Expected shortfall - PDFSEARCH.IO - Document Search Engine

Expected shortfall
Results: 110

#	Item
11	Risk capital allocation by coherent risk measures based on one-sided moments T. Fischer∗ Darmstadt University of Technology October 21, 2003 Add to Reading List Source URL: www.statistik-mathematik.uni-wuerzburg.de Language: English - Date: 2014-02-26 07:15:37 Financial risk Mathematical finance Actuarial science Coherent risk measure Expected shortfall Risk measure Diversification Norm Value at risk Acceptance set
12	ETH Risk Day 2014 Risk Management in Finance and Insurance 12 September 2014 Risk Measure Estimates: How do we know we’ve got the right answer? Add to Reading List Source URL: www.ccfz.ch Language: English - Date: 2014-09-13 03:11:01 Probability theory Expected shortfall Sigma-algebra Normal distribution Event
13	Conditional Systemic Risk with Penalized Copula 31st July 2015 Ostap Okhrin⇤ Alexander Ristig† Add to Reading List Source URL: www.cb.cityu.edu.hk Language: English - Date: 2016-07-08 02:26:53 Financial risk Actuarial science Mathematical finance Independence Financial crises Expected shortfall Risk measure Systemic risk Financial contagion Quantile function Quantile Copula
14	Risk and performance optimization for portfolios of bonds and stocks Tom Fischer Darmstadt University of Technology∗ Armin Roehrl Approximity GmbH† Add to Reading List Source URL: www.statistik-mathematik.uni-wuerzburg.de Language: English - Date: 2016-01-19 07:11:42 Mathematical finance Financial risk Actuarial science Expected shortfall Risk measure Portfolio optimization Coherent risk measure Mathematical optimization Value at risk
15	Optimization of performance measures based on Expected Shortfall Tom Fischer, Heriot-Watt University, Edinburgh∗ Armin Roehrl, Approximity GmbH† July 01, 2005 Add to Reading List Source URL: www.statistik-mathematik.uni-wuerzburg.de Language: English - Date: 2016-01-19 08:15:50 Mathematical finance Financial risk Actuarial science Expected shortfall Risk measure Portfolio optimization Value at risk Mathematical optimization
16	Routing Hazardous Materials on Time-Dependent Networks using Conditional Value-at-Risk Changhyun Kwon∗ Iakovos Toumazis Add to Reading List Source URL: www.chkwon.net Language: English - Date: 2016-08-04 11:55:32 Actuarial science Financial risk Mathematical finance Value at risk Shortest path problem Risk Expected shortfall Coherent risk measure Sobhi Mahmassani
17	On the measurement of economic tail risk_final.dvi Add to Reading List Source URL: www.rmi.nus.edu.sg Language: English - Date: 2016-06-26 23:04:56 Financial risk Mathematical finance Actuarial science Expected shortfall Value at risk Risk measure Expected value Variance Spectral risk measure Comonotonicity It diffusion Beta distribution
18	Seven Proofs for the Subadditivity of Expected Shortfall Paul Embrechts∗ and Ruodu Wang† October 7, 2015 Abstract Subadditivity is the key property which distinguishes the popular risk measures Valueat-Risk and Expec Add to Reading List Source URL: sas.uwaterloo.ca Language: English - Date: 2015-10-07 04:20:07 Mathematical analysis Probability Expected value Limit of a function Mathematics Probability theory Stochastic processes
19	Department of Banking and Finance International Conference on Operations Research August 30 to September 2, 2011, University of Zurich www.or2011.ch Add to Reading List Source URL: www.ccfz.ch Language: English Economy Finance Money Mathematical finance Actuarial science Financial risk Financial modeling Portfolio optimization Credit risk Expected shortfall Risk management Mathematical optimization
20	Introduction Monetary Risk Measures New Trends Add to Reading List Source URL: sas.uwaterloo.ca Language: English - Date: 2014-08-13 05:58:34 Actuarial science Financial risk Mathematical finance Risk Probability Operational risk Value at risk Expected shortfall Finance

UPDATE