On exactitude in financial regulation: Value-at-risk, expected shortfall, and expectiles

JM Chen - Risks, 2018 - mdpi.com
This article reviews two leading measures of financial risk and an emerging alternative.
Embraced by the Basel accords, value-at-risk and expected shortfall are the leading …

Operational risk in financial services: A review and new research opportunities

Y Xu, M Pinedo, M Xue - Production and Operations …, 2017 - journals.sagepub.com
We present a framework to describe and analyze operational risk in financial services from
an operations management perspective, focusing in particular on process design, process …

[图书][B] Understanding and Managing Model Risk: A practical guide for quants, traders and validators

M Morini - 2011 - books.google.com
A guide to the validation and risk management of quantitative models used for pricing and
hedging Whereas the majority of quantitative finance books focus on mathematics and risk …

FRM financial risk meter

A Mihoci, M Althof, CYH Chen… - The Econometrics of …, 2020 - emerald.com
A systemic risk measure is proposed accounting for links and mutual dependencies
between financial institutions utilizing tail event information. Financial Risk Meter (FRM) is …

[图书][B] Model risk in financial markets: From financial engineering to risk management

RS Tunaru - 2015 - books.google.com
The financial systems in most developed countries today build up a large amount of model
risk on a daily basis. However, this is not particularly visible as the financial risk …

Time consistent vs. time inconsistent dynamic asset allocation: Some utility cost calculations for mean variance preferences

A Lioui - Journal of Economic Dynamics and Control, 2013 - Elsevier
We solve for the time consistent dynamic asset allocation of an investor with a mean
variance objective function in a multiple assets affine setting. We use as a benchmark the …

Operations in financial services: Processes, technologies, and risks

M Pinedo, Y Xu - Foundations and Trends® in Technology …, 2017 - nowpublishers.com
This monograph is an attempt to establish a framework for Operations in Financial Services
as a research area from an Operations Management perspective. Operations in Financial …

[HTML][HTML] The incremental information in the yield curve about future interest rate risk

BJ Christensen, MM Kjær, B Veliyev - Journal of Banking & Finance, 2023 - Elsevier
Using high-frequency intraday futures prices to measure yield volatility at selected
maturities, we find that daily yield curves carry incremental information about future interest …

A Random Field LIBOR Market Model

TL Wu, S Xu - Journal of Futures Markets, 2014 - Wiley Online Library
A random field LIBOR market model (RFLMM) is proposed by extending the LIBOR market
model, with interest rate uncertainties modeled via a random field. First, closed‐form …

[PDF][PDF] Immunization with consistent term structure dynamics

D Borup, BJ Christensen, JW Hansen - Immunization With Consistent Term …, 2022 - hhs.se
Immunization with consistent term structure dynamics - Conference in Memory of Tomas Björk,
SHoF, Stockholm, October 10-11, 202 Page 1 Immunization with consistent term structure …