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...

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

Livre | Rocchi, Jean-Michel. Auteur | 2004

Understanding market, credit and operational risk : the value at risk appro...

Livre | Allen, Linda (1954-....). Auteur | 2004

Managing credit risk : the next great financial challenge / John B. Caouett...

Livre | Caouette, John B.. Auteur | 1998

An introduction to credit risk modeling / Christian Bluhm, Ludger Overbeck,...

Livre | Bluhm, Christian. Auteur | 2003

Value at risk : the new benchmark for managing financial risk / Philippe Jo...

Livre | Jorion, Philippe. Auteur | 2001 - 2nd. ed.

Credit risk modeling : theory and applications / David Lando

Livre | Lando, David. Auteur | 2004