Results 241 to 250 of about 141,957 (262)

Efficiently Backtesting Conditional Value-at-Risk and Conditional Expected Shortfall

Journal of the American Statistical Association, 2021
Liang Peng, Gengsheng Qin
exaly  

The pricing of the illiquidity factor’s conditional risk with time-varying premium

Journal of Financial Markets, 2021
Joonki Noh, Yakov Amihud
exaly  

Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk

2000
openaire   +2 more sources

Exploring the risk spillover effects between carbon market and electricity market: A bidimensional empirical mode decomposition based conditional value at risk approach

International Review of Economics and Finance, 2020
Liqing Huang, Bangzhu Zhu
exaly  

Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management

Operations Research, 2009
Masao Fukushima, Shushang Zhu
exaly  

Optimization of conditional value-at-risk

The Journal of Risk, 2000
R. Tyrrell Rockafellar, Stanislav Uryasev   +1 more
openaire   +1 more source

Conditional and dynamic convex risk measures

Finance and Stochastics, 2005
Giacomo Scandolo
exaly  

Newsvendor solutions via conditional value-at-risk minimization

European Journal of Operational Research, 2007
Jun-Ya Gotoh, Yuichi Takano
exaly  

Risk-consistent conditional systemic risk measures

Stochastic Processes and Their Applications, 2016
Gregor Svindland, Thilo Meyer-Brandis
exaly  

Conditional value-at-risk in portfolio optimization: Coherent but fragile

Operations Research Letters, 2011
Andrew Lim, J George Shanthikumar
exaly