Beyond cash-additive risk measures: when changing the numéraire fails
We discuss risk measures representing the minimum amount of capital a financial institution
needs to raise and invest in a pre-specified eligible asset to ensure it is adequately …
needs to raise and invest in a pre-specified eligible asset to ensure it is adequately …
[HTML][HTML] Niveloids and their extensions: Risk measures on small domains
Given a functional defined on a nonempty subset of an Archimedean Riesz space with unit,
necessary and sufficient conditions are obtained for the existence of a (convex or concave) …
necessary and sufficient conditions are obtained for the existence of a (convex or concave) …
Capital requirements with defaultable securities
We study capital requirements for bounded financial positions defined as the minimum
amount of capital to invest in a chosen eligible asset targeting a pre-specified acceptability …
amount of capital to invest in a chosen eligible asset targeting a pre-specified acceptability …
[PDF][PDF] Measuring risk beyond the cash-additive paradigm
CA Munari - 2015 - research-collection.ethz.ch
The theory of risk measures has become a well-recognized research area since the
publication of the landmark paper by Artzner, Delbaen, Eber and Heath in 1999. In the …
publication of the landmark paper by Artzner, Delbaen, Eber and Heath in 1999. In the …
Expectation of the truncated randomly weighted sums with dominatedly varying summands
E Jaunė, O Ragulina, J Šiaulys - Lithuanian Mathematical Journal, 2018 - Springer
We consider the asymptotic behavior of the values P (S> x), E (S 1 {S> x}), and E (S| S> x).
Here S= θ 1 X 1+ θ 2 X 2+···+ θ n X n is a randomly weighted sum of the basic random …
Here S= θ 1 X 1+ θ 2 X 2+···+ θ n X n is a randomly weighted sum of the basic random …
Asymptotic risk decomposition for regularly varying distributions with tail dependence
E Jaunė, J Šiaulys - Applied Mathematics and Computation, 2022 - Elsevier
In this paper we investigate the limiting behaviour of Conditional Tail Expectation (CTE) and
its decomposition for a sum of real-valued tail-dependent random variables with regularly …
its decomposition for a sum of real-valued tail-dependent random variables with regularly …
Representations of set-valued risk measures defined on the -tensor product of Banach lattices
CCA Labuschagne, TM Offwood-Le Roux - Positivity, 2014 - Springer
We obtain a representation for set-valued risk measures which are defined on the completed
l l-tensor product E ⊗ _l GE⊗~ l G of Banach lattices EE and G G. This representation …
l l-tensor product E ⊗ _l GE⊗~ l G of Banach lattices EE and G G. This representation …
Risk measures on ordered non-reflexive Banach spaces
CE Kountzakis - Journal of Mathematical Analysis and Applications, 2011 - Elsevier
This work is devoted to the study of coherent and convex risk measure on non-reflexive
Banach spaces. An extension of dual representation and continuity results which hold in the …
Banach spaces. An extension of dual representation and continuity results which hold in the …
Acceptability indices of performance for bounded Càdlàg processes
CE Kountzakis, D Rossello - Stochastics, 2020 - Taylor & Francis
Indices of acceptability are well suited to frame the axiomatic features of many performance
measures, associated to terminal random cash flows. We extend this notion to classes of …
measures, associated to terminal random cash flows. We extend this notion to classes of …