Results 31 to 40 of about 136,974 (263)
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
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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.
Meraklı, Merve, Küçükyavuz, Simge
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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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Optimizing conditional value-at-risk in dynamic pricing [PDF]
OR Spectrum, 2018 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Jochen Gönsch +2 more
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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 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
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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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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
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