Results 31 to 40 of about 513 (158)
Mathematics, 2022 We assess Value-at-Risk (VaR) and Expected Shortfall (ES) estimates assuming different models for the standardized returns: distributions based on polynomial expansions such as Cornish-Fisher and Gram-Charlier, and well-known parametric densities such as
Brenda Castillo-Brais +2 more
doaj +1 more source
Shock‐Triggered Asymmetric Response Stochastic Volatility
Journal of Forecasting, Volume 45, Issue 1, Page 217-240, January 2026.ABSTRACT We propose a novel asymmetric stochastic volatility model (STAR‐SV) in which the leverage parameter adjusts to the magnitude of past shocks. This flexible specification captures both the leverage effects and their propagation more effectively than standard asymmetric volatility models.
J. Miguel Marin, Helena Veiga
wiley +1 more source
International Journal of Network Management, Volume 36, Issue 1, January/February 2026.The results of this paper show that incorporating ML predictions with a confidence ratio significantly improves profitability, achieving a 258.5% profit and ~60% increase in total balance compared with traditional non‐ML strategies. By leveraging ML algorithms like multilayer perceptron, this approach enhances decision‐making and outperforms competing ...
Kristína Okasová +2 more
wiley +1 more source
Backtesting Quantum Computing Algorithms for Portfolio Optimization
IEEE Transactions on Quantum EngineeringIn portfolio theory, the investment portfolio optimization problem is one of those problems whose complexity grows exponentially with the number of assets.
Gines Carrascal +3 more
doaj +1 more source
Some Results on Foreign Equity Portfolio Risk Backtesting via Lévy Ordinary Copula Model [PDF]
Journal of Competitiveness, 2012 The soundness of risk monitoring and measuring systems is a key point for the reliability of financial institutions. One of the features of a reliable risk model is that it passes a backtesting procedure – a comparison of the one step ahead risk ...
Kresta Aleš, Tichý Tomáš
doaj
Partial Observability of Implied Volatility Matrices: Identification and Covolatilities Filtering
Mathematical Finance, Volume 36, Issue 1, Page 48-66, January 2026.ABSTRACT Whereas data on implied volatilities are available for a large number of assets, this is less frequently the case of implied covolatilities. We introduce a new approach based on static and dynamic Wishart models to solve this problem of missing data.
Christian Gouriéroux, Yang Lu
wiley +1 more source
Nonlinear Dependence Structure Between BRICS Stock Markets, Gold, and Cryptocurrencies
The Manchester School, Volume 94, Issue 1, Page 75-89, January 2026.ABSTRACT This study aims to conduct an in‐depth analysis of the complex nonlinear dependence relationships between cryptocurrencies and gold within the stocks of BRICS countries. The study employs a GARCH‐EVT‐Vine‐Copula and wavelet coherence models to evaluate the interconnectedness, tail risk and Co‐movement pattern of these assets before and after ...
Jiale Yan
wiley +1 more source
An Academic Response to Basel 3.5
Risks, 2014 Recent crises in the financial industry have shown weaknesses in the modeling of Risk-Weighted Assets (RWAs). Relatively minor model changes may lead to substantial changes in the RWA numbers.
Paul Embrechts +4 more
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International Journal of Mathematics and Mathematical Sciences, Volume 2026, Issue 1, 2026.Loss data may often exhibit features such as multimodality and skewness that render single distributions incapable of capturing all these features. Insurance data often comprise of extremely large losses, of which single distributions may inadequately capture their varying features of different sizes.
Williams Kumi +4 more
wiley +1 more source
Journal of Applied Mathematics, Volume 2026, Issue 1, 2026.In this paper, we model edge traffic with a conformable fractional partial differential equation that keeps memory in time and space. The solution represents a unit‐free attack pressure, built from a z‐scored edge series, a quiet period baseline, and a partially absorbing boundary that reflects scrubbing and rate limits.
Ahmad Alshanty +3 more
wiley +1 more source