Navegação Administração por Assunto "Risk measures"
Resultados 1-6 de 6
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Axiomatic systemic risk measures forecasting
(2018) [Dissertação]In this work, we deepen the study of systemic risk measurement via aggregation functions. We consider three different portfolios as a proxy for an economic system, these portfolios are consisted in two aggregation functions, ... -
A comparison of range value at risk forecasting models
(2021) [Dissertação]Risk forecasting is an important and helpful process for investors, fund managers, traders, and market makers. Choosing an inappropriate risk forecasting model can trigger irreversible losses. In this context, this study ... -
Empirical asset pricing : the relationship between three categories of risk measures and the cross-section of expected stock returns
(2021) [Dissertação]Este estudo examinou as evidências da relação entre treze medidas de risco e os retornos esperados de ações. Consideramos medidas que avaliam a perda, o desvio e ambos os conceitos de risco simultaneamente. Usamos os ... -
Essays on model risk for risk measures
(2019) [Tese]In this dissertation, we present a compilation of three articles discussing model risk for risk measures. In the first one, using Monte Carlo simulation, we analyze the performance of multivariate models in forecasting ... -
On range value at risk backtesting : a study from expected shortfall procedures
(2023) [Dissertação]Risk forecasting has played a major role in the risk management process, drawing the attention of financial organizations, regulators, and the academic community over the past decades to develop better tools to measure ... -
Risk is the new black : uma abordagem com diferentes medidas de risco para o portfólio de clientes
(2022) [Dissertação]A gestão de clientes de uma empresa envolve decisões estratégicas sobre os segmentos que deverão ser priorizados em virtude dos retornos que poderão proporcionar. Do ponto de vista do marketing, tornar a empresa centrada ...