A composition between risk and deviation measures

von Righi, Marcelo Brutti
Veröffentlicht in Symposium on Quantitative Finance and Risk Analysis (3. : 2017 : Kerkira) Application of operations research to financial markets (2019)

A theory for combinations of risk measures

von Righi, Marcelo Brutti
Veröffentlicht in Journal of risk (2023)

A simulation comparison of risk measures for portfolio optimization

von Righi, Marcelo Brutti
Veröffentlicht in Finance research letters (2018)

Shortfall deviation risk : an alternative for risk measurement

von Righi, Marcelo Brutti
Veröffentlicht in Journal of risk (2016)

Individual and flexible expected shortfall backtesting

von Righi, Marcelo Brutti
Veröffentlicht in The journal of risk model validation (2013)

Analyzing the dependence structure of various sectors in the Brazilian market : a Pair Copula Construction approach

von Righi, Marcelo Brutti
Veröffentlicht in Economic modelling (2013)

Liquidity, implied volatility and tail risk: a comparison of liquidity measures

von Ramos, Henrique Pinto
Veröffentlicht in International review of financial analysis (2020)

Estimating non-linear serial and cross-interdependence between financial assets

von Righi, Marcelo Brutti
Veröffentlicht in Journal of banking & finance (2013)

Numerical comparison of multivariate models to forecasting risk measures

von Müller, Fernanda Maria
Veröffentlicht in Risk management (2018)

Star-Shaped deviations

von Righi, Marcelo Brutti
Veröffentlicht in Operations research letters (2022)

A comparison of expected shortfall estimation models

von Righi, Marcelo Brutti
Veröffentlicht in Journal of economics & business (2015)

Risk prediction management and weak form market efficiency in Eurozone financial crisis

von Righi, Marcelo Brutti
Veröffentlicht in International review of financial analysis (2013)

Extended Gini-type measures of risk and variability

von Berkhouch, Mohammed
Veröffentlicht in Applied mathematical finance (2018)

Nonparametric expectile regression for conditional autoregressive expected shortfall estimation

von Righi, Marcelo Brutti
Veröffentlicht in Risk manangement post financial crisis (2014)

A consumer credit risk structural model based on affordability : balance at risk

von Perlin, Marcelo Scherer
Veröffentlicht in The journal of credit risk (2019)

A description of the COVID-19 outbreak role in financial risk forecasting

von Müller, Fernanda Maria
Veröffentlicht in The North American journal of economics and finance (2023)

Mispricing in the odd lots market in Brazil

von Ramos, Henrique P.
Veröffentlicht in The North American journal of economics and finance (2017)

Pair copula constructions to determine the dependence structure of Treasury bond yields

von Righi, Marcelo Brutti
Veröffentlicht in Indian Institute of Management Bangalore IIMB management review (2015)

On a robust risk measurement approach for capital determination errors minimization

von Righi, Marcelo Brutti
Veröffentlicht in Insurance / Mathematics & economics (2020)

Risk measure index tracking model

von Sant'Anna, Leonardo Riegel
Veröffentlicht in International review of economics & finance (2022)