Results 31 to 40 of about 692,083 (345)
THE ROLE OF VALUE AT RISK IN THE MANAGEMENT OF ASSET AND LIABILITIES [PDF]
Annals of the University of Oradea: Economic Science, 2012 ALM is the management of risk at enterprise level, the models used in ALM can be static or dynamic: single period-static models, multiple period static model, single period stochastic model, multi period stochastic model. While single period-static don't
Petria Nicolae +2 more
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Classification of methods for risk measures VaR and CVaR calculation and estimation
Sistemnì Doslìdženâ ta Informacìjnì Tehnologìï, 2016 A systematic classification of the existing approaches for popular risk measures VaR and CVaR calculating and estimating is fulfilled. A review of the most used methods is done.
Nataliia G. Zrazhevska, A. G. Zrazhevsky
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Evaluating and Comparing Systemic Risk and Market Risk of Mutual Funds in Iran Capital Market [PDF]
Iranian Journal of Finance, 2019 Mutual funds are one of the most paramount investment mechanisms in financial markets. By playing a financial intermediary role, they give nonprofessionals access to professionally managed portfolios of securities and provide numerous benefits for both ...
Fereshteh Shahbazin +3 more
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Assessing green bond risk: an empirical investigation
Green Finance, 2021 Green bonds have gained a significant share in the bond market. However, dynamic risk and its spillover to other conventional bond investments plays an important role in its understanding. In this paper, we analyze the volatility and correlation dynamics
Aikaterini (Katerina) Tsoukala +1 more
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Conditional Value-at-Risk: Semiparametric estimation and inference [PDF]
Journal of Econometrics, 2016 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Wang, Chuan-Sheng, Zhao, Zhibiao
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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
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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
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Robust Energy Resource Management Incorporating Risk Analysis Using Conditional Value-at-Risk
IEEE Access, 2022 The energy resource management (ERM) problem in today’s energy systems is complex and challenging due to the increasing penetration of distributed energy resources with uncertain behavior.
Jose Almeida +3 more
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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
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Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations [PDF]
, 2020 We propose a novel framework of estimating systemic risk measures and risk allocations based on Markov chain Monte Carlo (MCMC) methods. We consider a class of allocations whose jth component can be written as some risk measure of the jth conditional ...
Hofert, Marius, Koike, Takaaki
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