搜索结果: 1-7 共查到“投资理论 Risk measures”相关记录7条 . 查询时间(0.453 秒)
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 ...
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...
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...
Evaluating the Precision of Estimators of Quantile-Based Risk Measures
Value at Risk Expected Shortfall Spectral Risk Measures Moments Precision
2011/3/31
This paper examines the precision of estimators of Quantile-Based Risk Measures (Value at Risk, Expected Shortfall, Spectral Risk Measures). It first addresses the question of how to estimate the prec...
Spectral Risk Measures and the Choice of Risk Aversion Function
coherent risk measures spectral risk measures risk aversion functions
2011/3/31
Spectral risk measures are attractive risk measures as they allow the user to obtain risk measures that reflect their risk-aversion functions. To date there has been very little guidance on the choice...
Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements
Spectral risk measures Expected Shortfall Value at Risk Extreme Value clearinghouse
2011/3/31
This paper applies the Extreme-Value (EV) Generalised Pareto distribution to the extreme tails of the return distributions for the S&P500, FT100, DAX, Hang Seng, and Nikkei225 futures contracts.