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
ANALISIS RISIKO PERDAGANGAN BAWANG MERAH DENGAN VOLATILITAS HISTORIS DAN VALUE AT RISK
E-Jurnal MatematikaShallots are one of Indonesia's most important horticultural commodities, however their prices are highly volatile, creating significant financial risks for farmers and traders.
YAN ADITYA PRADANA +5 more
doaj +1 more source
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
doaj +1 more source
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
Using CAViaR models with implied volatility for value-at-risk estimation [PDF]
, 2013 This paper proposes VaR estimation methods that are a synthesis of conditional autoregressive value at risk (CAViaR) time series models and implied volatility.
Jeon, Jooyoung, Taylor, James
core +1 more source
A residual bootstrap for conditional Value-at-Risk
Journal of EconometricsA fixed-design residual bootstrap method is proposed for the two-step estimator of Francq and Zakoïan (2015) associated with the conditional Value-at-Risk. The bootstrap's consistency is proven for a general class of volatility models and intervals are constructed for the conditional Value-at-Risk.
Beutner, Eric +2 more
openaire +4 more sources
Value at Risk and Conditional Extreme Value Theory via Markov Regime Switching Models
, 2008 This study develops a new conditional extreme value theory-based (EVT) model that incorporates the Markov regime switching process to forecast extreme risks in the stock markets.
Ze-To, S.
core +1 more source
Engineering peptides into antibodies—opportunities and strategies for therapeutic innovation
FEBS Letters, EarlyView.Peptides and antibodies occupy complementary therapeutic niches. Peptides recognize difficult targets in a compact format, while antibodies add specificity, long half‐life, and effector functions. This review examines strategies that merge both modalities—peptide grafting into loops, terminal and Fc fusions, and bioconjugation—highlighting how ...
Jinling Wang +2 more
wiley +1 more source
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
Robust Energy Resource Management Incorporating Risk Analysis Using Conditional Value-at-Risk
IEEE Access, 2022 The energy resource management (ERM) problem in today’s energy systems is complex and challenging due to the increasing penetration of distributed energy resources with uncertain behavior.
Jose Almeida +3 more
doaj +1 more source