Browsing University of Waterloo by Supervisor "Cai, Jun"

Now showing items 1-3 of 3

Multivariate Risk Measures for Portfolio Risk Management

Jia, Huameng (University of Waterloo, 2021-01-29)

In portfolio risk management, the main foci are to control the aggregate risk of the entire portfolio and to understand the contribution of each individual risk unit in the portfolio to the aggregate risk. When univariate ...
Risk Measures and Capital Allocation Principles for Risk Management

wang ying (University of Waterloo, 2016-09-21)

Risk measures (or premium principles) and capital allocation principles play a signi cant role in risk management. Regulators and companies in the nancial markets usually adopt an appropriate risk measure, for example, ...
Risk Sharing and Risk Aggregation via Risk Measures

Liu, Haiyan (University of Waterloo, 2017-04-21)

Risk measures have been extensively studied in actuarial science in the guise of premium calculation principles for more than 40 years, and recently, they have been the standard tool for financial institutions in both ...