Add to ORKGIn this dissertation, we review the development of risk measures in finance, starting from the traditional risk measures to the more recent downside risk measures. We outline the desirable properties that one should expect form a risk measure. There are several frameworks developed for this and we pay special attention to works of Pedersen and Satchell (1998).Master of Science (Financial Engineering
There exists no single measure of risk that is appropriate to all investors, partly because there is...
This paper traces developments in the credit risk measurement literature over the last 20 years. The...
The main goal of this thesis is to talk about some financial risks and to introduce some methods of ...
This thesis focuses on several classes of risk measures, related axioms and properties. We have intr...
The present review of (financial) risk measures, prepared for the Encyclopaedia of Actuarial Science...
The present review of (financial) risk measures, prepared for the Encyclopaedia of Actuarial Science...
Risk measures play a vital role in many subfields of economics and finance. It has been proposed tha...
The main aim of this thesis is to examine risk measures which are used in finance and insurance. Thi...
Evaluating the results of the investment portfolio it is important to take into account not only the...
Evaluating the results of the investment portfolio it is important to take into account not only the...
textabstractThis thesis aims to address many of the issues raised concerning the appropriate definit...
The paper compares a number of available measures of financial risk and presents arguments in favor ...
In this dissertation, we study the application of risk measures to portfolio optimisation. A risk me...
Financial Risk Measurement is a challenging task, because both the types of risk and the techniques ...
In academic research in finance we find two approaches to risk, the “traditional” approach using his...
There exists no single measure of risk that is appropriate to all investors, partly because there is...
This paper traces developments in the credit risk measurement literature over the last 20 years. The...
The main goal of this thesis is to talk about some financial risks and to introduce some methods of ...
This thesis focuses on several classes of risk measures, related axioms and properties. We have intr...
The present review of (financial) risk measures, prepared for the Encyclopaedia of Actuarial Science...
The present review of (financial) risk measures, prepared for the Encyclopaedia of Actuarial Science...
Risk measures play a vital role in many subfields of economics and finance. It has been proposed tha...
The main aim of this thesis is to examine risk measures which are used in finance and insurance. Thi...
Evaluating the results of the investment portfolio it is important to take into account not only the...
Evaluating the results of the investment portfolio it is important to take into account not only the...
textabstractThis thesis aims to address many of the issues raised concerning the appropriate definit...
The paper compares a number of available measures of financial risk and presents arguments in favor ...
In this dissertation, we study the application of risk measures to portfolio optimisation. A risk me...
Financial Risk Measurement is a challenging task, because both the types of risk and the techniques ...
In academic research in finance we find two approaches to risk, the “traditional” approach using his...
There exists no single measure of risk that is appropriate to all investors, partly because there is...
This paper traces developments in the credit risk measurement literature over the last 20 years. The...
The main goal of this thesis is to talk about some financial risks and to introduce some methods of ...