341 search results - page 8 / 69 » Maturity-independent risk measures |
MA
2010
Springer
13 years 7 months ago
2010
Springer
We describe several analytical and numerical procedures to obtain bounds on the distribution function of a sum of n dependent risks having fixed overlapping marginals. As an appl...
ICONS
2009
IEEE
14 years 3 months ago
2009
IEEE
—As e-Business and e-Commerce applications are increasingly exposed to a variety of information security threats, corporate decision makers are increasingly forced to pay attenti...
FS
2006
13 years 8 months ago
2006
In this paper we investigate portfolio optimization in a Black-Scholes continuoustime setting under quantile based risk measures: value at risk, capital at risk and relative value...
JORS
2010
13 years 3 months ago
2010
In order to manage model risk, financial institutions need to set up validation processes so as to monitor the quality of the models on an ongoing basis. Validation can be conside...
CORR
2007
Springer
13 years 8 months ago
2007
Springer
We consider the problem of Adverse Selection and optimal derivative design within a Principal-Agent framework. The principal’s income is exposed to non-hedgeable risk factors ar...