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

Options, futures et autres actifs dérivés / John Hull

Livre | Hull, John C. (1946-....). Auteur | 2021 - 11e édition

Best-seller international, le livre de John Hull fait autorité aussi bien en salle de cours qu'en salle de marchés. Il fait le lien entre la théorie des actifs dérivés et leur pratique. Cet ouvrage est le plus complet sur les...

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

Livre | Caouette, John B.. Auteur | 1998

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

Livre | Hull, John C. (1946-....). Auteur | 2018 - Tenth edition

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

Livre | Bluhm, Christian. Auteur | 2003