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On the reliability of integrated risk measurement in practice 综合风险度量在实践中的可靠性研究
IF 0.7 4区 经济学
Journal of Risk Pub Date : 2013-03-01 DOI: 10.21314/JOR.2013.260
P. Grundke
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引用次数: 5
Dynamic option-based strategies under downside loss aversion 规避下行损失的动态期权策略
IF 0.7 4区 经济学
Journal of Risk Pub Date : 2013-03-01 DOI: 10.21314/JOR.2013.259
Amine Jalal
{"title":"Dynamic option-based strategies under downside loss aversion","authors":"Amine Jalal","doi":"10.21314/JOR.2013.259","DOIUrl":"https://doi.org/10.21314/JOR.2013.259","url":null,"abstract":"","PeriodicalId":46697,"journal":{"name":"Journal of Risk","volume":"15 1","pages":"69-85"},"PeriodicalIF":0.7,"publicationDate":"2013-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67717410","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
The alpha alignment factor: a solution to the underestimation of risk for optimized active portfolios α对齐因子:优化主动投资组合风险低估的解决方案
IF 0.7 4区 经济学
Journal of Risk Pub Date : 2013-03-01 DOI: 10.21314/JOR.2013.261
Anureet Saxena, Robert A. Stubbs
{"title":"The alpha alignment factor: a solution to the underestimation of risk for optimized active portfolios","authors":"Anureet Saxena, Robert A. Stubbs","doi":"10.21314/JOR.2013.261","DOIUrl":"https://doi.org/10.21314/JOR.2013.261","url":null,"abstract":"","PeriodicalId":46697,"journal":{"name":"Journal of Risk","volume":"15 1","pages":"3-37"},"PeriodicalIF":0.7,"publicationDate":"2013-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67717945","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 18
The importance of attributing active risk to benchmark-relative sources 将主动风险归因于基准相关来源的重要性
IF 0.7 4区 经济学
Journal of Risk Pub Date : 2012-12-01 DOI: 10.21314/JOR.2012.253
B. Davis, J. Menchero
{"title":"The importance of attributing active risk to benchmark-relative sources","authors":"B. Davis, J. Menchero","doi":"10.21314/JOR.2012.253","DOIUrl":"https://doi.org/10.21314/JOR.2012.253","url":null,"abstract":"","PeriodicalId":46697,"journal":{"name":"Journal of Risk","volume":"15 1","pages":"59-76"},"PeriodicalIF":0.7,"publicationDate":"2012-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67717716","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A variational derivation of risk-adjusted performance measures 风险调整绩效度量的变分推导
IF 0.7 4区 经济学
Journal of Risk Pub Date : 2012-12-01 DOI: 10.21314/JOR.2012.257
George Xiang, Jiangyang Liu, Qi Wang
{"title":"A variational derivation of risk-adjusted performance measures","authors":"George Xiang, Jiangyang Liu, Qi Wang","doi":"10.21314/JOR.2012.257","DOIUrl":"https://doi.org/10.21314/JOR.2012.257","url":null,"abstract":"","PeriodicalId":46697,"journal":{"name":"Journal of Risk","volume":"15 1","pages":"45-58"},"PeriodicalIF":0.7,"publicationDate":"2012-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67717327","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Sample tangency portfolio, representativeness and ambiguity: impact of the law of small numbers 样本切线组合、代表性与模糊性:小数定律的影响
IF 0.7 4区 经济学
Journal of Risk Pub Date : 2012-09-20 DOI: 10.4324/9780203804988-17
M. Hodge
{"title":"Sample tangency portfolio, representativeness and ambiguity: impact of the law of small numbers","authors":"M. Hodge","doi":"10.4324/9780203804988-17","DOIUrl":"https://doi.org/10.4324/9780203804988-17","url":null,"abstract":"","PeriodicalId":46697,"journal":{"name":"Journal of Risk","volume":"1 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2012-09-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70596024","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Pricing to acceptability: with applications to valuation of one’s own credit risk 可接受性定价：应用于自身信用风险评估
IF 0.7 4区 经济学
Journal of Risk Pub Date : 2012-09-01 DOI: 10.21314/JOR.2012.252
E. Eberlein, Thomas Gehrig, A. Freiburg, D. Madan, R. H. Smith
{"title":"Pricing to acceptability: with applications to valuation of one’s own credit risk","authors":"E. Eberlein, Thomas Gehrig, A. Freiburg, D. Madan, R. H. Smith","doi":"10.21314/JOR.2012.252","DOIUrl":"https://doi.org/10.21314/JOR.2012.252","url":null,"abstract":"The theory of pricing to acceptability developed for incomplete markets is applied to marking one’s own default risk. It is observed in agreement with Heckman (2004), that assets and liabilities are not to be valued in \u0085nancial reporting at the same magnitude. Liabilities are marked at ask prices that are above the asset mark at bid prices. Applying cones of acceptability de\u0085ned by concave distortions it is observed that counterintuitive pro\u0085tability resulting from credit deterioration is mitigated. We argue that the di¤erence between the liability mark at ask and the asset mark at bid be taken as an upfront expense deposited in a special account called the ODOR account for Own Default Operating Reserve. Procedures are described for pricing coupon bonds separately as assets and liabilities. These procedures employ the default time distribution embedded in the CDS market.","PeriodicalId":46697,"journal":{"name":"Journal of Risk","volume":"15 1","pages":"91-120"},"PeriodicalIF":0.7,"publicationDate":"2012-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67717628","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 14
