Results 21 to 30 of about 690,474 (299)
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
doaj +1 more source
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
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
doaj +1 more source
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
doaj +1 more source
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
doaj +1 more source
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
doaj +1 more source