Equity Portfolio Optimization Using Mean-CVaR Method Considering Symmetric and Asymmetric Autoregressive Conditional Heteroscedasticity [PDF]
تحقیقات مالی, 2020 Objective: Risk management is one of the most important areas of study in finance, and its vital role in the field has attracted the attention of managers and investors in in various sectors of the industry.
Reza Raei +2 more
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Energy risk measurement and hedging analysis by nonparametric conditional value at risk model
Frontiers in Energy Research, 2022 The accurate measurement and management of energy risk have become important issues of the economic development and energy security for all countries. The existing literature generally adopts the Value at Risk (VaR).
Ling Li, Guopeng Hu
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Individual Investors’ Attention to Left Tail Risk [PDF]
Journal of Asset Management and Financing, 2020 Objective: Left tail risk shows the probability of the occurrence of undesirable events. Investors who undergo the left tail risk are likely to experience considerable negative returns since the left tail risk oftentimes continues to the next period ...
Mahshid Shahrzadi, Daryoosh Forooghi
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Does the COVID-19 pandemic matter for market risks across sectors in Vietnam?
Heliyon, 2021 Vietnam has been considered one of the few countries that put the COVID-19 pandemic under control and successfully achieved solid economic growth in 2020. However, the national economy has been hit hard by the pandemic in 2021.
Chi Minh Ho +3 more
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Mean-standard deviation-conditional value-at-risk portfolio optimization [PDF]
Mathematics and Modeling in Finance, 2023 The use of variance as a risk measure is limited by its non-coherentnature. On the other hand, standard deviation has been demonstrated as acoherent and effective measure of market volatility. This paper suggests theuse of standard deviation in portfolio
Maziar Salahi +2 more
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Jurnal Ekonomi dan Studi Pembangunan, 2020 This study aims to measure systemic risk in conventional commercial banks in Indonesia with the Conditional Value at Risk (CoVaR) model developed by Adrian and Brunnermeier (2009).
Rihana Sofie Nabella +2 more
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Comparison of Electricity Spot Price Modelling and Risk Management Applications
Energies, 2020 In dealing with sharp changes in electricity prices, contract planning is considered as a vital risk management tool for stakeholders in deregulated power markets.
Ethem Çanakoğlu, Esra Adıyeke
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Multi-Variate Risk Measures under Wasserstein Barycenter
Risks, 2022 When the uni-variate risk measure analysis is generalized into the multi-variate setting, many complex theoretical and applied problems arise, and therefore the mathematical models used for risk quantification usually present model risk.
M. Andrea Arias-Serna +2 more
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Asset Allocation with Conditional Value-at-Risk Budgets [PDF]
SSRN Electronic Journal, 2012 Risk budgets are frequently used to allocate the risk of a portfolio by decomposing the total portfolio risk into the risk contribution of each component position. Many approaches to portfolio allocation use ex post methods for constructing risk budgets and take the variance as a risk measure.
Boudt, Kris +2 more
openaire +3 more sources
The effect of macroeconomic and specific banking variables on systemic risk Cupola Covar approach [PDF]
مدلسازی اقتصادسنجی, 2020 This study estimates systemic risk of banks using the Copula function and Conditional Value at Risk and examine the extend to which macroeconomic and bank-specific variables contribute to systemic risrk.
Kimia Etemadi +2 more
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