Results 61 to 70 of about 513 (158)
A Comparison of the Risk Quantification in Traditional and Renewable Energy Markets
Energies, 2020 The transition from traditional energy to cleaner energy sources has raised concerns from companies and investors regarding, among other things, the impact on financial downside risk.
Daniel Velásquez-Gaviria +2 more
doaj +1 more source
FinRL Contests: Data‐Driven Financial Reinforcement Learning Agents for Stock and Crypto Trading
Artificial Intelligence for Engineering, Volume 1, Issue 1, Page 44-68, 29 September 2025.FinRL Contests 2023–2025 explore the application of reinforcement learning in financial tasks, which are modelled as the Markov decision process (MDP). Participants specify state, reward and action to train the FinRL agents in stable market environments, advancing the development of RL‐based trading strategies in real‐world financial markets.
Keyi Wang +7 more
wiley +1 more source
Forecasting value‐at‐risk for cryptocurrencies
International Review of Finance, Volume 25, Issue 3, September 2025.Abstract Value‐at‐Risk (VaR), the primary measure of downside risk in market risk management, relies heavily on the accuracy of volatility forecasts produced by risk models. This paper shows that, for forecasting the VaR of cryptocurrencies, the time‐heterogeneous Student's t autoregressive model outperforms standard models commonly used by ...
Michael Michaelides, Niraj Poudyal
wiley +1 more source
Forecasting Digital Asset Return: An Application of Machine Learning Model
International Journal of Finance &Economics, Volume 30, Issue 3, Page 3169-3186, July 2025.ABSTRACT In this study, we aim to identify the machine learning model that can overcome the limitations of traditional statistical modelling techniques in forecasting Bitcoin prices. Also, we outline the necessary conditions that make the model suitable.
Vito Ciciretti +4 more
wiley +1 more source
International VaR approach: Backtesting for different capital markets
Revista Contabilidade & Finanças, 2019 This article aims to compare distinct metrics of the value at risk (VaR), differing from prior studies with respect about compare three asset categories belonging to seven countries.
Marília Cordeiro Pinheiro +1 more
doaj +2 more sources
Portfolio Selection under Systemic Risk
Journal of Money, Credit and Banking, Volume 57, Issue 4, Page 905-949, June 2025.Abstract This paper proposes a modified Sharpe ratio to construct optimal portfolios under systemic events. The portfolio allocation problem is solved analytically under the absence of short‐selling restrictions and numerically when short‐selling restrictions are imposed.
WEIDONG LIN +2 more
wiley +1 more source
Jurnal Manajemen Indonesia, 2017 Relatif tidak stabilnya kondisi ekonomi global dikarenakan krisis global tahun 2008 membuat para investor cenderung lebih berhati-hati dalam memilih sektor saham untuk dapat menghindari risiko yang terjadi.
Riko Hendrawan, Pebri Yanida
doaj +1 more source
MathematicsThe paper investigates the application of advanced machine learning (ML) methodologies, with a particular emphasis on state-of-the-art deep learning models, to predict financial market dynamics and maximize profitability through algorithmic trading ...
Phan Tien Dung, Paolo Giudici
doaj +1 more source
Backtesting Analysis. How to Assess the Quality of PD Models in a Retail Banking
Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu, 2019 The paper refers to the probability of default model validation procedure in retail banking. The author presents the idea of backtesting analysis focusing on sensitivity analysis of capital requirements under stress scenarios.
Paweł Siarka
doaj
A Hypothesis Test for the Long-Term Calibration in Rating Systems with Overlapping Time Windows
RisksWe present a statistical test for the long-term calibration in rating systems that can deal with overlapping time windows as required by the guidelines of the European Banking Authority (EBA), which apply to major financial institutions in the European ...
Patrick Kurth, Max Nendel, Jan Streicher
doaj +1 more source