کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5091615 | 1375693 | 2006 | 18 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Applying CVaR for decentralized risk management of financial companies
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
Over the past decade, financial companies have merged diverse areas including investment banking, insurance, retail banking, and trading operations. Despite this diversity, many global financial firms suffered severe losses during the recent recession. To reduce enterprise risks and increase profits, we apply a decentralized risk management strategy based on a stochastic optimization model. We extend the decentralized approach with the CVaR risk-metric, showing the advantages of CVaR over traditional risk measures such as value-at-risk. An example taken from the earthquake insurance area illustrates the concepts.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 30, Issue 2, February 2006, Pages 627-644
Journal: Journal of Banking & Finance - Volume 30, Issue 2, February 2006, Pages 627-644
نویسندگان
John M. Mulvey, Hafize G. Erkan,