Results 291 to 300 of about 692,395 (345)

HLA-B*58:01 and Risk of Allopurinol-Induced Severe Cutaneous Adverse Reactions in the US.

JAMA Dermatol
Campbell CN, Krantz MS, Yu A, Phillips EJ, Stevens-Johnson Syndrome/Toxic Epidermal Necrolysis (SJS/TEN) Survivor Study Collaborators.   +4 more
europepmc   +1 more source

Conditional Value at Risk-minimale Future Hedges

, 2012
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Distributionally robust reinsurance with Value-at-Risk and Conditional Value-at-Risk

Insurance: Mathematics and Economics, 2021
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Liu, Haiyan, Mao, Tiantian
openaire   +1 more source

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
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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
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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

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 ...
Hong, Jeff Liu, Hu, Zhaolin, Liu, Guangwu   +2 more
openaire   +3 more sources