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Expected shortfall
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51	TAIL RISK BUDGETING R. Douglas Martin* CompFin Director [removed] CFA Society of Seattle Presentation , May 20, 2011 * Part of this presentation is due to joint work with Minfeng Zhu (Aegon USA), and part Add to Reading List Source URL: www.cfasociety.org Language: English - Date: 2011-05-25 14:40:26 Finance Economics Actuarial science Expected shortfall Modern portfolio theory Volatility Investment Risk Value at risk Mathematical finance Financial risk Financial economics
52	Theory and Applications of Categories, Vol. 29, No. 14, 2014, pp. 389–405. TOWARD CATEGORICAL RISK MEASURE THEORY TAKANORI ADACHI Abstract. We introduce a category that represents varying risk as well as ambiguity. We Add to Reading List Source URL: www.emis.de Language: English - Date: 2014-08-05 12:54:00 Applied mathematics Mathematics Financial economics Conditional expectation Probability space Constructible universe Expected shortfall Dynamic risk measure Expected value Financial risk Mathematical finance Probability theory
53	Microsoft Word - Performance Rating.doc Add to Reading List Source URL: sml.zhaw.ch Language: English - Date: 2013-08-19 08:22:25 Financial services Financial risk Mathematical finance Financial ratios Hedge fund Sharpe ratio Expected shortfall Financial economics Investment Finance
54	Comments on the Consultative Document “Fundamental Review of the Trading Book” Released by Bank for International Settlement on May 3rd, 2012 Steven Kou and Xianhua Peng Columbia University and Hong Kong University o Add to Reading List Source URL: www.bis.org Language: English - Date: 2012-09-25 10:21:00 Mathematical finance Economics Risk Value at risk Vector autoregression Liquidity risk Expected shortfall Static single assignment form Statistical hypothesis testing Financial risk Statistics Actuarial science
55	SOME COMMENTS ON "FUNDAMENTAL REVIEW OF THE TRADING BOOK" PHILIPPE ARTZNER† , FREDDY DELBAEN‡ , AND KARL-THEODOR EISELE† With the document "Fundamental review of the trading book" the Basel Committee on Banking Sup Add to Reading List Source URL: www.bis.org Language: English - Date: 2012-09-25 10:21:00 Financial economics Actuarial science Financial regulation Expected shortfall Coherent risk measure Basel II Value at risk Time consistency Dynamic risk measure Financial risk Mathematical finance Risk
56	From the array of VaR and P&L we can create 1000 samples with 200 observations each with VaR and P&Ls (imposing that excep... Add to Reading List Source URL: www.fea.com Language: English - Date: 2012-03-30 09:42:00 Statistics Economics Financial economics Value at risk Risk Vector autoregression Expected shortfall Financial risk modeling RiskMetrics Financial risk Actuarial science Mathematical finance
57	Math. Program., Ser. B 89: 273–[removed]Digital Object Identifier (DOI[removed]s101070000201 Fredrik Andersson · Helmut Mausser · Dan Rosen · Stanislav Uryasev Credit risk optimization with Conditional Value-at- Add to Reading List Source URL: www.ise.ufl.edu Language: English - Date: 2013-06-15 17:47:09 Financial risk Applied mathematics Mathematical finance Mathematical optimization Expected shortfall Econometrics Loss function Optimization problem Risk Statistics Actuarial science Mathematical sciences
58	Regulatory Impacts on Credit Portfolio Management Ursula Theiler, Vladimir Bugera, Alla Revenko, Stanislav Uryasev* Risk Training, Carl-Zeiss-Str. 11, D[removed]Bruckmuehl, Germany, mailto: [removed] Add to Reading List Source URL: www.ise.ufl.edu Language: English* - Date: 2013-06-15 17:47:19 Mathematical finance Economics Finance Expected shortfall Diversification Risk Efficient frontier Value at risk RiskMetrics Financial economics Financial risk Actuarial science
59	Math. Program., Ser. B 108, 515–[removed]Digital Object Identifier (DOI[removed]s10107[removed]R. Tyrrell Rockafellar · Stan Uryasev · Michael Zabarankin Optimality conditions in portfolio analysis with genera Add to Reading List Source URL: www.ise.ufl.edu Language: English - Date: 2013-06-15 17:47:17 Mathematical sciences Actuarial science Coherent risk measure Risk measure Expected shortfall Standard deviation Absolute deviation Moment Lp space Statistics Financial risk Mathematical finance
60	VaR vs CVaR in Risk Management and Optimization Stan Uryasev Joint presentation with Add to Reading List Source URL: www.fields.utoronto.ca Language: English - Date: 2010-04-07 11:22:56 Mathematical finance Mathematical sciences Expected shortfall Value at risk Standard deviation Expected value Mathematical optimization Normal distribution Risk Statistics Financial risk Actuarial science

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