Results 11 to 20 of about 692,083 (345)
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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Hedging Conditional Value at Risk with options [PDF]
European Journal of Operational Research, 2015 We present a method of hedging Conditional Value at Risk of a position in stock using put options. The result leads to a linear programming problem that can be solved to optimise risk hedging.
Capiński, Maciej J.
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Optimization with Multivariate Conditional Value-at-Risk Constraints [PDF]
Operations Research, 2013 For many decision-making problems under uncertainty, it is crucial to develop risk-averse models and specify the decision makers' risk preferences based on multiple stochastic performance measures (or criteria). Incorporating such multivariate preference rules into optimization models is a fairly recent research area.
Noyan, Nilay, Rudolf, Gabor
core +9 more sources
A residual bootstrap for conditional Value-at-Risk [PDF]
Journal of Econometrics, 2020 A 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
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Does the COVID-19 pandemic matter for market risks across sectors in Vietnam?
Heliyon, 2021 Vietnam has been considered one of the few countries that put the COVID-19 pandemic under control and successfully achieved solid economic growth in 2020. However, the national economy has been hit hard by the pandemic in 2021.
Chi Minh Ho +3 more
doaj +1 more source
Mean-standard deviation-conditional value-at-risk portfolio optimization [PDF]
Mathematics and Modeling in Finance, 2023 The use of variance as a risk measure is limited by its non-coherentnature. On the other hand, standard deviation has been demonstrated as acoherent and effective measure of market volatility. This paper suggests theuse of standard deviation in portfolio
Maziar Salahi +2 more
doaj +1 more source
Jurnal Ekonomi dan Studi Pembangunan, 2020 This study aims to measure systemic risk in conventional commercial banks in Indonesia with the Conditional Value at Risk (CoVaR) model developed by Adrian and Brunnermeier (2009).
Rihana Sofie Nabella +2 more
doaj +1 more source
Comparison of Electricity Spot Price Modelling and Risk Management Applications
Energies, 2020 In dealing with sharp changes in electricity prices, contract planning is considered as a vital risk management tool for stakeholders in deregulated power markets.
Ethem Çanakoğlu, Esra Adıyeke
doaj +1 more source
Multi-Variate Risk Measures under Wasserstein Barycenter
Risks, 2022 When the uni-variate risk measure analysis is generalized into the multi-variate setting, many complex theoretical and applied problems arise, and therefore the mathematical models used for risk quantification usually present model risk.
M. Andrea Arias-Serna +2 more
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The effect of macroeconomic and specific banking variables on systemic risk Cupola Covar approach [PDF]
مدلسازی اقتصادسنجی, 2020 This study estimates systemic risk of banks using the Copula function and Conditional Value at Risk and examine the extend to which macroeconomic and bank-specific variables contribute to systemic risrk.
Kimia Etemadi +2 more
doaj +1 more source