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Expected shortfall
Results: 110

#	Item
21	Asymptotic Equivalence of Risk Measures under Dependence Uncertainty Jun Cai∗, Haiyan Liu† and Ruodu Wang‡ March 23, 2016§ Abstract Add to Reading List Source URL: sas.uwaterloo.ca Language: English - Date: 2016-03-22 21:17:22 Financial risk Mathematical finance Actuarial science Applied mathematics Economy Finance Coherent risk measure Expected shortfall Risk measure Distortion risk measure Risk Variance
22	Systemic Risk and the Macroeconomy: An Empirical Evaluation∗ Stefano Giglio† Bryan Kelly† Add to Reading List Source URL: www.q-group.org Language: English - Date: 2015-12-04 10:25:35 Economy Money Finance Financial risk Mathematical finance Systemic risk Expected shortfall Economic model Quantile Volatility Economic data Systemic
23	Regulation Basel 3.5 Question VaR Aggregation Add to Reading List Source URL: sas.uwaterloo.ca Language: English Economy Finance Money Bank regulation Actuarial science Financial risk Mathematical finance Systemic risk Basel III Basel Committee on Banking Supervision Angle Expected shortfall
24	Regulatory Arbitrage of Risk Measures Ruodu Wang∗ November 29, 2015 Abstract We introduce regulatory arbitrage of risk measures as one of the key considerations in choosing Add to Reading List Source URL: sas.uwaterloo.ca Language: English - Date: 2016-04-24 04:00:21 Actuarial science Financial risk Mathematical finance Economy Finance Money Value at risk Risk measure Arbitrage Coherent risk measure Variance Expected shortfall
25	How superadditive can a risk measure be? Ruodu Wang⇤, Valeria Bignozzi† and Andreas Tsanakas‡ March 13, 2015§ Abstract In this paper, we study the extent to which any risk measure can lead to superadditive risk Add to Reading List Source URL: sas.uwaterloo.ca Language: English - Date: 2015-04-12 08:10:33 Financial risk Mathematical finance Actuarial science Coherent risk measure Expected shortfall Risk measure Distortion risk measure Value at risk Spectral risk measure Entropic risk measure Risk Diversification
26	An Academic Response to Basel 3.5 Paul Embrechts1 , Giovanni Puccetti2 , Ludger Rüschendorf3 , Ruodu Wang4 , and Antonela Beleraj2 1 RiskLab and SFI, Department of Mathematics, ETH Zurich, 8092 Zurich, Switzerland 2 Add to Reading List Source URL: sas.uwaterloo.ca Language: English - Date: 2015-11-11 05:40:36 Probability Statistics Mathematical analysis Actuarial science Financial risk Mathematical finance Probability distributions Expected shortfall Value at risk Risk Expected value Normal distribution
27	Risk Measures Recent Debates Robustness and Aggregation Add to Reading List Source URL: sas.uwaterloo.ca Language: English - Date: 2015-09-06 17:07:12 Financial risk Mathematical finance Actuarial science Economy Finance Money Risk measure Value at risk Risk Expected shortfall Distortion risk measure Robustness
28	Preprint manuscript No. (will be inserted by the editor) Aggregation-Robustness and Model Uncertainty of Regulatory Risk Measures Paul Embrechts · Bin Wang · Ruodu Wang Add to Reading List Source URL: sas.uwaterloo.ca Language: English - Date: 2014-09-24 23:39:51 Financial risk Actuarial science Mathematical finance Economy Applied mathematics Finance Expected shortfall Value at risk Coherent risk measure Comonotonicity Risk Diversification
29	VaR and ES Holy Triangle How Superadditive Can It Be? Add to Reading List Source URL: sas.uwaterloo.ca Language: English - Date: 2014-05-11 08:05:16 Financial risk Actuarial science Mathematical finance Economy Applied mathematics Finance Value at risk Expected shortfall Variance Superadditivity Risk measure Coherent risk measure
30	Proceedings of the 2010 Winter Simulation Conference B. Johansson, S. Jain, J. Montoya-Torres, J. Hugan, and E. Y¨ucesan, eds. AN EFFICIENT SIMULATION PROCEDURE FOR POINT ESTIMATION OF EXPECTED SHORTFALL Ming Liu Barry Add to Reading List Source URL: www.informs-sim.org Language: English - Date: 2010-11-15 07:24:24

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