341 search results - page 1 / 69 » Maturity-independent risk measures |
MP
2006
13 years 4 months ago
2006
Measures of risk appear in two categories: Risk capital measures serve to determine the necessary amount of risk capital in order to avoid ruin if the outcomes of an economic acti...
WSC
2007
13 years 7 months ago
2007
We discuss efficient Monte Carlo (MC) methods for the estimation of convex risk measures within the portfolio credit risk model CreditMetrics. Our focus lies on the Utilitybased ...
CDC
2008
IEEE
13 years 11 months ago
2008
IEEE
The new notion of maturity-independent risk measures is introduced and contrasted with the existing risk measurement concepts. It is shown, by means of two examples, one set on a ...
IOR
2010
13 years 2 months ago
2010
Reliable risk measurement is a key problem for financial institutions and regulatory authorities. The current industry standard Value-at-Risk has several deficiencies. Improved ri...
EOR
2007
13 years 4 months ago
2007
We analyze an extension of the classical multi-period, single-item, linear cost inventory problem where the objective function is a coherent risk measure. Properties of coherent r...