Temat: risk measure - Prolib Integro

Skocz do pozycji: 1.

Tytuł:: Choquet integral calculus on a continuous support and its applications
Autorzy:: Ridaoui, M.
Grabisch, M.
Tematy:: Choquet integral
distorted Lebesgue measure
risk measure
OWA operator; Pokaż więcej
Wydawca:: Politechnika Wrocławska. Oficyna Wydawnicza Politechniki Wrocławskiej
Powiązania:: https://bibliotekanauki.pl/articles/406259.pdf Link otwiera się w nowym oknie
Opis:: The results of the calculation of the Choquet integral of a monotone function on the nonnegative real line have been described. Next, the authors prepresented Choquet integral of nonmonotone functions, by constructing monotone functions from nonmonotone ones by using the increasing or decreasing rearrangement of a nonmonotone function. Finally, this paper considers some applications of these results to the continuous agregation operator OWA, and to the representation of risk measures by Choquet integral.
Dostawca treści:: Biblioteka Nauki

Artykuł

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Skocz do pozycji: 2.

Tytuł:: Axiomatic extension of risk measurement
Aksjomatyczne rozszerzenie pomiaru ryzyka
Autorzy:: Khemissi, Eliza
Tematy:: axioms of risk measure
coherence
VaR
ES; Pokaż więcej
Wydawca:: Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
Powiązania:: https://bibliotekanauki.pl/articles/425304.pdf Link otwiera się w nowym oknie
Opis:: In the article the author introduce the additional axiom of measure of risk and checks, mathematically proving, which well-known functions of risk fulfill this additional axiom. This will be conducted for functions such as: Value at Risk, Expected Shortfall, Median, Absolute Median Deviation, Maximum, Maximum Loss, Half Range, and Arithme- tic Average. In other words, the purpose of the paper is studying which of the above func- tions fulfill the additional axiom of measure of risk, which can enrich Arzner’s and other axioms. This axiom is not a consequence of Arzner’s and other axioms. Furthermore, the author researches mathematically if the mentioned functions of risk retain their properties after replacing the partial order with the stochastic order. Finally the author presents the new measure of risk which fulfills all the axioms of measure of risk and the additional axiom.
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 3.

Tytuł:: A unit Weibull loss distribution with quantile regression and practical applications to actuarial science
Autorzy:: Abubakari, Abdul Ghaniyyu
Nasiru, Suleman
Chesneau, Christophe
Tematy:: loss model
claim
risk measure
premium principles
regression model; Pokaż więcej
Wydawca:: Politechnika Wrocławska. Oficyna Wydawnicza Politechniki Wrocławskiej
Powiązania:: https://bibliotekanauki.pl/articles/58969826.pdf Link otwiera się w nowym oknie
Opis:: A new bounded distribution called the unit Weibull loss distribution has been studied. The corresponding probability density function plots reveal that it is suitable to analyze data that exhibit right skewness, left skewness, and approximately symmetric and decreasing shapes. Furthermore, the corresponding hazard rate function plots indicate that it is adequate to fit data that have J, bathtub, and modified bathtub hazard rate shapes. This makes the new distribution suitable for modeling data with complex characteristics. Statistical properties such as the quantile, moments, and moment-generating function are determined. Risk measures, including the value-at-risk, tail value-at-risk, and tail variance are also calculated. Furthermore, different principles are derived for the computation of insurance premiums. The parameters of the distribution are estimated using different methods, and their performance is assessed via Monte Carlo simulations. The accuracy of the estimates is thus empirically demonstrated. A quantile regression model with responses following the unit distribution is developed. Applications of the proposed distribution and its corresponding regression model to three insurance data sets are carried out, with their performance compared with other models. The results show that they outperform the competitors. Thus, the new methodology can serve as an alternative option to analyze insurance data.
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 4.

