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...e risk]]) in a different method than a general [[risk measure]]. Deviation risk measures generalize the concept of [[standard deviation]]. ...ables]] (random [[Portfolio (finance)|portfolio returns]]), is a deviation risk measure if ...

...{cite web|title=The Entrepreneur's Cost of Capital: Incorporating Downside Risk in the Buildup Method|url=http://www.macrorisk.com/wp-content/uploads/2013/ ...et equilibrium in a mean-lower partial moment framework|journal=Journal of Financial Economics|year=1977|volume=5|issue=2|pages=189–200|doi=10.1016/0304-405x(77 ...

...ures a stock's association with the overall stock market ([[Financial risk|risk]]) only on days when the market’s return is negative. Downside beta was fir ...001|issn=0304-405X}}</ref> As such, it would have been a better measure of risk than ordinary beta. ...

...nction. It is a possible alternative to other risk measures as [[value-at-risk]] or [[expected shortfall]]. ...|last3=Wunderlich |first3=Ralf |date=July 21, 2008 |contribution=Entropic Risk Constraints for Utility Maximization|title=Festschrift in celebration of Pr ...

...s acceptable to the [[financial regulation|regulator]]. It is related to [[risk measure]]s. ...t3=Jean-Marc|last4=Heath|first4=David|year=1999|title=Coherent Measures of Risk|journal=Mathematical Finance|volume=9|issue=3|pages=203–228|doi=10.1111/146 ...

...cumulative distribution function]] of the [[rate of return|return]] of a [[financial portfolio]]. ...[[distortion function]] <math>g: [0,1] \to [0,1]</math> is a ''distortion risk measure'' if for any [[random variable]] of gains <math>X \in L^p</math> (w ...

...oint in the future. A [[risk measure]] can be thought of as a conditional risk measure on the trivial [[sigma algebra]]. ...urnal=Advanced Mathematical Methods for Finance |pages=1–34 |title=Dynamic risk measures |url=http://wws.mathematik.hu-berlin.de/~penner/Acciaio_Penner.pdf ...

...tagion and interconnection.<ref>Elliott, M., Golub, B. and Jackson 2013. M Financial Networks and Contagion https://ssrn.com/abstract=2175056 http://www.its.cal ...is possible to construct the dependency matrix to simulate cascades in the financial network. ...

...ng price''' is a [[coherent risk measure]]. The superhedging price of a [[financial portfolio|portfolio]] (A) is equivalent to the smallest amount necessary to ...st2=Schied|first2=Alexander|date=October 8, 2008|title=Convex and Coherent Risk Measures|url=http://wws.mathematik.hu-berlin.de/~foellmer/papers/CCRM.pdf|a ...

Basic AJDs are attractive for modeling default times in [[credit risk]] applications,<ref name="DufGar01"/><ref name="Mor06"/><ref name="Eck09" / ...title = Risk and Valuation of Collateralized Debt Obligations | journal = Financial Analysts Journal | volume = 57 | pages = 41–59 | doi=10.2469/faj.v57.n1.241 ...

...isk of ruin'' accumulates with the number of bets: each play increases the risk, and persistent play ultimately yields the [[stochastic]] certainty of [[ga ===Risk of ruin for investors=== ...

{{Short description|Risk of the actual return being below the expected return}} ...00ajmc/page/n17 2]–3}}</ref><ref>{{cite book|title=Essentials of financial risk management|url=https://archive.org/details/essentialsfinanc00kaho|url-acces ...

...mathematics]] which models the possible trades in the [[Market (economics)|financial market]]. This is of particular interest to markets with [[transaction cos ...itle = Duality for Set-Valued Measures of Risk | journal = SIAM Journal on Financial Mathematics | volume = 1 | issue = 1 | pages = 66–95 | year = 2010 | citese ...

...[second derivative]] (or, loosely speaking, [[higher-order terms]]) of the modeling function. Geometrically, the model is no longer flat but curved, and the de From the point of view of risk management, being long convexity (having positive Gamma and hence (ignoring ...

...used to [[Financial risk management#Investment management|manage portfolio risk]]. ...Vinay Marathe. The prediction of investment risk: Systematic and residual risk. 1975.</ref> Initially they proposed a linear model of beta ...

* A part of the regulatory Capital and RWA ([[risk-weighted asset]]) calculation <ref>[[Basel Committee]] (2020). [https://www ...rty]] to compensate it for taking on the [[counterparty credit risk|credit risk of that counterparty]] during the life of the transaction. ...

In [[financial mathematics]], the '''Black–Karasinski model''' is a [[mathematical model]] ...ich is assumed to follow the stochastic differential equation (under the [[risk-neutral measure]]): ...

<s></s>The '''Omega ratio''' is a risk-return performance measure of an investment asset, portfolio, or strategy. {{Financial risk}} ...

.... Ingersoll |last=Ingersoll |first=Jonathan E. |year=1987 |title=Theory of Financial Decision Making |url=https://archive.org/details/theoryoffinancia1987inge | ...algrave Dictionary of Economics |year=2008}}</ref> refers to a type of [[risk aversion]] that is particularly convenient to model mathematically and to o ...

{{Short description|Financial risk}} {{Distinguish|Value at risk}} ...