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The new hybrid value at risk approach based on the extreme value theory
(Universidad de Chile. Facultad de Economía y Negocios, 2016)
In this paper the authors introduce a new hybrid approach based on the Extreme Value Theory (EVT) to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. The ...
A novel quantitative ecological and microbial risk assessment methodology: theory and practice
(Taylor and Francis Inc., 2020)
© 2019, © 2019 Taylor & Francis Group, LLC.The environment is a complex system where humans, materials (e.g. pollutants), and ecological (e.g. plants, animals, microbes) and meteorological conditions interact with each ...
Risk Measures Theory: a comprehensive surveyTeoria de Medidas de Risco: uma revisão abrangente
(Lociedade Brasileira de Finanças, 2014)
Risk aversion, downside risk aversion, and the transition to entrepreneurship
(Springer, 2020)
In this paper, we discuss the transition from secure employment to risky self-employment (entrepreneurship) caused by a small increase in wealth. Building on the apportioning risk literature, we prove that the transition ...
The universal principle of risk management: pooling and the hedging of risks [Financial markets]
(Yale University, Open Yale Courses, 2016)
The universal principle of risk management: pooling and the hedging of risks [Financial markets]
(Yale University, Open Yale Courses, 2011)
Reinterpreting the mutual fund theorem: the risk portfolio as a tactical overlay
(2017)
The Mutual Fund Theorem is an elegant way of describing how investors with different attitudes towards risk should construct their portfolios. It is, however, often misinterpreted. This paper revisits the topic by defining ...
Risk aversion, downside risk aversion, and the transition to entrepreneurship
(2020)
In this paper, we discuss the transition from secure employment to risky selfemployment (entrepreneurship) caused by a small increase in wealth. Building on
the apportioning risk literature, we prove that the transition ...
Living the Modern Dream: Quantification and Modelling during the COVID-19 pandemic in Chile
(Palgrave Macmillan, Springer Nature, 2020)