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Multi-period portfolio selection with interval-based conditional value-at-risk
We propose a multi-period mean-risk portfolio model based as a risk measure on the interval conditional value at risk (ICVaR). The ICVaR was...
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Messung von Marktpreisrisiken (Value at Risk)
In der Regel erfolgt die Messung von Marktpreisrisiken durch die Messzahl Value at Risk. Durch sie wird das Marktpreisänderungsrisiko einer Position...
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Implied value-at-risk and model-free simulation
We propose a novel model-free approach for extracting the risk-neutral quantile function of an asset using options written on this asset. We develop...
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Autoregressive conditional dynamic semivariance models with value-at-risk estimates
A variant of the autoregressive conditional heteroscedastic (ARCH) process called as autoregressive conditional dynamic semivariance process (ARCDS)...
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Mixed-frequency quantile regressions to forecast value-at-risk and expected shortfall
Although quantile regression to calculate risk measures is widely established in the financial literature, when considering data observed at...
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Zero-sum stochastic games with the average-value-at-risk criterion
This paper introduces an average-value-at-risk (AVaR) criterion for discrete-time zero-sum stochastic games with varying discount factors. The state...
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Supply chain risk network value at risk assessment using Bayesian belief networks and Monte Carlo simulation
Several techniques have been proposed in supply chain risk management to capture causality among risks in a network setting and prioritize risks...
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Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with Conditional Value-at-Risk (CVaR) constraint
We present an optimization problem to determine the minimum capital requirement for a non-life insurance company. The optimization problem imposes a...
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Robust scheduling in a two-machine re-entrant flow shop to minimise the value-at-risk of the makespan: branch-and-bound and heuristic algorithms based on Markovian activity networks and phase-type distributions
This paper addresses a two-machine re-entrant flow shop scheduling problem with stochastic processing times where each job is expected to require a...
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Designing higher value roads to preserve species at risk by optimally controlling traffic flow
The construction and operation of linear infrastructure has major impacts on biodiversity through loss of habitat, increased mortality and loss of...
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Forecasting Value-at-Risk in turbulent stock markets via the local regularity of the price process
A new computational approach based on the pointwise regularity exponent of the price time series is proposed to estimate Value at Risk. The forecasts...
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Partially ordered data sets and a new efficient method for calculating multivariate conditional value-at-risk
Recent studies in Lee and Prékopa (Oper Res Lett 45:19–24, 2017) and Lee (Oper Res Lett 45:1204–1220, 2017) showed that a union of partially ordered...
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Investition und Finanzierung Grundlagen der betrieblichen Finanzwirtschaft
Das Lehrbuch definiert die Ziele der Investitions- und Finanzpolitik in Unternehmen und erklärt einfach und verständlich die Grundlagen und Methoden...
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Quantification of Structural Liquidity Risk in Banks
Structural liquidity risk is a material risk resulting from the core banking business of taking in short-term deposits and lending out long-term...
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Project portfolio selection and scheduling optimization based on risk measure: a conditional value at risk approach
Project portfolios are considered “powerful strategic weapons” for implementing corporate strategy. Projects are exposed to different types of risks....
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Location and Strategies in Stackelberg Security Games with Risk Aversion
In Stackelberg security games, a leader locates security resources to protect a set of targets from strategic adversaries that aim to attack these...
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Enhanced indexing using weighted conditional value at risk
We propose an enhanced indexing portfolio optimization model that not only seeks to maximize the excess returns over and above the benchmark index...
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The economic incentive for risk taking in professional partnerships
Professional service firms are common in some areas, in particular auditing and law. They are organized as partnerships, private corporations, or...
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Addressing the economic and demographic complexity via a neural network approach: risk measures for reverse mortgages
The study deals with the application of a neural network algorithm for fronting and solving problems connected with the riskiness in financial...
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Corporate Borrowing
Borrowing is an important source of finance for companies, big and small. In this chapter we introduce you to the varied world of debt. We look at...