The relationship between risk measures and choquet expectations in the framework of g-expectations

2009 ◽  
Vol 79 (4) ◽  
pp. 508-512 ◽  
Author(s):  
Kun He ◽  
Mingshang Hu ◽  
Zengjing Chen
Keyword(s):  
Risk Measures ◽  
The Relationship

ASSOCIATION BETWEEN BERG BALANCE, PHYSIOLOGICAL PROFILE ASSESSMENT AND PHYSICAL ACTIVITY, PHYSICAL FUNCTION AND BODY COMPOSITION: A CROSS-SECTIONAL STUDY

2015 ◽  
pp. 1-7
Author(s):  
D.J. SMEE ◽  
H.L. BERRY ◽  
G. WADDINGTON ◽  
J. ANSON
Keyword(s):  
Body Composition ◽  
Physical Function ◽  
Risk Measures ◽  
Berg Balance Scale ◽  
Cross Sectional ◽  
Physiological Profile ◽  
Falls Risk ◽  
Balance Scale ◽  
The Relationship ◽  
Physiological Profile Assessment

Background: Falls are of great concern to older adults and costly to the health system. In addition the relationship between falls risk and falls risk predictor characteristics is complex. Objective: This study aimed to explore the relationship between two objective fall-risk measures tools, the Physiological Profile Assessment and the Berg Balance Scale and to determine how an individual’s sex, level of physical function, health-related and body composition characteristics impact these objective falls risk measures. Design: A cross-sectional, observational study. Participants: 245 community-dwelling older adults (M age=68.12 years, SD=6.21; 69.8% female). Measurements: Participants were assessed for falls-risk (Physiological Profile Assessment and the Berg Balance Scale), physical activity, physical functional and body composition characteristics. Pearson product-moment correlation coefficients were calculated to examine bivariate relationships and hierarchical multiple linear regression modelling was used to estimate the contribution of each predictor in explaining variance in falls-risk. Results: In females, there was a weak association between the two objective falls-risk measures (r =-0.17 p <0.05). The number of falls in the previous 12 months explained 6% of variance in Physiological Profile Assessment scores, with bone density of the lumbar spine contributing a further 1%. In males and females, variance in the Berg Balance Scale showed that age (25%) and physical function (16% for females, 28% for males) contributed significantly to the explaining variance in the falls-risk measure. Conclusion: Sex differences are apparent and as such males and females should be assessed (and potentially treated) differently with regards to falls risk. Results indicate that both falls risk assessment tools measure aspects of balance but are not interchangeable. The Berg Balance Scale may be more discriminative in older, less functioning adults and the Physiological Profile Assessment is more useful in assessing falls risk in females.

Weighted Scoring Rules and Convex Risk Measures

2022 ◽  
Author(s):  
Zachary J. Smith ◽  
J. Eric Bickel
Keyword(s):  
Risk Measures ◽  
Risk Measure ◽  
Mathematical Finance ◽  
Scoring Rules ◽  
Convex Risk Measures ◽  
University Of Texas ◽  
Probabilistic Forecasts ◽  
Expected Utility Maximization ◽  
The University ◽  
The Relationship

In Weighted Scoring Rules and Convex Risk Measures, Dr. Zachary J. Smith and Prof. J. Eric Bickel (both at the University of Texas at Austin) present a general connection between weighted proper scoring rules and investment decisions involving the minimization of a convex risk measure. Weighted scoring rules are quantitative tools for evaluating the accuracy of probabilistic forecasts relative to a baseline distribution. In their paper, the authors demonstrate that the relationship between convex risk measures and weighted scoring rules relates closely with previous economic characterizations of weighted scores based on expected utility maximization. As illustrative examples, the authors study two families of weighted scoring rules based on phi-divergences (generalizations of the Weighted Power and Weighted Pseudospherical Scoring rules) along with their corresponding risk measures. The paper will be of particular interest to the decision analysis and mathematical finance communities as well as those interested in the elicitation and evaluation of subjective probabilistic forecasts.

SET-VALUED LAW INVARIANT COHERENT AND CONVEX RISK MEASURES

2019 ◽  
Vol 22 (03) ◽  
pp. 1950004 ◽  
Author(s):  
YANHONG CHEN ◽  
YIJUN HU
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Risk Measures ◽  
Convex Risk Measures ◽  
New Class ◽  
The Relationship ◽  
Distortion Risk Measures

In this paper, we investigate representation results for set-valued law invariant coherent and convex risk measures, which can be considered as a set-valued extension of the multivariate scalar law invariant coherent and convex risk measures studied in the literature. We further introduce a new class of set-valued risk measures, named set-valued distortion risk measures, which can be considered as a set-valued version of multivariate scalar distortion risk measures introduced in the literature. The relationship between set-valued distortion risk measures and set-valued weighted value at risk is also given.

scholarly journals Revisiting the relationship between different financial risk measures and the market return on ordinary shares in South Africa

2015 ◽  
Vol 18 (2) ◽  
pp. 218-231
Author(s):  
Elda Du Toit
Keyword(s):  
South African ◽  
Financial Risk ◽  
Positive Relationship ◽  
Risk Measures ◽  
The United States ◽  
Expected Return ◽  
The Difference ◽  
The One ◽  
The Relationship ◽  
A Share

The main aim of this study was to test whether there is a positive relationship between different financial risk measures and the expected return of a share. This study was performed in 1995 by Brümmer and Wolmarans, who obtained results contrary to those of a similar study in the United States of America in 1988. The reasons for the difference were not established. This study follows up the one by Brümmer and Wolmarans to determine whether the passing of 19 years could have brought about any difference in the results. This process was initiated by testing a set of variables from a sample size of 107 JSE-listed companies from 2002 to 2012 for linearity. As there was no such linear relationship between any of the variables, no assumptions can be made about any relationship between share return and the risk measures tested here. If investors were risk averse, one would expect a positive relationship between different financial risk measures and the expected return of a share. This is not the case in the South African market.

