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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
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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
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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
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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
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THE ROLE OF VALUE AT RISK IN THE MANAGEMENT OF ASSET AND LIABILITIES [PDF]
Annals of the University of Oradea: Economic Science, 2012 ALM is the management of risk at enterprise level, the models used in ALM can be static or dynamic: single period-static models, multiple period static model, single period stochastic model, multi period stochastic model. While single period-static don't
Petria Nicolae +2 more
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Classification of methods for risk measures VaR and CVaR calculation and estimation
Sistemnì Doslìdženâ ta Informacìjnì Tehnologìï, 2016 A systematic classification of the existing approaches for popular risk measures VaR and CVaR calculating and estimating is fulfilled. A review of the most used methods is done.
Nataliia G. Zrazhevska, A. G. Zrazhevsky
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
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The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges [PDF]
Credit risk is the most important type of risk in terms of monetary value. Another key risk measure is market risk, which is concerned with stocks and bonds, and related financial derivatives, as well as exchange rates and interest rates.
Michael McAleer
core +6 more sources
Evaluating and Comparing Systemic Risk and Market Risk of Mutual Funds in Iran Capital Market [PDF]
Iranian Journal of Finance, 2019 Mutual funds are one of the most paramount investment mechanisms in financial markets. By playing a financial intermediary role, they give nonprofessionals access to professionally managed portfolios of securities and provide numerous benefits for both ...
Fereshteh Shahbazin +3 more
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A sequential elimination approach to value-at-risk and conditional value-at-risk selection
2017 Winter Simulation Conference (WSC), 2017 The article of record as published may be found at https://doi.org/10.1109/WSC.2017 ...
Hepworth, AJ +2 more
openaire +3 more sources