Risk Measures and Stochastic Orders Using Integrals of Distorted Quantile Functions

2012 ◽  
pp. 261-269
Author(s):  
Miguel Mendes ◽  
Ignacio Cascos
Keyword(s):  
Risk Measures ◽  
Stochastic Orders ◽  
Quantile Functions

scholarly journals Stochastic orders and risk measures: Consistency and bounds

2006 ◽  
Vol 38 (1) ◽  
pp. 132-148 ◽  
Author(s):  
Nicole Bäuerle ◽  
Alfred Müller
Keyword(s):  
Risk Measures ◽  
Stochastic Orders

Stochastic orders and co-risk measures under positive dependence

2018 ◽  
Vol 78 ◽  
pp. 105-113 ◽  
Author(s):  
M.A. Sordo ◽  
A.J. Bello ◽  
A. Suárez-Llorens
Keyword(s):  
Risk Measures ◽  
Stochastic Orders ◽  
Positive Dependence

Utilizing Downside Risk Measures

2014 ◽  
Vol 31 (3) ◽  
pp. 42-50 ◽  
Author(s):  
Michelle McCarthy
Keyword(s):  
Risk Measures ◽  
Downside Risk

Risk measures and the impact of asset price bubbles

2015 ◽  
Vol 17 (3) ◽  
pp. 35-56 ◽  
Author(s):  
Robert Jarrow ◽  
Felipe Bastos G. Silva
Keyword(s):  
Risk Measures ◽  
Asset Price ◽  
Asset Price Bubbles ◽  
Price Bubbles ◽  
The Impact

Quality control of risk measures: backtesting VAR models

2007 ◽  
Vol 9 (2) ◽  
pp. 39-54 ◽  
Author(s):  
Victor de la Pena ◽  
Ricardo Rivera ◽  
Jesus Ruiz-Mata
Keyword(s):  
Quality Control ◽  
Risk Measures ◽  
Var Models
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