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Haim Shalit
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What type of risk measure are you using to manage risk?

Started Dec 28, 2009

 

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Haim Shalit posted a discussion

What type of risk measure are you using to manage risk?

I am writing a paper on the use of the Lorenz curve in risk analysis. I have 3 uses for justifying the Lorenz curve:1. Stochastic dominance SSD2. Mean-Gini and mean-extended Gini portfolio optimization3. Conditional VaR to be use with Basel IIPlease discuss the issues with me. I need more uses.I need more info to link the Lorenz with the AUmann-Serano measure of riskiness. Please helpSee More
Dec 28, 2009
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Haim Shalit was featured
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Nov 29, 2009
Haim Shalit replied to Tom's discussion GARCH (1,1)
"Mike Very impressing analysis. But you need to be sure that you have a martingale series of errors terms, i.e., that you have cleaned up all seasonality factors from the series before you Garch it. I will try your series in eviews to see if the…"
May 31, 2009

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My Website or LinkedIn Profile (URL):
http://www.bgu.ac.il/~shalit
Field of Expertise:
Finance
Professional Status:
Professor
Interests:
Other
Your Company:
Ben Gurion University
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