Download or read book Dynamic Capital Allocation With Distortion Risk Measures written by Andreas Tsanakas and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Tsanakas and Barnett (2002) employed concepts from cooperative game theory (Aumann and Shapley, 1974) for the allocation of risk capital to portfolios of pooled liabilities, when distortion risk measures (Wang et al., 1997) are used. In this paper we generalise previously obtained results in three directions. Firstly, we allow for the presence of non-linear portfolios. Secondly, based on the concept of correlation order (Dhaene and Goovaerts, 1996) we proceed with discussing the links between dependence structures, capital allocation and pricing, as well as dropping a restrictive assumption on the continuity of probability distributions. Finally, we generalise the capital allocation methodology to a dynamic setting and conclude with a numerical example.

Download or read book Differentiability of BSVIEs and Dynamic Capital Allocations written by Eduard Kromer and published by . This book was released on 2015 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: Capital allocations have been studied in conjunction with static risk measures in various papers. The dynamic case has been studied only in a discrete-time setting. We address the problem of allocating risk capital to subportfolios in a continuous-time dynamic context. For this purpose we introduce a classical differentiability result for backward stochastic Volterra integral equations and apply this result to derive continuous-time dynamic capital allocations. Moreover, we study a dynamic capital allocation principle that is based on backward stochastic differential equations and derive the dynamic gradient allocation for the dynamic entropic risk measure.

Download or read book Future Perspectives in Risk Models and Finance written by Alain Bensoussan and published by Springer. This book was released on 2014-11-20 with total page 325 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a perspective on a number of approaches to financial modelling and risk management. It examines both theoretical and practical issues. Theoretically, financial risks models are models of a real and a financial “uncertainty”, based on both common and private information and economic theories defining the rules that financial markets comply to. Financial models are thus challenged by their definitions and by a changing financial system fueled by globalization, technology growth, complexity, regulation and the many factors that contribute to rendering financial processes to be continuously questioned and re-assessed. The underlying mathematical foundations of financial risks models provide future guidelines for risk modeling. The book’s chapters provide selective insights and developments that can contribute to better understand the complexity of financial modelling and its ability to bridge financial theories and their practice. Future Perspectives in Risk Models and Finance begins with an extensive outline by Alain Bensoussan et al. of GLM estimation techniques combined with proofs of fundamental results. Applications to static and dynamic models provide a unified approach to the estimation of nonlinear risk models. A second section is concerned with the definition of risks and their management. In particular, Guegan and Hassani review a number of risk models definition emphasizing the importance of bi-modal distributions for financial regulation. An additional chapter provides a review of stress testing and their implications. Nassim Taleb and Sandis provide an anti-fragility approach based on “skin in the game”. To conclude, Raphael Douady discusses the noncyclical CAR (Capital Adequacy Rule) and their effects of aversion of systemic risks. A third section emphasizes analytic financial modelling approaches and techniques. Tapiero and Vallois provide an overview of mathematical systems and their use in financial modeling. These systems span the fundamental Arrow-Debreu framework underlying financial models of complete markets and subsequently, mathematical systems departing from this framework but yet generalizing their approach to dynamic financial models. Explicitly, models based on fractional calculus, on persistence (short memory) and on entropy-based non-extensiveness. Applications of these models are used to define a modeling approach to incomplete financial models and their potential use as a “measure of incompleteness”. Subsequently Bianchi and Pianese provide an extensive overview of multi-fractional models and their important applications to Asset price modeling. Finally, Tapiero and Jinquyi consider the binomial pricing model by discussing the effects of memory on the pricing of asset prices.

Download or read book Systems Engineering Using the DEJI Systems Model written by Adedeji B. Badiru and published by CRC Press. This book was released on 2022-08-29 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt: While we need to work more with a systems approach, there are few books that provide systems engineering theory and applications. This book presents a comprehensive collection of systems engineering models. Each of the models is fully covered with guidelines of how and why to use them, along with case studies. Systems Engineering Using the DEJI Systems Model®: Evaluation, Justification, and Integration with Case Studies and Applications provides systems integration as a unifying platform for systems of systems and presents a structured model for systems applications and explicit treatment of human-in-the-loop systems. It discusses systems design in detail and covers the justification methodologies along with examples. Systems evaluation tools and techniques are also included with a discussion on how engineering education is playing a major role for systems advancement. Practicing professionals, as well as educational institutions, governments, businesses, and industries, will find this book of interest.

