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Economy & Finance project_Onal_Wimberly.ppt

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…

Business ASSET/LIABILITY MANAGEMENT FOR PENSION FUNDS USING CVaR ...

1. ASSET/LIABILITY MANAGEMENT FOR PENSION FUNDS USING CVaR CONSTRAINTS RESEARCH REPORT #2001-10Erik Bogentoft1 , H. Edwin Romeijn2 , and Stanislav Uryasev3 Risk Management…

Economy & Finance Synthetic CDOs: modelling, valuation and 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…

Documents Risk Measurement From Theory to Practice: Is Your Risk Metric Coherent and Empirically Justified?

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…

Documents MPRA Paper 26342

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/…

Documents Stochastic Optimization ESI 6912 Instructor: Prof. S. Uryasev NOTES 7: Algorithms and Applications.

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.…

Documents Nonparametric estimation of conditional VaR and expected shortfall

Nonparametric estimation of conditional VaR and expected shortfall Nonparametric estimation of conditional VaR and expected shortfall Journal of Econometrics 147 (2008) 120-130…

Documents Retail Electricity Markets with Risk Aversion and Asset Swaps

EPOC Winter Workshop 2010 Anthony Downward, David Young, Golbon Zakeri Outline Motivation Background Risk Aversion Retail Markets Model Two-stage Entry into retail market…

Documents Beyond Value At Risk

1. Beyond Value At Risk 11-12 October, 2012, AmsterdamCALCULATIONS, INTERPRETATIONS AND EXTENSIONSCourse LeaderJeroen Koster, Mercurious 2. Beyond Value at RiskOURS Practical,…