1. Risk Management for Mutual Fund Portfolios An Analysis of Linear Rebalancing Strategies Mehmet ÖNAL David WIMBERLY 2. Introduction We seek to apply formal risk management…
1. ASSET/LIABILITY MANAGEMENT FOR PENSION FUNDS USING CVaR CONSTRAINTS RESEARCH REPORT #2001-10Erik Bogentoft1 , H. Edwin Romeijn2 , and Stanislav Uryasev3 Risk Management…
1. SYNTHETIC CDOs Modelling, Valuation and Risk Management Credit derivatives have enjoyed explosive growth in the last decade. One of the most important assets in this industry…
1. Risk Measurement from Theory to Practice: Is Your Risk MetricCoherent and Empirically Justified?The Abstract I present desirable features for a risk metric, incorporating…
MPRA Munich Personal RePEc Archive Minimizing Conditional Value-at-Risk under Constraint on Expected Value Jing Li and Mingxin Xu 22. February 2009 Online at http://mpra.ub.uni-muenchen.de/26342/…
Stochastic Optimization ESI 6912 Instructor: Prof. S. Uryasev NOTES 7: Algorithms and Applications Content 1. Value-at-Risk (VaR) a. Definition b. Features c. Examples 2.…
Nonparametric estimation of conditional VaR and expected shortfall Nonparametric estimation of conditional VaR and expected shortfall Journal of Econometrics 147 (2008) 120-130…
1. Beyond Value At Risk 11-12 October, 2012, AmsterdamCALCULATIONS, INTERPRETATIONS AND EXTENSIONSCourse LeaderJeroen Koster, Mercurious 2. Beyond Value at RiskOURS Practical,…