Zobrazeno 1 - 10
of 124
pro vyhledávání: '"Ruodu Wang"'
Publikováno v:
Risks, Vol 2, Iss 1, Pp 25-48 (2014)
Recent crises in the financial industry have shown weaknesses in the modeling of Risk-Weighted Assets (RWAs). Relatively minor model changes may lead to substantial changes in the RWA numbers. Similar problems are encountered in the Value-at-Risk (Va
Externí odkaz:
https://doaj.org/article/b3dff1783958403bac88a67d3efbf6d9
Autor:
Hengxin Li, Ruodu Wang
Publikováno v:
Journal of Econometrics. 234:353-370
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::26cd0c2a9919d33400da666cec259401
https://doi.org/10.1016/j.jeconom.2021.12.012
https://doi.org/10.1016/j.jeconom.2021.12.012
Publikováno v:
Operations Research. 70:2637-2654
In this paper monetary risk measures that are positively superhomogeneous, called star-shaped risk measures, are characterized and their properties studied. The measures in this class, which arise when the controversial subadditivity property of cohe
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::14a89fe5e144bad5c62a49e8579e563a
https://doi.org/10.1287/opre.2022.2303
https://doi.org/10.1287/opre.2022.2303
Publikováno v:
NBER Working Papers; Sep2023, Issue 31622-31724, p1-35, 81p
Autor:
XIA HAN1 xiahan@nankai.edu.cn, RUODU WANG2 ruodu.wang@uwaterloo.ca, XUN YU ZHOU3 xz2574@columbia.edu
Publikováno v:
SIAM Journal on Control & Optimization. 2023, Vol. 61 Issue 5, p2777-2801. 25p.
Publikováno v:
Mathematics of Operations Research. 47:2494-2519
Inspired by the recent developments in risk sharing problems for the value at risk (VaR), the expected shortfall (ES), and the range value at risk (RVaR), we study the optimization of risk sharing for general tail risk measures. Explicit formulas of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7eff4b2c707e4845e63862fc7d8fdb09
https://doi.org/10.1287/moor.2021.1217
https://doi.org/10.1287/moor.2021.1217
Publikováno v:
Operations Research Letters. 50:199-204
We theoretically compare variances between the Infinitesimal Perturbation Analysis (IPA) estimator and the Likelihood Ratio (LR) estimator to Monte Carlo gradient for stochastic systems. The conditions proposed in [Cui et al., 2020] when the IPA esti
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8f2e6c8a979b5baa8d3666252f1973aa
https://doi.org/10.1016/j.orl.2022.01.012
https://doi.org/10.1016/j.orl.2022.01.012
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::818196838c985cf394a0054b77066023
https://doi.org/10.2139/ssrn.4346325
https://doi.org/10.2139/ssrn.4346325
Publikováno v:
Statistica Sinica.
Various methods of combining individual p-values into one p-value are widely used in many areas of statistical applications. We say that a combining method is valid for arbitrary dependence (VAD) if it does not require any assumption on the dependenc
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8ecba495c2160fd88f726febfe99b267
https://doi.org/10.5705/ss.202021.0071
https://doi.org/10.5705/ss.202021.0071
We systematically study pairwise counter-monotonicity, an extremal notion of negative dependence. A stochastic representation and an invariance property are established for this dependence structure. We show that pairwise counter-monotonicity implies
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::dee53305f7ede5f012856e8744362eff
