Repository record

  12. Does the inclusion of systemic risk and market uncertainty indicators in the family of GARCH-X models improve modelling of tail risk measures for the banking industry?

    Boiarchuk, B.D.2025

    tilburg Repository record

  13. An examination of bank risk measures and their relationship to systemic risk measurement : a dissertation presented in partial fulfilment of the requirements for the degree of Doctoral of Philosophy in Finance at Massey University, Manawatu (Turitea), New Zealand

    Li, Xiping2018

    massey

  14. Risk and robust optimization

    Brown, David Benjamin, Ph. D. Massachusetts Institute of TechnologyMassachusetts Institute of Technology2006

    … develops and explores the connections between risk theory and robust optimization. Specifically, we show that there is a one-to-one correspondence between a class of risk measures known as coherent risk measures and uncertainty sets in robust optimization. An important consequence of this is …

    mit Repository record

  15. Application of GARCH Type Models in Forecasting Value at Risk

    Naimian, KatayoonUniversity of Windsor2021

    Dynamic risk management requires the risk measures to adapt to information at different times, such that this dynamic framework takes into account the time consistency of risk measures interrelated at different times. The value-at-risk (VaR) is one of the most well-known downside risk measures due …

    windsor Repository record

  16. Study of the Accounting Classification of Convertible Securities: A Market Analysis

    Beatty, Randolph PaulUniversity of Illinois at Urbana-Champaign2014

    … are related to convertible security systematic risk. This work provides evidence concerning how accounting and interest rate risk measures relate to market risk measures of convertible securities. An alternative market-based classification scheme is compared to the traditional contractual form …

    uiuc Repository record

  17. Contributions to solvency risk measurement

    Bignozzi, ValeriaCity University London2012

    The thesis focuses on risk measures used to calculate solvency capital requirements. It consists of three independent papers. The first paper (Chapter 2) investigates time-consistency, the relation that should hold across risk measurements of the same financial position at different time points. …

    city-london Repository record

  18. Essays in financial economics

    Kang, HyungjuneMassachusetts Institute of Technology2018

    … work with Tetsuya Kaji, we study how Value-at- Risk (VaR) constraint affects the amount of information that price conveys in an economy with asymmetric information. We first show that VaR constraint is different from others (e.g. borrowing and short-sale constraints) in that VaR constraint is …

    mit Repository record

  19. Dvojúrovňové optimalizačné modely a ich využitie v úlohách optimalizácie portfólia

    Goduľová, LenkaUniverzita Karlova, Matematicko-fyzikální fakulta2018

    … First, it recalls the basic knowledge of mean-risk models, risk measure in singlelevel problems, and second degree stochastic dominance. Then it presents basic knowledge of bilevel tasks. bilevel problems have several advantages over singlelevel. In one process, it is possible to analyze two …

    charles-prague Repository record

  20. Systemic risk in the interbank lending market

    Meng, Xianglin (Scientist in electrical engineering and computer science) Massachusetts Institute of TechnologyMassachusetts Institute of Technology2018

    … structure and shock scenarios on systemic risk in the market. We consider shocks of various sizes at both global and local scales. In terms of risk measures, we study relative systemic loss and the default rate, separating the latter quantity into fundamental default and contagion. Our …

    mit Repository record

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