Results 1 to 10 of about 690,474 (299)
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
openaire +5 more sources
Using MGARCH to Estimate Value at Risk [PDF]
تحقیقات مالی, 2013 In this paper we compared multivariate GARCH models toestimate Value-at-Risk. We used a portfolio of weekly indexesincluding TEDPIX, KLSE, XU100 during ten years. To estimateValue-at-Risk, first we estimated CCC, DCC of Engle, DCC of Tseand Tsui, Dynamic
Mohammad Reza Rostami, Fatemeh Haqiqi
doaj +1 more source
Market Risk Analysis of Energy in Vietnam
Risks, 2019 The purpose of this paper is to evaluate and estimate market risk for the ten major industries in Vietnam. The focus of the empirical analysis is on the energy sector, which has been designated as one of the four key industries, together with services ...
Ngoc Phu Tran +3 more
doaj +1 more source
Nested MC-Based Risk Measurement of Complex Portfolios: Acceleration and Energy Efficiency
Risks, 2016 Risk analysis and management currently have a strong presence in financial institutions, where high performance and energy efficiency are key requirements for acceleration systems, especially when it comes to intraday analysis.
Sascha Desmettre +3 more
doaj +1 more source
On Conditional Value at Risk (CoVaR) for tail-dependent copulas
Dependence Modeling, 2017 The paper deals with Conditional Value at Risk (CoVaR) for copulas with nontrivial tail dependence. We show that both in the standard and the modified settings, the tail dependence function determines the limiting properties of CoVaR as the conditioning ...
Jaworski Piotr
doaj +1 more source
BuildingsThe complexity and uncertainty of construction projects contribute to low efficiency in the construction industry. This research applied the Takt-time planning method to optimize the construction working process, and proposed a risk control framework ...
Fan Ding +5 more
doaj +1 more source
Evaluation of Systemic Risk and Spillover of Index Volatilities of Different Industry Groups in Tehran Stock Exchange [PDF]
Mathematics and Modeling in FinanceThe expansion of communications between active industries and companies in different industry groups on the Tehran Stock Exchange has caused that, in the event of volatility in an industry index, this volatility can spread like a domino to other industry
Mehdi Mohammad pour +2 more
doaj +1 more source
Interval Optimization In Portfolio Selection with Conditional Value At Risk [PDF]
تحقیقات مالی, 2017 In this paper portfolio selection problem with interval optimization approach is surveyed. CVaR is risk measure. CVaR is the expected loss depending on the chosen confidence level.
Amir Abbas Najafi +2 more
doaj +1 more source
A Hybrid EGARCH–Informer Model with Consistent Risk Calibration for Volatility and CVaR Forecasting
MathematicsThis study proposes a hybrid EGARCH-Informer framework for forecasting volatility and calibrating tail risk in financial time series. The econometric layer (EGARCH) captures asymmetric and persistent volatility dynamics, while the attention layer ...
Ming Che Lee
doaj +1 more source
Multi-Power Coordinated Optimization Operation Strategy Considering Conditional Value at Risk
发电技术, 2023 In order to achieve carbon peaking and carbon neutrality goals, the power system presents the trend of extensive access of multiple power sources. A multi-power coordination bi-level optimal operation model was proposed.
QIAN Zhonghao +7 more
doaj +1 more source