Download or read book To Split or Not to Split written by Andreas Tsanakas and published by . This book was released on 2014 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: Convex risk measures were introduced by Deprez and Gerber (1985). Here the problem of allocating risk capital to subportfolios is addressed, when aggregate capital is calculated by a convex risk measure. The Aumann-Shapley value is proposed as an appropriate allocation mechanism. Distortion-exponential measures are discussed extensively and explicit capital allocation formulas are obtained for the case that the risk measure belongs to this family. Finally the implications of capital allocation with a convex risk measure for the stability of portfolios are discussed.

Download or read book Handbook of Portfolio Construction written by John B. Guerard, Jr. and published by Springer Science & Business Media. This book was released on 2009-12-12 with total page 796 pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio construction is fundamental to the investment management process. In the 1950s, Harry Markowitz demonstrated the benefits of efficient diversification by formulating a mathematical program for generating the "efficient frontier" to summarize optimal trade-offs between expected return and risk. The Markowitz framework continues to be used as a basis for both practical portfolio construction and emerging research in financial economics. Such concepts as the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT), for example, provide the foundation for setting benchmarks, for predicting returns and risk, and for performance measurement. This volume showcases original essays by some of today’s most prominent academics and practitioners in the field on the contemporary application of Markowitz techniques. Covering a wide spectrum of topics, including portfolio selection, data mining tests, and multi-factor risk models, the book presents a comprehensive approach to portfolio construction tools, models, frameworks, and analyses, with both practical and theoretical implications.

Download or read book Handbook of Asset and Liability Management written by Alexandre Adam and published by John Wiley & Sons. This book was released on 2008-03-11 with total page 576 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the Handbook of Asset and Liability Management: From Models to Optimal Return Strategies, Alexandre Adam presents a comprehensive guide to Asset and Liability Management. Written from a quantitative perspective with economic explanations, this book will appeal to both mathematicians and non-mathematicians alike as it gives an operational view on the business. Well structured, this book includes essential information on Balance Sheet Items and Products Modeling, Tools for Asset and Liability Managers, as well as Optimal Returns Strategies. Explaining, in detail, all the written and unwritten rules of Asset Liability Management, using up-to-date models and the latest findings, the Handbook of Asset and Liability Management is an essential tool for Asset and Liability Managers both for the present day and the future.

Download or read book Defense Innovation Handbook written by Adedeji B. Badiru and published by CRC Press. This book was released on 2018-09-03 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: Innovation is the lifeline of national development. This handbook is a collection of chapters that provide techniques and methodologies for achieving the transfer of defense-targeted science and technology development for general industrial applications. The handbook shows how to translate theory and ideas into practical applications. Experts from national defense institutions, government laboratories, business, and industry contributed chapters to this handbook. The handbook also serves as an archival guide for nations, communities, and businesses expecting to embark upon science and technology transfer to industry. Included are several domestic and international case examples of practical innovation. Since the dawn of history, nations have engrossed themselves in developing new tools, techniques, and methodologies to protect their geographical boundaries. From the crude implements used by prehistorical people to very modern technologies, the end game has been the same. That is, to protect the homeland. Even in times of peace, efforts must be made to develop new machinery, equipment, processes, and devices targeted for the protection of the nation. The emergence of organized nations and structured communities facilitated even more innovative techniques of national defense. Evolution, revolution, and innovation have defined human existence for millennia. From the Ice Age to the Stone Age, the Bronze Age, the Iron Age, and to the modern age, innovation, rudimentary as it may be in many cases, has determined how humans move from one stage to the next. This comprehensive handbook provides a clear guide on the nuances of initiating and actualizing innovation. Both the qualitative and quantitative aspects of innovation are covered in the handbook. Features: Uses a systems framework to zero in on science and technology transfer Focuses on leveraging technical developments in defense organizations for general societal applications Coalesces the transfer strategies collated from various sources and practical applications Represents a world-class diverse collection of science and technology development, utilization, and transfer Highlights a strategy for government, academia, and industry partnerships

