Results 21 to 30 of about 692,395 (345)
Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics [PDF]
Operations Research, 2012 We discuss linear regression approaches to the estimation of law-invariant conditional risk measures. Two estimation procedures are considered and compared; one is based on residual analysis of the standard least-squares method, and the other is in the spirit of the M-estimation approach used in robust statistics.
Chun, So Yeon +2 more
openaire +2 more sources
Determining Systemic Risk of Banks, Financial Services, and Insurance Firms of Pakistan
JISR Management and Social Sciences & Economics, 2018 This paper contributes on the literature of systemic risk by investigating the extent of financial distress injected by banks, financial services, and insurance firms in the financial system of Pakistan.
Shumaila Zeb, Abdul Rashid
doaj +1 more source
Mathematics, 2022 This paper extends the conditional autoregressive range (CARR) model to the multivariate CARR (MCARR) model and further to the two-stage MCARR-return model to model and forecast volatilities, correlations and returns of multiple financial assets.
Shay Kee Tan +2 more
doaj +1 more source
Presenting a Model for Multiple-Step-Ahead-Forecasting of Volatility and Conditional Value at Risk in Fossil Energy Markets [PDF]
AUT Journal of Modeling and Simulation, 2018 Fossil energy markets have always been known as strategic and important markets. They have a significant impact on the macro economy and financial markets of the world.
E. Mohammadian Amiri, S. B. Ebrahimi
doaj +1 more source
Using Entropy to Forecast Bitcoin’s Daily Conditional Value at Risk
Proceedings, 2019 Conditional value at risk (CVaR), or expected shortfall, is a risk measure for investments according to Rockafellar and Uryasev. Yamai and Yoshiba define CVaR as the conditional expectation of loss given that the loss is beyond the value at risk (VaR ...
Hellinton H. Takada +3 more
doaj +1 more source
Incorporating stand level risk management options into forest decision support systems
Forest Systems, 2018 Aim of study: To examine methods of incorporating risk and uncertainty to stand level forest decisions. Area of study: A case study examines a small forest holding from Jönköping, Sweden.
Kyle Eyvindson +2 more
doaj +1 more source
Conditional Value-at-Risk: Semiparametric estimation and inference [PDF]
Journal of Econometrics, 2016 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Wang, Chuan-Sheng, Zhao, Zhibiao
openaire +2 more sources
Journal of Modern Power Systems and Clean Energy, 2019 In power market environment, the growing importance of demand response (DR) and renewable energy source (RES) attracts more for-profit DR and RES aggregators to compete with each other to maximize their profit.
Tirthadip Ghose +2 more
doaj +1 more source
Optimal reinsurance designs based on risk measures: a review
Statistical Theory and Related Fields, 2020 Reinsurance is an effective way for an insurance company to control its risk. How to design an optimal reinsurance contract is not only a key topic in actuarial science, but also an interesting research question in mathematics and statistics.
Jun Cai, Yichun Chi
doaj +1 more source
Risks, 2022 The purpose of this publication is to quantify and compare the market risk on the external government debt of Kazakhstan and Bulgaria in the conditions of COVID-19, the emerging energy crisis, and the coup attempt in the first country. In particular, the
Olga Em +3 more
doaj +1 more source