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Measures of risk

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  • Szego, Giorgio

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  • Szego, Giorgio, 2005. "Measures of risk," European Journal of Operational Research, Elsevier, vol. 163(1), pages 5-19, May.
    • Handle: RePEc:eee:ejores:v:163:y:2005:i:1:p:5-19
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    4. Michael S. Gibson, 2001. "Incorporating event risk into value-at-risk," Finance and Economics Discussion Series 2001-17, Board of Governors of the Federal Reserve System (U.S.).
    5. Landsman, Zinoviy & Sherris, Michael, 2001. "Risk measures and insurance premium principles," Insurance: Mathematics and Economics, Elsevier, vol. 29(1), pages 103-115, August.
    6. Dirk Tasche, 2002. "Expected Shortfall and Beyond," Papers cond-mat/0203558, arXiv.org, revised Oct 2002.
    7. Michael Phelan, 1997. "Probability and Statistics Applied to the Practice of Financial Risk Management: The Case of J.P. Morgan's RiskMetrics™," Journal of Financial Services Research, Springer;Western Finance Association, vol. 12(2), pages 175-200, October.
    8. Carr, Peter & Geman, Helyette & Madan, Dilip B., 2001. "Pricing and hedging in incomplete markets," Journal of Financial Economics, Elsevier, vol. 62(1), pages 131-167, October.
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    12. Gordy, Michael B., 2000. "A comparative anatomy of credit risk models," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 119-149, January.
    13. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
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    20. Edward Frees & Emiliano Valdez, 1998. "Understanding Relationships Using Copulas," North American Actuarial Journal, Taylor & Francis Journals, vol. 2(1), pages 1-25.
    21. Jones, David, 2000. "Emerging problems with the Basel Capital Accord: Regulatory capital arbitrage and related issues," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 35-58, January.
    22. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
    23. Engle, Robert F. & Manganelli, Simone, 2001. "Value at risk models in finance," Working Paper Series 75, European Central Bank.
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    26. Geman, Helyette, 2002. "Pure jump Levy processes for asset price modelling," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1297-1316, July.
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    28. Crouhy, Michel & Galai, Dan & Mark, Robert, 2000. "A comparative analysis of current credit risk models," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 59-117, January.
    29. Rockafellar, R. Tyrrell & Uryasev, Stanislav, 2002. "Conditional value-at-risk for general loss distributions," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1443-1471, July.
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    Cited by:

    1. Hayette Gatfaoui, 2003. "How Does Systematic Risk Impact Stocks ? A Study On the French Financial Market," Risk and Insurance 0308004, University Library of Munich, Germany.
    2. repec:ebl:ecbull:v:4:y:2005:i:16:p:1-9 is not listed on IDEAS
    3. Laila Messaoudi & Belaid Aouni & Abdelwaheb Rebai, 2017. "Fuzzy chance-constrained goal programming model for multi-attribute financial portfolio selection," Annals of Operations Research, Springer, vol. 251(1), pages 193-204, April.
    4. Brandtner, Mario & Kürsten, Wolfgang, 2014. "Solvency II, regulatory capital, and optimal reinsurance: How good are Conditional Value-at-Risk and spectral risk measures?," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 156-167.
    5. Ni, Jian & Chu, Lap Keung & Wu, Feng & Sculli, Domenic & Shi, Yuan, 2012. "A multi-stage financial hedging approach for the procurement of manufacturing materials," European Journal of Operational Research, Elsevier, vol. 221(2), pages 424-431.
    6. Gordy, Michael B., 2003. "A risk-factor model foundation for ratings-based bank capital rules," Journal of Financial Intermediation, Elsevier, vol. 12(3), pages 199-232, July.
    7. Mario Brandtner, 2016. "Spektrale Risikomaße: Konzeption, betriebswirtschaftliche Anwendungen und Fallstricke," Management Review Quarterly, Springer, vol. 66(2), pages 75-115, April.
    8. Aloini, Davide & Dulmin, Riccardo & Mininno, Valeria, 2012. "Modelling and assessing ERP project risks: A Petri Net approach," European Journal of Operational Research, Elsevier, vol. 220(2), pages 484-495.
    9. Vladimir Rankovic & Mikica Drenovak & Branko Uroševic & Ranko Jelic, 2016. "Mean Univariate-GARCH VaR Portfolio Optimization: Actual Portfolio Approach," CESifo Working Paper Series 5731, CESifo.
    10. Collier, Benjamin, 2013. "Exclusive finance: How unmanaged systemic risk continues to limit financial services for the poor in a booming sector," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 150433, Agricultural and Applied Economics Association.
    11. Kakouris, Iakovos & Rustem, Berç, 2014. "Robust portfolio optimization with copulas," European Journal of Operational Research, Elsevier, vol. 235(1), pages 28-37.
    12. Zapodeanu Daniela & Cociuba Mihai & Petria Nicolae, 2012. "The Role Of Value At Risk In The Management Of Asset And Liabilities," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(2), pages 635-640, December.
    13. Jaume Belles-Sampera & Montserrat Guillén & Miguel Santolino, 2013. "“Beyond Value-at-Risk: GlueVaR Distortion Risk Measures”," IREA Working Papers 201302, University of Barcelona, Research Institute of Applied Economics, revised Feb 2013.
    14. Sovan Mitra & Andreas Karathanasopoulos, 2019. "Firm Value and the Impact of Operational Management," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(1), pages 61-85, March.
    15. Covarrubias-Sánchez, Claudia Ivett & Téllez-León, Isela-Elizabeth & Venegas-Martínez, Francisco, 2018. "Portafolios del mercado bursátil mexicano que minimizan una medida coherente de riesgo sujeto a restricciones de rendimientos esperados y ventas en corto [Optimal portfolios in the Mexican stock ma," MPRA Paper 85446, University Library of Munich, Germany.
    16. Bianchi, Robert J. & Bornholt, Graham & Drew, Michael E. & Howard, Michael F., 2014. "Long-term U.S. infrastructure returns and portfolio selection," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 314-325.
    17. Alexeev, Vitali & Tapon, Francis, 2013. "Equity Portfolio Diversification: How Many Stocks are Enough? Evidence from Five Developed Markets," Working Papers 2013-16, University of Tasmania, Tasmanian School of Business and Economics, revised 20 Nov 2013.
    18. Chen, Anthony & Zhou, Zhong, 2010. "The [alpha]-reliable mean-excess traffic equilibrium model with stochastic travel times," Transportation Research Part B: Methodological, Elsevier, vol. 44(4), pages 493-513, May.
    19. Wong, Woon K., 2008. "Backtesting trading risk of commercial banks using expected shortfall," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1404-1415, July.
    20. Vitali Alexeev & Francis Tapon, 2014. "The number of stocks in your portfolio should be larger than you think: diversification evidence from five developed markets," Published Paper Series 2014-4, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    21. Jaume Belles-Sampera & Montserrat Guillén & Miguel Santolino, 2013. "“The use of flexible quantile-based measures in risk assessment”," IREA Working Papers 201323, University of Barcelona, Research Institute of Applied Economics, revised Dec 2013.
    22. Geyser, Mariette & Cutts, Michela, 2007. "SAFEX maize price volatility scrutinised," Agrekon, Agricultural Economics Association of South Africa (AEASA), vol. 46(3), pages 1-15, September.

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