FAILURE OF SADDLE-POINT METHOD IN THE PRESENCE OF DOUBLE DEFAULTS 存在双重违约时鞍点法失效
IF 0.7 4区 经济学
Journal of Risk Pub Date : 2012-09-01 DOI: 10.21314/JOR.2012.250
E. Lütkebohmert
{"title":"FAILURE OF SADDLE-POINT METHOD IN THE PRESENCE OF DOUBLE DEFAULTS","authors":"E. Lütkebohmert","doi":"10.21314/JOR.2012.250","DOIUrl":"https://doi.org/10.21314/JOR.2012.250","url":null,"abstract":"We show that the saddle-point approximation method to quantify the impact of undiversi?ed idiosyncratic risk in a credit portfolio is inappropriate in the presence of double default effects. Speci?cally, we prove that there does not exist an equivalent formula to the granularity adjustment, that accounts for guarantees, in case of the extended single-factor CreditRisk+ model. Moreover, in case of the model underlying the double default treatment within the internal ratings based (IRB) approach of Basel II, the saddle-point equivalent to the GA is too complex and involved to be competitive to a standard Monte Carlo approach.","PeriodicalId":46697,"journal":{"name":"Journal of Risk","volume":"15 1","pages":"71-89"},"PeriodicalIF":0.7,"publicationDate":"2012-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67717450","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Calibrating risk preferences with the generalized capital asset pricing model based on mixed conditional value-at-risk deviation 基于风险偏离混合条件值的广义资本资产定价模型校正风险偏好
IF 0.7 4区 经济学
Journal of Risk Pub Date : 2012-09-01 DOI: 10.21314/JOR.2012.249
Konstantin Kalinchenko, S. Uryasev, R. Rockafellar
{"title":"Calibrating risk preferences with the generalized capital asset pricing model based on mixed conditional value-at-risk deviation","authors":"Konstantin Kalinchenko, S. Uryasev, R. Rockafellar","doi":"10.21314/JOR.2012.249","DOIUrl":"https://doi.org/10.21314/JOR.2012.249","url":null,"abstract":"The generalized capital asset pricing model based on mixed conditional valueat-risk (CVaR) deviation is used for calibrating the risk preferences of investors. Risk preferences are determined by coefficients in the mixed CVaR deviation. The corresponding new generalized beta is designed to capture the tail performance of S&P 500 returns. Calibration of the coefficients is done by extracting information about risk preferences from put-option prices on the S&P 500. Actual market option prices are matched with the estimated prices from the pricing equation based on the generalized beta. Calibration is done for 153 moments in time with intervals of approximately one month. Results demonstrate that the risk preferences of investors change over time, reflecting investors’ concern about potential tail losses. A new index of fear is introduced, calculated as a sum of several coefficients in the mixed CVaR deviation.","PeriodicalId":46697,"journal":{"name":"Journal of Risk","volume":"15 1","pages":"45-70"},"PeriodicalIF":0.7,"publicationDate":"2012-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67717372","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 15
Sample Tangency Portfolio, Representativeness and Ambiguity: Impact of the Law of Small Numbers 样本切线组合、代表性与歧义:小数法则的影响
IF 0.7 4区 经济学
Journal of Risk Pub Date : 2012-09-01 DOI: 10.2139/SSRN.1364292
Ghislain Yanou
{"title":"Sample Tangency Portfolio, Representativeness and Ambiguity: Impact of the Law of Small Numbers","authors":"Ghislain Yanou","doi":"10.2139/SSRN.1364292","DOIUrl":"https://doi.org/10.2139/SSRN.1364292","url":null,"abstract":"We provide a model for understanding the impact of the sample size neglect when an investor, hoping for the tangency portfolio uses the sample estimator of the covariance matrix for this purpose. By assuming a wrong hypothesis, we are looking for a family of covariance matrices such as their difference in terms of the utility function with the sample one is a decreasing function of the latter under a wrong hypothesis regarding the market structure of returns. This approach allows us to characterize the ambiguity of investor reliance on the Sharpe model (the most, the less and the relative ambiguous investors), and to compute a covariance matrix characterizing each ambiguity profile. We show that the expected loss is better for the most ambiguous, than for the relative ambiguous which is better than the one obtained from the less ambiguous profiles. However, they are all better than the sample covariance matrix. We show how the relative profile denotes actually an equilibrium state between the two extreme cases, and may be viewed as a multi-criteria maxmin approach. We show that ambiguity comes actually from the finite sample property of the investment universe and follows a power law distribution. We also derive an analytical expression of the risk aversion coming from the sample size neglect.","PeriodicalId":46697,"journal":{"name":"Journal of Risk","volume":"15 1","pages":"3-44"},"PeriodicalIF":0.7,"publicationDate":"2012-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68170020","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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