Measures of risk

Szegö, Giorgio P.

doi:10.1016/s0378-4266(02)00262-5

Cited by 273 publications

(126 citation statements)

References 20 publications

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“…From standard risk measurement theory (Artzner et al, 1997), one can quantify risk by applying some statistical measure to a share return distribution, for instance quantiles (or Value at Risk) or standard deviation (Szegö, 2005). However, we are only interested in measuring operational risk rather than total risk, therefore we require a method of obtaining stock returns due to operational risk only.…”

Section: Operational Risk Measurement By the Single Index Modelmentioning

confidence: 99%

Operational risk: Emerging markets, sectors and measurement

Mitra

Karathanasopoulos

Sermpinis

et al. 2015

European Journal of Operational Research

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Operational risk is currently gaining increasing importance in Finance. Presently, practically all literature has been devoted to operational risk measurement and qualitative management. However, little literature has been devoted to quantifying the impact of operational risk on share prices, yet share value tends to be a key incentive to managing risks. Furthermore the impact of operational risks (e.g. management, internal processes and controls) tends to be a significant barrier to investment in emerging markets.In this paper, we quantify the impact on share prices from operational risk by applying the Single Index Model, which is one of the most recognised and popular models for share pricing in industry. Using monthly stock price data from major stock markets, we show that there exist variations in operational risk across different markets (developed versus emerging markets) as well as across different industry sectors.Our results support the idea that analysing and managing operational risk improves investment performance. In particular, operational risk accounts for significant differences between emerging markets and developed markets in a way that is consistent with current literature on firm specific risk and management in emerging markets. This paper will therefore be of interest to industry, emerging market investors and analysis of operational risks.

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Section: Operational Risk Measurement By the Single Index Modelmentioning

confidence: 99%

Operational risk: Emerging markets, sectors and measurement

Mitra

Karathanasopoulos

Sermpinis

et al. 2015

European Journal of Operational Research

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“…Betos atsiradimą lėmė tai, kad vidurkio-dispersijos modelis buvo laikomas pernelyg sudėtingu, taip pat trūko duomenų norint apskaičiuoti dispersijos-kovariacijos matricą. Tačiau vystantis technologijoms išvardytos problemos tapo lengvai sprendžiamos ir betos užleido vietą užbaigtiems dispersijoskovariacijos modeliams valdant investicijas (Szego 2002).…”

Section: Rizikos Matavimasunclassified

Rizikos sampratos formavimosi ypatumai

Rutkauskas

Stasytytė

2011

Business: Theory and Practice

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Santrauka. Straipsnyje nagrinėjama rizikos koncepcijos esmė socialinių mokslų kontekste, ypač akcentuojant rizikos turinį investicijų moksle. Pateikiamas ir analizuojamas klasikinis rizikos bei neapibrėžtumo sąvokų atskyrimas, atskleidžiamas rizikos ryšys su patikimumu (garantija). Nagrinėjami įvairūs galimi rizikos matai ir paaiškinama, kuo turi pasižymėti konstruktyvus rizikos matas. Remiantis išanalizuotais mokslininkų požiūriais, formuojamas rizikos kaip netekties dydžio subjektui apibrėžimas. Aprašant galimą netektį naudojant tikimybių skirstinį, siūloma netektį matuoti pasiskirstymo funkcija, o tikimybės skirstinio parametrus vaizduoti kaip stochastinius dydžius.Reikšminiai žodžiai: rizika, neapibrėžtumas, pasitikėjimas, patikimumas (garantija), tikimybės skirstinys, netektis. Abstract. The paper analyses the essence of risk concept in the context of social sciences, focusing on risk contents in investment science. The classic distinction between risk and uncertainty concepts is presented; the relation of risk with reliability (guarantee) is disclosed. Various possible measures of risk are also analysed, providing the features a coherent risk measure should possess. After thorough investigation of various scientists' points of view, a definition of risk as an extent of loss for the subject is being proposed. While describing possible loss with the help of probability distribution, an accumulated distribution function is proposed for measuring and expressing the extent of loss, presenting the parameters of probability distribution as stochastic values. PECULIARITIES OF RISK CONCEPT FORMATION

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“…Note that this risk measurement function can differ according to subject and context (Brachinger and Weber, 1997). The risk measure R assigns a distinct non-negative real number to an object, for which is to be made a risk judgement and which is described by a random number X (Szegö, 2002;Cheng, Liu and Wang, 2004;Goovaerts and Laeven, 2005):…”

Section: On the Problems Concerning The Measurement Of Risk For The Pmentioning

confidence: 99%

“…Especially, the determination of necessary risk capital for risk budgeting and risk adjusted performance measurement purposes requires the use of an absolute scale. Naturally, this poses high requirements on risk measurement (Szegö, 2002;Hanisch, 2004).…”

Section: On the Problems Concerning The Measurement Of Risk For The Pmentioning

confidence: 99%

Managerial Risk Accounting and Control - A German Perspective

Winter

2007

SSRN Journal

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Measures of risk

Cited by 273 publications

References 20 publications

Operational risk: Emerging markets, sectors and measurement

Operational risk: Emerging markets, sectors and measurement

Rizikos sampratos formavimosi ypatumai

Managerial Risk Accounting and Control - A German Perspective

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