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Homeen-gbA theory for combinations of risk measuresThis paper investigates combinations of risk measures under no restrictive assumption on the set of alternatives, obtaining results regarding the preservation of properties and acceptance sets for these combinations of risk measures.
https://www.risk.net/journal-of-risk/7956397/a-theory-for-combinations-of-risk-measures
https://www.risk.net/journal-of-risk/7956397/a-theory-for-combinations-of-risk-measures
Fri, 31 Mar 2023 11:54:03 +0100 A consumer credit risk structural model based on affordability: balance at risk
https://www.risk.net/journal-of-credit-risk/6743521/a-consumer-credit-risk-structural-model-based-on-affordability-balance-at-risk
https://www.risk.net/journal-of-credit-risk/6743521/a-consumer-credit-risk-structural-model-based-on-affordability-balance-at-risk
Mon, 17 Jun 2019 15:00:39 +0100 Shortfall deviation risk: an alternative for risk measurementIn 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.
https://www.risk.net/journal-of-risk/2476221/shortfall-deviation-risk-an-alternative-for-risk-measurement
https://www.risk.net/journal-of-risk/2476221/shortfall-deviation-risk-an-alternative-for-risk-measurement
Wed, 23 Nov 2016 09:00:00 +0000