Marcelo Brutti Righi
Federal University of Rio Grande do Sul
Marcelo Brutti Righi is full professor of finance at school of business from the Federal University of Rio Grande do Sul. His main focus of research is risk management and mathematical finance. Has publications and acts as a reviewer in journals with international prestige, such as Journal of Banking & Finance, Journal of Economics and Business, European Journal of Operational Research, Economic Modelling, Expert Systems with Applications, International Review of Financial Analysis, Journal of Risk, Physica A, Energy Economics, Journal of Risk Model Validation, among others.
In this paper, the authors propose the SDR risk measure to consider the degree of dispersion of an extreme loss in addition to its expected value.