Saddlepoint approximations to distributions and measures of risk of aggregate losses

2012 ◽  
Author(s):  
Riccardo Gatto
Keyword(s):  
Saddlepoint Approximations ◽  
Measures Of Risk ◽  
Approximations To Distributions

Uncertain Meanings of Risk

2018 ◽  
Author(s):  
Natalia Besedovsky
Keyword(s):  
Financial Markets ◽  
Credit Rating ◽  
Traditional Approach ◽  
Credit Ratings ◽  
Assessment Practices ◽  
Structured Finance ◽  
Rating Agencies ◽  
Measures Of Risk ◽  
Methodological Approaches ◽  
Ontological Uncertainty

This chapter studies calculative risk-assessment practices in credit rating agencies. It identifies two fundamentally different methodological approaches for producing ratings, which in turn shape the respective conceptions of credit risk. The traditional approach sees ‘risk’ as an only partially calculable and predictable set of hazards that should be avoided or minimized. This approach is particularly evident in the production of country credit ratings and gives rise to ordinal rankings of risk. By contrast, structured finance rating practices conceive of ‘risk’ as both fully calculable and controllable; they construct cardinal measures of risk by assuming that ontological uncertainty does not exist and that models can capture all possible events in a probabilistic manner. This assumption—that uncertainty can be turned into measurable risk—is a necessary precondition for structured finance securities and has become an influential imaginary in financial markets.

scholarly journals Mismatched Decoding: Error Exponents, Second-Order Rates and Saddlepoint Approximations

2014 ◽  
Vol 60 (5) ◽  
pp. 2647-2666 ◽  
Author(s):  
Jonathan Scarlett ◽  
Alfonso Martinez ◽  
Albert Guillen i Fabregas
Keyword(s):  
Second Order ◽  
Saddlepoint Approximations ◽  
Error Exponents

scholarly journals Percentage and verbal category measures of risk likelihood

1997 ◽  
Vol 12 (1) ◽  
pp. 139-141 ◽  
Author(s):  
Neil D. Weinstein ◽  
Michael A. Diefenbach
Keyword(s):  
Measures Of Risk ◽  
Verbal Category
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