Endogenous Risk Measures

Endogenous Risk Measures

We present a methodology that allows endogenous derivation of the moments of the probability distributions. In doing so, we, present an alternative objective function and alternative concept of risk aversion. In addition, we show that the risk measure depends on the preferences. Moreover, we show that a higher level of risk aversion yields higher values of the risk measure.

Anthropometric Measures and the Risk of Coronary Artery Disease

Endogenous testosterone and mortality risk

In men, obesity and metabolic complications are associated with lower serum testosterone (T) and dihydrotestosterone (DHT) and an increased risk of, and mortality from, multiple chronic diseases in addition to cardiovascular disease (CVD). The causal interrelationships between these factors remain a matter of debate. In men with untreated congenital and lifelong forms of hypogonadotropic hypogo...

Draft: Coherent Risk Measures

Part of the course was devoted to an analysis of Value at Risk and its relation to quantiles. A detailed discussion of this can be found in two papers by Artzner, Delbaen, Eber and Heath, ADEH1 and ADEH2. It will not be repeated here. We will rather concentrate on the mathematics behind the concept of coherent risk measures. They were introduced in the two mentioned papers and the mathematical ...

Tradeable Measures of Risk

The main idea of this paper is to introduce Tradeable Measures of Risk as an objective and model independent way of measuring risk. The present methods of risk measurement, such as the standard Value-at-Risk supported by Basel II, are based on subjective assumptions of future returns. In order to achieve an objective measurement of risk, we introduce a concept of Realized Risk which we define a...