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Extreme Heat, Social Factors, and Mortality Among California Veterans With Cardiometabolic Disease.
JAMA Netw OpenShannon EM +6 more
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HLA-B*58:01 and Risk of Allopurinol-Induced Severe Cutaneous Adverse Reactions in the US.
JAMA DermatolCampbell CN +4 more
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Distributionally robust reinsurance with Value-at-Risk and Conditional Value-at-Risk
Insurance: Mathematics and Economics, 2021zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Liu, Haiyan, Mao, Tiantian
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Kendall Conditional Value-at-Risk
2022The Conditional Value-at-Risk (CoVaR) is a modified version of the Value-at-Risk (VaR) to quantify the risk of a random variable Y with respect to another random variable X. In this work, we consider a multivariate modification of CoVaR based on the Kendall distribution function.
Durante, Fabrizio +2 more
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Forecasting value at risk and conditional value at risk using option market data
Journal of Forecasting, 2020AbstractWe forecast monthly value at risk (VaR) and conditional value at risk (CVaR) using option market data and four different econometric techniques. Independent from the econometric approach used, all models produce quick to estimate forward‐looking risk measures that do not depend from the amount of historical data used and that, through the ...
Annalisa Molino, Carlo Sala
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Conditional tail behaviour and Value at Risk
Quantitative Finance, 2007In this paper we study the tail behaviour of eight major market indexes stratifying data according to the violation of a high threshold on the previous day. The distributional differences found can be exploited to improve VaR calculations in several settings, giving rise to what we call ‘MCVaR’.
Bellini F., FIGA' TALAMANCA, GIANNA
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