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Applying CVaR for decentralized risk management of financial companies

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  • Mulvey, John M.
  • Erkan, Hafize G.

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  • Mulvey, John M. & Erkan, Hafize G., 2006. "Applying CVaR for decentralized risk management of financial companies," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 627-644, February.
  • Handle: RePEc:eee:jbfina:v:30:y:2006:i:2:p:627-644
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    References listed on IDEAS

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    1. Kouwenberg, Roy, 2001. "Scenario generation and stochastic programming models for asset liability management," European Journal of Operational Research, Elsevier, vol. 134(2), pages 279-292, October.
    2. William J. Baumol & Tibor Fabian, 1964. "Decomposition, Pricing for Decentralization and External Economies," Management Science, INFORMS, vol. 11(1), pages 1-32, September.
    3. Froot, Kenneth A. & Stein, Jeremy C., 1998. "Risk management, capital budgeting, and capital structure policy for financial institutions: an integrated approach," Journal of Financial Economics, Elsevier, vol. 47(1), pages 55-82, January.
    4. Kjetil Høyland & Stein W. Wallace, 2001. "Generating Scenario Trees for Multistage Decision Problems," Management Science, INFORMS, vol. 47(2), pages 295-307, February.
    5. 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.
    6. John M. Mulvey & Gordon Gould & Clive Morgan, 2000. "An Asset and Liability Management System for Towers Perrin-Tillinghast," Interfaces, INFORMS, vol. 30(1), pages 96-114, February.
    7. David E. Bell, 1995. "Risk, Return, and Utility," Management Science, INFORMS, vol. 41(1), pages 23-30, January.
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    Cited by:

    1. Kim, Kyoung-Kuk & Park, Kun Soo, 2014. "Transferring and sharing exchange-rate risk in a risk-averse supply chain of a multinational firm," European Journal of Operational Research, Elsevier, vol. 237(2), pages 634-648.
    2. Maria Cristina Arcuri & Gino Gandolfi & Fabrizio Laurini, 2023. "Robust portfolio optimization for banking foundations: a CVaR approach for asset allocation with mandatory constraints," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 31(2), pages 557-581, June.
    3. Marla, Lavanya & Rikun, Alexander & Stauffer, Gautier & Pratsini, Eleni, 2020. "Robust modeling and planning: Insights from three industrial applications," Operations Research Perspectives, Elsevier, vol. 7(C).
    4. Kevin Maritato & Stan Uryasev, 2023. "Derivative of Reduced Cumulative Distribution Function and Applications," JRFM, MDPI, vol. 16(10), pages 1-24, October.
    5. Doumpos, Michalis & Zopounidis, Constantin & Gounopoulos, Dimitrios & Platanakis, Emmanouil & Zhang, Wenke, 2023. "Operational research and artificial intelligence methods in banking," European Journal of Operational Research, Elsevier, vol. 306(1), pages 1-16.
    6. Ferstl, Robert & Weissensteiner, Alex, 2011. "Asset-liability management under time-varying investment opportunities," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 182-192, January.
    7. Mike G. Tsionas & Dionisis Philippas & Constantin Zopounidis, 2023. "Exploring Uncertainty, Sensitivity and Robust Solutions in Mathematical Programming Through Bayesian Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 62(1), pages 205-227, June.
    8. Fu, Tianwen & Zhuang, Xinkai & Hui, Yongchang & Liu, Jia, 2017. "Convex risk measures based on generalized lower deviation and their applications," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 27-37.
    9. Grauer, Robert R., 2013. "Limiting losses may be injurious to your wealth," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5088-5100.
    10. Tamara Teplova & Mikova Evgeniia & Qaiser Munir & Nataliya Pivnitskaya, 2023. "Black-Litterman model with copula-based views in mean-CVaR portfolio optimization framework with weight constraints," Economic Change and Restructuring, Springer, vol. 56(1), pages 515-535, February.
    11. Gersema, Gerke & Wozabal, David, 2018. "Risk-optimized pooling of intermittent renewable energy sources," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 217-230.
    12. Jose Arreola Hernandez & Sang Hoon Kang & Seong‐Min Yoon, 2022. "Nonlinear spillover and portfolio allocation characteristics of energy equity sectors: Evidence from the United States and Canada," Review of International Economics, Wiley Blackwell, vol. 30(1), pages 1-33, February.
    13. Shushang Zhu & Duan Li & Shouyang Wang, 2009. "Robust portfolio selection under downside risk measures," Quantitative Finance, Taylor & Francis Journals, vol. 9(7), pages 869-885.

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