4 papers
Geometrically convex return risk measures on AM-algebras
Christian Laudagé
Monetary risk measures quantify the risk of uncertain monetary payoffs (or losses), whereas in time series analysis risk is typically assessed using logarithmic returns. Return ris…
Meyer risk measures
Christian Laudagé, Felix-Benedikt Liebrich
Risk measures summarize the risk profile of financial positions in a single metric, which allows their comparison and supports investment decisions. When they respect common stocha…
Multi-asset return risk measures
Christian Laudagé, Felix-Benedikt Liebrich, Jörn Sass
We revisit the recently introduced concept of return risk measures (RRMs) and extend it by incorporating risk management via multiple so-called eligible assets. The resulting new c…
Risk measures based on target risk profiles
Jascha Alexander, Christian Laudagé, Jörn Sass
We address the problem that classical risk measures may not detect the tail risk adequately. This can occur for instance due to averaging when calculating the Expected Shortfall. T…