Tytuł:: Class of Risk Measures
Wybrane klasy miar ryzyka
Autorzy:: Kopeć, Mateusz
Opis:: Praca objaśnia pojęcie "ryzyka" w sensie matematycznym. Jej głównym celem jest opis dwóch miar ryzyka- miary koherentnej i miary odchyleń oraz przedstawienie teorii w praktyce.
Thesis helps to undestand what the "risk" is in sense of mathematical science. Major role is to define two of risk measures- the coherent risk measure and the generalized deviations risk measure, moreover it shows them in practice.
Dostawca treści:: Repozytorium Uniwersytetu Jagiellońskiego

Inne

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Skocz do pozycji: 5.

Tytuł:: Assets/liabilities portfolio immunization as an optimization problem
Autorzy:: Kondratiuk-Janyska, A.
Kałuszka, M.
Tematy:: immunizacja
zagadnienie optymalizacji
immunization
optimization problem
single risk measures
multiple risk measure; Pokaż więcej
Wydawca:: Polska Akademia Nauk. Instytut Badań Systemowych PAN
Powiązania:: https://bibliotekanauki.pl/articles/969959.pdf Link otwiera się w nowym oknie
Opis:: The aim of this paper is to present bond portfolio immunization strategies in the case of multiple liabilities, based on single-risk or multiple-risk measure models under the assumption of multiple shocks in the term structure of interest rates referring, in particular, to Fong and Vasicek (1984), Nawalkha and Chambers (1996), Balbas and Ibanez (1998) and Hurlimann (2002). Immunization problem is formulated as a constrained optimization problem under a fixed open loop strategy. New risk measures associated with changes of the term structure are also defined.
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 6.

Tytuł:: Ryzyko systemowe-model Mertona
Systemic risk - Mertons model
Autorzy:: Jabłońska, Patrycja
Opis:: Praca magisterska dotyczy ryzyka systemowego w oparciu o model Mertona. Są w niej przedstawione najważniejsze informacje dotyczące modelu, wyjaśnienie na czym polega ryzyko systemowe oraz prezentacja metody obliczania zaproponowanych wskaźników ryzyka systemowego (opcji sprzedaży oraz opcji barierowej) w oparciu o artykuł Alfreda Lehara "Measuring systemic risk: A risk management approach".
This thesis is about systemic risk with refers to Merton's model. It contains main information about this model, explanation what systemic risk is and presentation the method of calculation proposed risk indexes based on Alfred Lehar's article: "Measuring systemic risk: A risk management approach".
Dostawca treści:: Repozytorium Uniwersytetu Jagiellońskiego

Inne

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Skocz do pozycji: 7.

Tytuł:: One-day-ahead forecast of state of turbulence based on todays economic situation
Autorzy:: Chlebus, Marcin
Tematy:: forecasting
state of turbulence
regime switching
risk management
risk measure
market risk; Pokaż więcej
Wydawca:: Instytut Badań Gospodarczych
Powiązania:: https://bibliotekanauki.pl/articles/22446545.pdf Link otwiera się w nowym oknie
Opis:: Research background: In the literature little discussion was made about predicting state of time series in daily manner. The ability to recognize the state of a time series gives, for example, an opportunity to measure the level of risk in a state of tranquility and a state of turbulence independently, which can provide more accurate measurements of the market risk in a financial institution. Purpose of the article: The aim of article is to find an appropriate tools to predict, based on today's economic situation, the state, in which time series of financial data will be tomorrow. Methods: This paper proposes an approach to predict states (states of tranquillity and turbulence) for a current portfolio in a one-day horizon. The prediction is made using 3 different models for a binary variable (Logit, Probit, Cloglog), 4 definitions of a dependent variable (1%, 5%, 10%, 20% of worst realization of returns), 3 sets of independent variables (un-transformed data, PCA analysis and factor analysis). Additionally, an optimal cut-off point analysis is performed. The evaluation of the models was based on the LR test, Hosmer-Lemeshow test, Gini coefficient analysis and CROC criterion based on the ROC curve. The analyses were performed for 43 individual shares and 5 portfolios of shares quoted on the Warsaw Stock Exchange. The study has been conducted for the period from 1 January 2006 to 31 January 2012. Findings & Value added: Six combinations of assumptions have been chosen as appropriate (any model for a binary variable, the dependent variable defined as 5% or 10% of worst realization of returns, untransformed data, 5% or 10% cut-off point respectively). Models built on these assumptions meet all the formal requirements and have a high predictive and discriminant ability to one-day-ahead forecast of state of turbulence based on today's economic situation.
Dostawca treści:: Biblioteka Nauki

