Add to ORKGProvided by the author(s) and University College Dublin Library in accordance with publisher policies. Please cite the published version when available. Downloaded 2016-05-17T14:35:24Z Some rights reserved. For more information, please see the item record link above. Title Spectral risk measures with an application to futures clearinghouse variation margin requirement
Spectral risk measures are attractive risk measures as they allow the user to obtain risk measures ...
Thesis: M. Eng., Massachusetts Institute of Technology, Department of Electrical Engineering and Com...
Spectral risk measures (SRMs) are risk measures that take account of user risk-aversion, but to date...
This paper applies an AR(1)-GARCH (1, 1) process to detail the conditional distributions of the ret...
This paper applies an AR(1)-GARCH (1, 1) process to detail the conditional distributions of the retu...
This paper applies the Extreme-Value (EV) Generalised Pareto distribution to the extreme tails of th...
This paper applies the Extreme-Value (EV) Generalised Pareto distribution to the extreme tails of th...
This paper presents non-parametric estimates of spectral risk measures applied to long and short pos...
This thesis examines spectral risk measures. Spectral risk measures, as a subset of coherent risk me...
UCD Geary Institute Discussion Papers often represent preliminary work and are circulated to encoura...
This paper presents non-parametric estimates of spectral risk measures applied to long and short pos...
In this thesis we define risk measures as a way of quantifying the risk of an invest- ment and we fo...
Spectral risk measures (SRMs) are risk measures that take account of user risk aversion, but to date...
This paper deals with risk measurement and portfolio optimization under risk constraints. Firstly we...
This thesis focuses on several classes of risk measures, related axioms and properties. We have intr...
Spectral risk measures are attractive risk measures as they allow the user to obtain risk measures ...
Thesis: M. Eng., Massachusetts Institute of Technology, Department of Electrical Engineering and Com...
Spectral risk measures (SRMs) are risk measures that take account of user risk-aversion, but to date...
This paper applies an AR(1)-GARCH (1, 1) process to detail the conditional distributions of the ret...
This paper applies an AR(1)-GARCH (1, 1) process to detail the conditional distributions of the retu...
This paper applies the Extreme-Value (EV) Generalised Pareto distribution to the extreme tails of th...
This paper applies the Extreme-Value (EV) Generalised Pareto distribution to the extreme tails of th...
This paper presents non-parametric estimates of spectral risk measures applied to long and short pos...
This thesis examines spectral risk measures. Spectral risk measures, as a subset of coherent risk me...
UCD Geary Institute Discussion Papers often represent preliminary work and are circulated to encoura...
This paper presents non-parametric estimates of spectral risk measures applied to long and short pos...
In this thesis we define risk measures as a way of quantifying the risk of an invest- ment and we fo...
Spectral risk measures (SRMs) are risk measures that take account of user risk aversion, but to date...
This paper deals with risk measurement and portfolio optimization under risk constraints. Firstly we...
This thesis focuses on several classes of risk measures, related axioms and properties. We have intr...
Spectral risk measures are attractive risk measures as they allow the user to obtain risk measures ...
Thesis: M. Eng., Massachusetts Institute of Technology, Department of Electrical Engineering and Com...
Spectral risk measures (SRMs) are risk measures that take account of user risk-aversion, but to date...