scholarly journals Corporate governance and firm risk

2018 ◽  
Vol 18 (1) ◽  
pp. 52-67 ◽  
Author(s):  
Sudha Mathew ◽  
Salma Ibrahim ◽  
Stuart Archbold
Keyword(s):  
Risk Measures ◽  
Governance Structure ◽  
Corporate Boards ◽  
Firm Risk ◽  
Content Type ◽  
Board Processes ◽  
Governance Index ◽  
Leadership Structure ◽  
Board Leadership Structure ◽  
The Relationship

Purpose This study aims to explore the relationship between board governance structure and firm risk. In particular, this study develops a “governance index” based on four aspects of the board: board composition, board leadership structure, board member characteristics and board processes, and it examines how the overall index relates to firm risk. Design/methodology/approach The study is conducted using a sample of 268 UK firms from the FTSE 350 index over the period from 2005 to 2010. An index is constructed to capture the overall governance structure of the firm. Regressions of the index on three risk measures are examined. Findings This study finds that the governance index that aggregates the four sets of board attributes is significantly and negatively related to firm risk. Robustness tests confirm this result. Research limitations/implications A large number of studies have explored the relationship between the attributes of corporate boards and firm performance with mixed results. A much smaller number of studies have looked at board attributes and firm risk, but these have either focused on financial sector firms alone or have included only a single or a limited number of attributes. This study, using a broad agency framework, seeks to extend the work on firm risk and board attributes by both expanding industry sectors examined and using a comprehensive set of board attributes. Originality value The findings have policy and practical implications for investors, regulators and chairmen of boards of governors to the extent that they inform these constituencies about the set of board attributes that are associated with firm risk. This study is the first to use a comprehensive measure of governance and relate it to firm risk.

DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY

2008 ◽  
Vol 11 (01) ◽  
pp. 19-54 ◽  
Author(s):  
SVETLOZAR RACHEV ◽  
SERGIO ORTOBELLI ◽  
STOYAN STOYANOV ◽  
FRANK J. FABOZZI ◽  
ALMIRA BIGLOVA
Keyword(s):  
Risk Measures ◽  
Risk Measure ◽  
Approximation Problem ◽  
Performance Ratio ◽  
Probability Metrics ◽  
Time Aggregation ◽  
Computational Advantage ◽  
The Impact ◽  
The Relationship ◽  
Multidimensional Concept

This paper examines the properties that a risk measure should satisfy in order to characterize an investor's preferences. In particular, we propose some intuitive and realistic examples that describe several desirable features of an ideal risk measure. This analysis is the first step in understanding how to classify an investor's risk. Risk is an asymmetric, relative, heteroskedastic, multidimensional concept that has to take into account asymptotic behavior of returns, inter-temporal dependence, risk-time aggregation, and the impact of several economic phenomena that could influence an investor's preferences. In order to consider the financial impact of the several aspects of risk, we propose and analyze the relationship between distributional modeling and risk measures. Similar to the notion of ideal probability metric to a given approximation problem, we are in the search for an ideal risk measure or ideal performance ratio for a portfolio selection problem. We then emphasize the parallels between risk measures and probability metrics, underlying the computational advantage and disadvantage of different approaches.

scholarly journals Non-Cash Risk Measure on Nonconvex Sets

Mathematics ◽  
2018 ◽  
Vol 6 (10) ◽  
pp. 186 ◽  
Author(s):  
Chang Cong ◽  
Peibiao Zhao
Keyword(s):  
Optimization Problem ◽  
Risk Measures ◽  
Risk Measure ◽  
Financial Position ◽  
Nonconvex Sets ◽  
The Relationship

Monetary risk measures are interpreted as the smallest amount of external cash that must be added to a financial position to make the position acceptable. In this paper, A new concept: non-cash risk measure is proposed and this measure provides an approach to transform the unacceptable positions into the acceptable positions in a nonconvex set. Non-cash risk measure uses not only cash but also other kinds of assets to adjust the position. This risk measure is nonconvex due to the use of optimization problem in L 1 norm. A convex extension of the nonconvex risk measure is derived and the relationship between the convex extension and the non-cash risk measure is detailed.

scholarly journals Risk relevance and volatility of other comprehensive income in the banking sector: Evidence from European countries

2020 ◽  
Vol 17 (3) ◽  
pp. 187-197 ◽  
Author(s):  
Manuela Lucchese ◽  
Ferdinando Di Carlo ◽  
Alberto Incollingo
Keyword(s):  
Banking Sector ◽  
Risk Measures ◽  
Positive Association ◽  
The United States ◽  
European Countries ◽  
Significant Positive Association ◽  
Stock Return Volatility ◽  
Comprehensive Income ◽  
Other Comprehensive Income ◽  
The Relationship

The aim of this study is to examine the relationship between the risk measures and the volatility of total comprehensive income (TCI), other comprehensive income (OCI), and single OCI components in the European context. Previous studies only cover reporting jurisdictions such as the United States and Canada but never the EU. Based on these premises, this research uses a sample of 166 listed banks, selected from 15 European countries. The results show that there is a significant positive association between the stock return volatility and the volatility of TCI, of OCI, and some of the single OCI components. This study contributes to the international debate on the risk relevance of TCI and its components, observing, in addition to previous research, the association not only between the risk measures and the volatility of TCI and OCI but also between the risk measures and the volatility of single OCI components.

Sign in / Sign up

Export Citation Format

Share Document