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Nonparametric Estimation of Range Value at Risk
Computation, 2023 Range value at risk (RVaR) is a quantile-based risk measure with two parameters. As special examples, the value at risk (VaR) and the expected shortfall (ES), two well-known but competing regulatory risk measures, are both members of the RVaR family. The
Suparna Biswas, Rituparna Sen
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Intraday volatility and VaR: an evidence from the construction sector [PDF]
Urbanism. Arhitectura. Constructii, 2016 This article presents the outcomes from the estimation of the multiplicative component GARCH model for intraday data from the construction sector in Poland.
Krzysztof Drachal
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Fair Estimation of Capital Risk Allocation
, 2019 In this paper we develop a novel methodology for estimation of risk capital allocation. The methodology is rooted in the theory of risk measures. We work within a general, but tractable class of law-invariant coherent risk measures, with a particular ...
Bielecki, Tomasz R. +3 more
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Financial Innovation, 2020 This study investigates the volatility in daily stock returns for Total Nigeria Plc using nine variants of GARCH models: sGARCH, girGARCH, eGARCH, iGARCH, aGARCH, TGARCH, NGARCH, NAGARCH, and AVGARCH along with value at risk estimation and backtesting ...
Ngozi G. Emenogu +2 more
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, 2017 The estimation of risk measures recently gained a lot of attention, partly because of the backtesting issues of expected shortfall related to elicitability.
Pitera, Marcin, Schmidt, Thorsten
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Fish and Fisheries, Volume 27, Issue 3, Page 519-536, May 2026.ABSTRACT Rebuilding fish stocks to levels above which they produce Maximum Sustainable Yield (MSY) is a management aim for all European commercially exploited stocks. Progress is typically monitored against the fishing mortality that produces MSY in the long term (FMSY), however, the corresponding biomass target (BMSY) is rarely evaluated nor reported.
Henning Winker +5 more
wiley +1 more source
Measuring financial risk : comparison of alternative procedures to estimate VaR and ES [PDF]
, 2008 We review several procedures for estimating and backtesting two of the most important measures of risk, the Value at Risk (VaR) and the Expected Shortfall (ES). The alternative estimators differ in the way the specify and estimate the conditional mean
Nieto, María Rosa, Ruiz, Esther
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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
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Clarifying space use concepts in ecology: Range vs. occurrence distributions
Ecology, Volume 107, Issue 3, March 2026.Abstract Quantifying animal movements is necessary for answering a wide array of research questions in ecology and conservation biology. Consequently, ecologists have made considerable efforts to identify the best way to estimate an animal's home range, and many methods of estimating home ranges have arisen over the past half a century.
Jesse M. Alston +43 more
wiley +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
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