Download or read book Risk Capital Allocation by Coherent Risk Measures Based on One side Moments written by Tom Fischer and published by . This book was released on 2002 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Encyclopedia of Quantitative Risk Analysis and Assessment R Z written by Edward L. Melnick and published by . This book was released on 2008 with total page 616 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Economic Capital Allocation Using Risk Measures and Game Theory written by Luca Festini and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Quantitative Fund Management written by M.A.H. Dempster and published by CRC Press. This book was released on 2008-12-22 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: The First Collection That Covers This Field at the Dynamic Strategic and One-Period Tactical Levels. Addressing the imbalance between research and practice, Quantitative Fund Management presents leading-edge theory and methods, along with their application in practical problems encountered in the fund management industry. A Current Snapshot of State-of-the-Art Applications of Dynamic Stochastic Optimization Techniques to Long-Term Financial Planning - The first part of the book initially looks at how the quantitative techniques of the equity industry are shifting from basic Markowitz mean-variance portfolio optimization to risk management and trading applications. This section also explores novel aspects of lifetime individual consumption investment problems, fixed-mix portfolio rebalancing allocation strategies, debt management for funding mortgages and national debt, and guaranteed return fund construction. Up-to-Date Overview of Tactical Financial Planning and Risk Management - The second section covers nontrivial computational approaches to tactical fund management. This part focuses on portfolio construction and risk management at the individual security or fund manager level over the period up to the next portfolio rebalance. It discusses non-Gaussian returns, new risk-return tradeoffs, and the robustness of benchmarks and portfolio decisions. The Future Use of Quantitative Techniques in Fund Management - With contributions from well-known academics and practitioners, this volume will undoubtedly foster the recognition and wider acceptance of stochastic optimization techniques in financial practice.

Download or read book Capital Allocation for Set Valued Risk Measures written by Francesca Centrone and published by . This book was released on 2019 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: We introduce the notion of set-valued Capital Allocation rule, and study Capital allocation principles for multivariate set-valued coherent and convex risk measures. We compare these rules with some of those mostly used for univariate (single-valued) risk measures.

Download or read book Economic Capital Allocation Derived from Risk Measures written by M. J. Goovaerts and published by . This book was released on 2002 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Handbook of the Fundamentals of Financial Decision Making written by Leonard C. MacLean and published by World Scientific. This book was released on 2013 with total page 941 pages. Available in PDF, EPUB and Kindle. Book excerpt: This handbook in two parts covers key topics of the theory of financial decision making. Some of the papers discuss real applications or case studies as well. There are a number of new papers that have never been published before especially in Part II.Part I is concerned with Decision Making Under Uncertainty. This includes subsections on Arbitrage, Utility Theory, Risk Aversion and Static Portfolio Theory, and Stochastic Dominance. Part II is concerned with Dynamic Modeling that is the transition for static decision making to multiperiod decision making. The analysis starts with Risk Measures and then discusses Dynamic Portfolio Theory, Tactical Asset Allocation and Asset-Liability Management Using Utility and Goal Based Consumption-Investment Decision Models.A comprehensive set of problems both computational and review and mind expanding with many unsolved problems are in an accompanying problems book. The handbook plus the book of problems form a very strong set of materials for PhD and Masters courses both as the main or as supplementary text in finance theory, financial decision making and portfolio theory. For researchers, it is a valuable resource being an up to date treatment of topics in the classic books on these topics by Johnathan Ingersoll in 1988, and William Ziemba and Raymond Vickson in 1975 (updated 2 nd edition published in 2006).

Download or read book Actuarial Theory for Dependent Risks written by Michel Denuit and published by John Wiley & Sons. This book was released on 2006-05-01 with total page 458 pages. Available in PDF, EPUB and Kindle. Book excerpt: The increasing complexity of insurance and reinsurance products has seen a growing interest amongst actuaries in the modelling of dependent risks. For efficient risk management, actuaries need to be able to answer fundamental questions such as: Is the correlation structure dangerous? And, if yes, to what extent? Therefore tools to quantify, compare, and model the strength of dependence between different risks are vital. Combining coverage of stochastic order and risk measure theories with the basics of risk management and stochastic dependence, this book provides an essential guide to managing modern financial risk. * Describes how to model risks in incomplete markets, emphasising insurance risks. * Explains how to measure and compare the danger of risks, model their interactions, and measure the strength of their association. * Examines the type of dependence induced by GLM-based credibility models, the bounds on functions of dependent risks, and probabilistic distances between actuarial models. * Detailed presentation of risk measures, stochastic orderings, copula models, dependence concepts and dependence orderings. * Includes numerous exercises allowing a cementing of the concepts by all levels of readers. * Solutions to tasks as well as further examples and exercises can be found on a supporting website. An invaluable reference for both academics and practitioners alike, Actuarial Theory for Dependent Risks will appeal to all those eager to master the up-to-date modelling tools for dependent risks. The inclusion of exercises and practical examples makes the book suitable for advanced courses on risk management in incomplete markets. Traders looking for practical advice on insurance markets will also find much of interest.

Download or read book Risk Measures and Capital Allocation written by Chun-Ju Wang and published by . This book was released on 2010 with total page 144 pages. Available in PDF, EPUB and Kindle. Book excerpt: Keywords: risk measures, capital allocation, conherency, VaR, expected shortfall, backtesting.