Results 11 to 20 of about 148,735 (300)
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
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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
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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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Risk-Sensitive Safety Analysis Using Conditional Value-at-Risk [PDF]
IEEE Transactions on Automatic Control, 2022 This paper develops a safety analysis method for stochastic systems that is sensitive to the possibility and severity of rare harmful outcomes. We define risk-sensitive safe sets as sub-level sets of the solution to a non-standard optimal control problem, where a random maximum cost is assessed via Conditional Value-at-Risk (CVaR).
Margaret P. Chapman +5 more
openaire +2 more sources
Determining Systemic Risk of Banks, Financial Services, and Insurance Firms of Pakistan
JISR Management and Social Sciences & Economics, 2018 This paper contributes on the literature of systemic risk by investigating the extent of financial distress injected by banks, financial services, and insurance firms in the financial system of Pakistan.
Shumaila Zeb, Abdul Rashid
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Mathematics, 2022 This paper extends the conditional autoregressive range (CARR) model to the multivariate CARR (MCARR) model and further to the two-stage MCARR-return model to model and forecast volatilities, correlations and returns of multiple financial assets.
Shay Kee Tan +2 more
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Using Entropy to Forecast Bitcoin’s Daily Conditional Value at Risk
Proceedings, 2019 Conditional value at risk (CVaR), or expected shortfall, is a risk measure for investments according to Rockafellar and Uryasev. Yamai and Yoshiba define CVaR as the conditional expectation of loss given that the loss is beyond the value at risk (VaR ...
Hellinton H. Takada +3 more
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Presenting a Model for Multiple-Step-Ahead-Forecasting of Volatility and Conditional Value at Risk in Fossil Energy Markets [PDF]
AUT Journal of Modeling and Simulation, 2018 Fossil energy markets have always been known as strategic and important markets. They have a significant impact on the macro economy and financial markets of the world.
E. Mohammadian Amiri, S. B. Ebrahimi
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Fractal and Fractional, 2022 Risk management is very important for individual investors or companies. There are several ways to measure the risk of investment. Prices of risky assets vary rapidly and randomly due to the complexity of finance market. Random interval is a good tool to
Jinping Zhang, Keming Zhang
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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
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