Add to ORKGThe paper applies Euler formula for decomposing the standard deviation and the Expected Shortfall for the BET-FI equity index. Risk attribution allows the decomposition of the total risk of the portfolio in individual risk units. In this way we can compute the contribution of each company to the overall standard deviation/Expected Shortfall of the portfolio
The aim of this paper is to verify whether efficient portfolios, obtained using traditional tools o...
The thesis examines the impact of individual risks on an annuity product. It focuses on the deffered...
The investor cannot associate a single number or payoff with investment in any asset because there i...
Decomposing total risk of a portfolio into the contributions of individual assets Decomposing total ...
Risk adjusted performance measurement for a portfolio involves calculating the contributions to tota...
In both financial theory and practice, Value-at-risk (VaR) has become the predominant risk measure i...
Recent developments in portfolio and risk management are driven by the need of quantitative risk ass...
The current subprime crisis has prompted us to look again into the nature of risk at the tail of the...
Measuring the risk of a financial portfolio involves two steps: estimating the loss distribution of ...
Modied Value at Risk (VaR) is an estimator of VaR based on the Cornish-Fisher expansion. It is fast ...
This thesis intends to examine a risk measure used for estimating a potential future loss. The risk ...
In this paper we study the properties of Risk Parity portfolios obtained by using expectiles as coh...
Asset allocation using a new Performance/Risk Contribution measure improves the performance of risk-...
Financial risk professionals are constantly interested in the risk capital allocation especially whe...
Modied Value at Risk (VaR) is an estimator of VaR based on the Cornish-Fisher expansion. It is fast ...
The aim of this paper is to verify whether efficient portfolios, obtained using traditional tools o...
The thesis examines the impact of individual risks on an annuity product. It focuses on the deffered...
The investor cannot associate a single number or payoff with investment in any asset because there i...
Decomposing total risk of a portfolio into the contributions of individual assets Decomposing total ...
Risk adjusted performance measurement for a portfolio involves calculating the contributions to tota...
In both financial theory and practice, Value-at-risk (VaR) has become the predominant risk measure i...
Recent developments in portfolio and risk management are driven by the need of quantitative risk ass...
The current subprime crisis has prompted us to look again into the nature of risk at the tail of the...
Measuring the risk of a financial portfolio involves two steps: estimating the loss distribution of ...
Modied Value at Risk (VaR) is an estimator of VaR based on the Cornish-Fisher expansion. It is fast ...
This thesis intends to examine a risk measure used for estimating a potential future loss. The risk ...
In this paper we study the properties of Risk Parity portfolios obtained by using expectiles as coh...
Asset allocation using a new Performance/Risk Contribution measure improves the performance of risk-...
Financial risk professionals are constantly interested in the risk capital allocation especially whe...
Modied Value at Risk (VaR) is an estimator of VaR based on the Cornish-Fisher expansion. It is fast ...
The aim of this paper is to verify whether efficient portfolios, obtained using traditional tools o...
The thesis examines the impact of individual risks on an annuity product. It focuses on the deffered...
The investor cannot associate a single number or payoff with investment in any asset because there i...