Results 101 to 110 of about 14,389 (211)

Controlled Information Fusion with Risk-Averse CVaR Social Sensors

, 2017
Consider a multi-agent network comprised of risk averse social sensors and a controller that jointly seek to estimate an unknown state of nature, given noisy measurements. The network of social sensors perform Bayesian social learning - each sensor fuses
Bhatt, Sujay, Krishnamurthy, Vikram
core   +1 more source

ESTIMASI NILAI CONDITIONAL VALUE AT RISK (CVaR) PORTOFOLIO MENGGUNAKAN METODE EVT-GJR-VINE COPULA

E-Jurnal Matematika, 2019
Conditional value at risk (CVaR) is widely used in risk measure that takes into account losses exceeding the value at risk level. The aim of this research is to compare the performance of the EVT-GJR-vine copula method and EVT-GARCH-vine copula method in
NI WAYAN UCHI YUSHI ARI SUDINA, KOMANG DHARMAWAN, I WAYAN SUMARJAYA   +2 more
doaj   +1 more source

Dynamic asset (and liability) management under market and credit risk [PDF]

, 2003
We introduce a modelling paradigm which integrates credit risk and market risk in describing the random dynamical behaviour of the underlying fixed income assets.
Jobst, NJ, Mitra, G, Zenios, SA
core  

VaR and CVaR Implied in Option Prices [PDF]

Journal of Risk and Financial Management, 2015
VaR (Value at Risk) and CVaR (Conditional Value at Risk) are implied by option prices. Their relationships to option prices are derived initially under the pricing measure. It does not require assumptions about the distribution of portfolio returns. The effects of changes of measure are modest at the short horizons typically used in applications.
openaire   +3 more sources

On the mathematical form of CVA in Basel III. [PDF]

Credit valuation adjustment in Basel III is studied from the perspective of the mathematics involved. A bank covers mark-to-market losses for expected counterparty risk with a CVA capital charge. The CVA is known as credit valuation adjustments.
Geurdes, Han / J. F.
core   +1 more source

Conditional Value at Risk Portfolio With Monte Carlo Control Variates

Jambura Journal of Mathematics
Stock investment is one of the instruments investors favor due to its potential for high returns, but the risks stemming from stock price volatility cannot be overlooked.
Fahmi Giovani Maga, Evy Sulistianingsih, Neva Satyahadewi   +2 more
doaj   +1 more source

Risk-Sensitive Reinforcement Learning: A Constrained Optimization Viewpoint

, 2018
The classic objective in a reinforcement learning (RL) problem is to find a policy that minimizes, in expectation, a long-run objective such as the infinite-horizon discounted or long-run average cost.
A., Prashanth L., Fu, Michael
core  

Enterprise-level risk assessment of geographically diversified commercial farms: a copula approach [PDF]

As agriculture becomes more industrialized, the role of risk measures such as value-at-risk (VaR) will become more utilized. In this case it was applied to geographical diversification and also modifying the traditional VaR estimation by incorporating a ...
Larsen, Ryan A., Leatham, David J., Vedenov, Dmitry V.   +2 more
core   +1 more source

Maximum drawdown, recovery and momentum [PDF]

, 2015
We test predictability on asset price using stock selection rules based on maximum drawdown and consecutive recovery. Monthly momentum- and weekly contrarian-style portfolios ranked by the alternative selection criteria are implemented in various asset ...
Choi, Jaehyung
core  

A Hybrid EGARCH–Informer Model with Consistent Risk Calibration for Volatility and CVaR Forecasting

Mathematics
This study proposes a hybrid EGARCH-Informer framework for forecasting volatility and calibrating tail risk in financial time series. The econometric layer (EGARCH) captures asymmetric and persistent volatility dynamics, while the attention layer ...
Ming Che Lee
doaj   +1 more source