Artykuł

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Skocz do pozycji: 8.

Tytuł:: Miara i odwzorowanie ryzyka forward na rynku skończonym
Forward risk measure and application in the finite market model
Autorzy:: Utkin, Joanna
Tematy:: Warunek kalibracji
Warunkowa miara ryzyka
Calibration condition
Conditional risk measure; Pokaż więcej
Wydawca:: Uniwersytet Ekonomiczny w Katowicach
Powiązania:: https://bibliotekanauki.pl/articles/593196.pdf Link otwiera się w nowym oknie
Opis:: Praca dotyczy konstrukcji odwzorowania ryzyka forward w modelu rynku skończonego określonego na strukturze drzewa. Odwzorowanie ryzyka forward jest zdefiniowane dla danej warunkowej wypukłej miary ryzyka, spełniającej warunek kalibracji. Odwzorowanie to nie jest niezmiennicze względem dopłat, lecz jest podaddytywne. W różnych modelach rynków skończonych, wskazane zostały pewne warunkowe miary ryzyka, generujące odwzorowania ryzyka forward.
The paper deals with the construction of the forward risk application in the finite market model with the tree structure. The risk forward application is defined for a given conditional convex risk measure satisfying the generalized calibration condition. Such an application is not cash invariant, but is an subadditive one. In different market models we indicate some conditional risk measures generating forward risk applications.
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 9.

Tytuł:: THE PORTFOLIO OF FINANCIAL ASSETS OPTIMIZATION. DIFFERENT APPROACHES TO ASSESS RISK
Autorzy:: Hrytsiuk, Petro
Tematy:: portfolio of assets
expected return
risk measure
variance
Value-at-Risk
conditional Value-at-Risk; Pokaż więcej
Wydawca:: Szkoła Główna Gospodarstwa Wiejskiego w Warszawie. Katedra Ekonometrii i Statystyki
Powiązania:: https://bibliotekanauki.pl/articles/453543.pdf Link otwiera się w nowym oknie
Opis:: Modern research has led to the rejection of the hypothesis of a normal distribution for financial asset returns. Under these conditions, the portfolio variance loses part of its informativity and can not serve as a good risk measure. The central aim of this work is the development and justification of a new technique of portfolio risk measure. We analyzed weekly stock returns of four largest German concerns: Deutsche Telekom, Siemens AG, Bayer AG and BMW. It is shown that asset returns are not normally distributed, but with good precision follow Laplace distribution (double exponential distribution). Using Laplace distribution function, we obtained the analytical expressions for VaR and CVaR risk measures and made calculations of risk measure using these approaches. Using modified Markowitz model the efficient frontiers of portfolios were constructed.
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 10.

Tytuł:: A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time : LM-measure perspective
Autorzy:: Bielecki, Tomasz R.
Pitera, Marcin
Cialenco, Igor
Opis:: In this work we give a comprehensive overview of the time consistency property of dynamic risk and performance measures, focusing on a the discrete time setup. The two key operational concepts used throughout are the notion of the LM-measure and the notion of the update rule that, we believe, are the key tools for studying time consistency in a unified framework.
Dostawca treści:: Repozytorium Uniwersytetu Jagiellońskiego

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