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Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk
ACM Transactions on Modeling and Computer Simulation, 2014Value-at-risk (VaR) and conditional value-at-risk (CVaR) are two widely used risk measures of large losses and are employed in the financial industry for risk management purposes. In practice, loss distributions typically do not have closed-form expressions, but they can often be simulated (i.e., random observations of the loss distribution may be ...
Guangwu Liu, Zhaolin Hu, L Jeff Hong
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Estimating value at risk and conditional value at risk for count variables
Quality and Reliability Engineering International, 2011AbstractRisk management and risk measures like value at risk and conditional value at risk originated in the financial and insurance industries. In recent years, the interest in risk management and risk measurement has spread over all industrial sectors. Finance and insurance applications focused on continuous data like financial return, profit or loss.
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Deviation inequalities for an estimator of the conditional value-at-risk
Operations Research Letters, 2010zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Fuqing Gao
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Distributionally robust reinsurance with Value-at-Risk and Conditional Value-at-Risk
Insurance: Mathematics and Economics, 2021zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Liu, Haiyan, Mao, Tiantian
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Kendall Conditional Value-at-Risk
2022The Conditional Value-at-Risk (CoVaR) is a modified version of the Value-at-Risk (VaR) to quantify the risk of a random variable Y with respect to another random variable X. In this work, we consider a multivariate modification of CoVaR based on the Kendall distribution function.
Durante, Fabrizio +2 more
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Conditional tail behaviour and Value at Risk
Quantitative Finance, 2007In this paper we study the tail behaviour of eight major market indexes stratifying data according to the violation of a high threshold on the previous day. The distributional differences found can be exploited to improve VaR calculations in several settings, giving rise to what we call ‘MCVaR’.
Bellini F., FIGA' TALAMANCA, GIANNA
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Conditional Value-at-Risk: Structure and complexity of equilibria
Theoretical Computer Science, 2017zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Mavronicolas, Marios +3 more
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Simulating Sensitivities of Conditional Value at Risk
Management Science, 2009Conditional value at risk (CVaR) is both a coherent risk measure and a natural risk statistic. It is often used to measure the risk associated with large losses. In this paper, we study how to estimate the sensitivities of CVaR using Monte Carlo simulation.
L. Jeff Hong, Guangwu Liu
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