Loss-Based Risk Measures

Archive ouverte: Rapports

Cont, Rama | 2011

29 pages. Starting from the requirement that risk measures of financial portfolios should be based on their losses, not their gains, we define the notion of loss-based risk measure and study the properties of this c...

FIRE SALES FORENSICS: MEASURING ENDOGENOUS RISK

Archive ouverte: Article de revue

Cont, Rama | 2016-10

International audience. We propose a tractable framework for quantifying the impact of loss‐triggered fire sales on portfolio risk, in a multi‐asset setting. We derive analytical expressions for the impact of fire s...

INSTITUTIONAL INVESTORS AND THE DEPENDENCE STRUCTURE OF ASSET RETURNS

Archive ouverte: Article de revue

Cont, Rama | 2016-03

International audience. We propose a model of a financial market with multiple assets that takes into account the impact of a large institutional investor rebalancing its positions so as to maintain a fixed allocati...

Mathématiques financières / Pierre Devolder,... Mathilde Fox,... Francis Va...

Livre | Devolder, Pierre. Auteur | 2018 - 3e édition

Options, futures, and other derivatives / John C. Hull, ...

Livre | Hull, John C. (1946-....). Auteur | 2022 - 11th edition

A perennial best-seller and a go-to book not only for instructors and students but also for business and economics professionals, Options, futures, and other derivatives gives readers a modern look at the derivatives market. By in...

The number that killed us : a story of modern banking, flawed mathematics, ...

Livre | Triana, Pablo - économiste. Auteur | 2012

"A critical look at the risk measurement tool that has repeatedly, and severely, hurt the financial worldThe credit crisis that erupted in 2007 is by no means the only shock to have shaken the financial markets throughout the year...

Scenarios for risk management and global investment strategies / Rachel E.S...

Livre | Ziemba, Rachel E. S.. Auteur | 2007

The most important thing : uncommon sense for the thoughtful investor / How...

Livre | Marks, Howard (1949-....). Auteur | 2011

This book explains the keys to successful investment and the pitfalls that can destroy capital or ruin a career. Utilizing passages from his memos to illustrate his ideas, Marks teaches by example, detailing the development of an ...

Les dérivés de crédit : risque de crédit : solutions et évolutions / Jean-M...

Livre | Rocchi, Jean-Michel. Auteur | 2004