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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 ...

...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. ...

...{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 ...

...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 ...

...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 ...

...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 ...

...scription|Investment portfolio which occupies the "efficient" parts of the risk-return spectrum}} {{About| a financial mathematical concept|other frontiers described as efficient|Production poss ...

...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 ...

...urn ratio''' is a measure of [[Return on investment|return]] in terms of [[risk]] for a specific time period. The percentage return (R) for the time period The risk is measured as the percentage [[drawdown (economics)|maximum drawdown]] (MD ...

{{Short description|Concept in financial economics}} The concept of the '''stochastic discount factor (SDF)''' is used in [[financial economics]] and [[mathematical finance]]. The name derives from the price o ...

...ratio''' ('''SR''') is a measure of the [[Risk adjusted return on capital|risk-adjusted return]] of an [[investment portfolio]]. ...e), he felt that any investment with a ratio greater than 1.0 had a better risk/reward tradeoff. The average drawdown was always averaged and entered as a ...

'''Good–deal bounds''' are price bounds for a [[financial portfolio]] which depends on an individual trader's preferences. Mathemati ...first2=Uwe|last2=Kuchler|year=2000}}</ref><ref name="FE">{{cite book|title=Financial Engineering|author=John R. Birge|year=2008|publisher=Elsevier|pages=521–524 ...

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 ...

...R when appraising projects.<ref>Arnold, G. (2007). Essentials of corporate financial management. London: Pearson Education, Ltd.</ref> ...hat it disregards the time factor in terms of [[time value of money]] or [[Risk management|risks]] for long term investments. The ARR is built on evaluatio ...

...k Returns |url=https://fej.ctb.iau.ir/article_525528.html?lang=en |journal=Financial Engineering and Portfolio Management |pages=137–152 |date=22 September 2016 ...Analysts' Forecasts in the Momentum Effect|journal=International Review of Financial Analysis|volume=48|pages=67–84|date=2016|doi=10.1016/j.irfa.2016.09.007|url ...

{{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 ...

...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=== ...

...ment]] and [[capital requirement]] but focuses on the specific [[liquidity risk]] of assets that are held. ...pay the loans.<ref name=wall >Wall, L. D. (2015). Liquidity Regulation and Financial Stability.</ref> The result could be a [[liquidity crisis]], which refers t ...