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Search for publications relevant for "risk measure"
risk measure
Publication
Class
Person
Publication
Programmes
publication
Coherent risk measures
2012 |
Faculty of Social Sciences
publication
Risk measures in finance revisited
2010 |
Faculty of Mathematics and Physics
publication
Salience, systemic risk and spectral risk measures as capital requirements
2021 |
Faculty of Social Sciences, Faculty of Mathematics and Physics, Centre for Economic Research and Graduate Education
publication
Stochastic Dominance Constrained Portfolio Optimization with Distortion Risk Measures
2022 |
Faculty of Mathematics and Physics
publication
Risk measures in finance
2008 |
Faculty of Mathematics and Physics
publication
Attribution analysis, performance and risk measurement
2008 |
Faculty of Social Sciences
publication
A note on Credit Risk Measurment
2000 |
Faculty of Mathematics and Physics
publication
Minimal Risk Portfolios under SSD efficiency constraints
2014 |
Faculty of Mathematics and Physics
publication
Decision problems with stochastic dominance constraints
2013 |
Faculty of Mathematics and Physics
publication
Convergence of approximate solutions in mean-risk models
2010 |
Faculty of Mathematics and Physics
publication
STRESS TESTING FOR RISK-AVERSE STOCHASTIC PROGRAMS
2015 |
Faculty of Mathematics and Physics
publication
DEA-Risk Efficiency and Stochastic Dominance Efficiency of Stock Indices
2012 |
Faculty of Mathematics and Physics
publication
Structure of risk-averse multistage stochastic programs
2015 |
Faculty of Mathematics and Physics
publication
DEA-risk efficiency of stock indices
2010 |
Faculty of Mathematics and Physics
publication
Bilevel Models in Portfolio Selection Problems
2023 |
Faculty of Mathematics and Physics
publication
From stochastic dominance to DEA-risk models: portfolio efficiency analysis
2012 |
Faculty of Mathematics and Physics
publication
Real-time changepoint detection in a nonlinear expectile model
2023 |
Faculty of Mathematics and Physics
publication
Risk-aversion in data envelopment analysis models with diversification
2021 |
Faculty of Mathematics and Physics
publication
Economic capital and risk management
2012 |
Faculty of Social Sciences, Faculty of Mathematics and Physics
publication
Modeling mortgage loss distribution
2009 |
Faculty of Social Sciences
publication
Stress testing for VaR and CVaR
2008 |
Faculty of Mathematics and Physics
publication
On variance reduction of mean-CVaR Monte Carlo estimators
2015 |
Faculty of Mathematics and Physics
publication
Testing the structure of multistage stochastic programs
2009 |
Faculty of Mathematics and Physics
publication
Local Stability and Differentiability of the Mean-Conditional Value at Risk Model Defined on the Mixed-Integer Loss Functions
2010 |
Faculty of Mathematics and Physics
publication
Calculation of the capital requirement for technical risk in non-life insurance using a multiplicative model
2007 |
Faculty of Mathematics and Physics
publication
EMPIRICAL REGRESSION QUANTILE PROCESSES
2020 |
Faculty of Mathematics and Physics
publication
Operational risk management-stress testing and scenario analysis
2010 |
Faculty of Social Sciences
publication
Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization
2018 |
Faculty of Mathematics and Physics
publication
Special Issue: Topics in Stochastic Programming
2022 |
Faculty of Mathematics and Physics
publication
Systemic Risk in Financial Risk Regulation
2017 |
Faculty of Mathematics and Physics