Results 261 to 270 of about 237,695 (301)

Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk

ACM Transactions on Modeling and Computer Simulation, 2014
Value-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 ...
L Jeff Hong, Zhaolin Hu, Guangwu Liu
exaly   +4 more sources

Kendall Conditional Value-at-Risk

2022
The 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, Gatto, Aurora, Perrone, Elisa   +2 more
openaire   +1 more source

Estimating value at risk and conditional value at risk for count variables

Quality and Reliability Engineering International, 2011
AbstractRisk 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.
Rainer Göb
exaly   +2 more sources

Vector-valued multivariate conditional value-at-risk

Operations Research Letters, 2018
In this study, we propose a new definition of multivariate conditional value-at-risk (MCVaR) as a set of vectors for discrete probability spaces. We explore the properties of the vector-valued MCVaR (VMCVaR) and show the advantages of VMCVaR over the existing definitions given for continuous random variables when adapted to the discrete case.
Simge Küçükyavuz
exaly   +5 more sources

Conditional tail behaviour and Value at Risk

Quantitative Finance, 2007
In 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
openaire   +3 more sources

Conditional Value-at-Risk: Structure and complexity of equilibria

Theoretical Computer Science, 2017
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Mavronicolas, Marios, Monien, Burkhard, Mavronicolas, Marios, Monien, Burkhard   +3 more
openaire   +3 more sources

Simulating Sensitivities of Conditional Value at Risk

Management Science, 2009
Conditional 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
openaire   +2 more sources

Forecasting value at risk and conditional value at risk using option market data

Journal of Forecasting, 2020
AbstractWe forecast monthly value at risk (VaR) and conditional value at risk (CVaR) using option market data and four different econometric techniques. Independent from the econometric approach used, all models produce quick to estimate forward‐looking risk measures that do not depend from the amount of historical data used and that, through the ...
Annalisa Molino, Carlo Sala
openaire   +1 more source

Conditional value‐at‐risk beyond finance: a survey

International Transactions in Operational Research, 2019
AbstractA large number of problems involve making decisions in an uncertain environment and, hence, with unknown outcomes. Optimization models aimed at controlling the trade‐off between risk and return in finance have been widely studied since the seminal work by Markowitz in 1952.
Filippi, C., Guastaroba, G., Speranza, M. G.   +2 more
openaire   +1 more source

Deviation inequalities for an estimator of the conditional value-at-risk

Operations Research Letters, 2010
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Fuqing Gao
exaly   +3 more sources