Results 121 to 130 of about 2,746,744 (357)
Comparative Analyses of Expected Shortfall and Value-at-Risk: Their Estimation Error, Decomposition, and Optimization [PDF]
We compare expected shortfall with value-at-risk (VaR) in three aspects: estimation errors, decomposition into risk factors, and optimization. We describe the advantages and the disadvantages of expected shortfall over VaR.
Yamai, Yasuhiro, Yoshiba, Toshinao
core
Advanced Functional Materials, EarlyView.A lack of standard approaches for testing and reporting the performance of metal halide perovskites and organic semiconductor radiation detectors has resulted in inconsistent interpretation of performance parameters, impeding progress in the field. This Perspective recommends key metrics and experimental details, which are suggested for reporting in ...
Jessie A. Posar +8 more
wiley +1 more source
Forecasting Value at Risk and Expected Shortfall of Foreign Exchange Rate Volatility of Major African Currencies via GARCH and Dynamic Conditional Correlation Analysis. [PDF]
Comput Econ, 2022 Afuecheta E +3 more
europepmc +1 more source
Advanced Functional Materials, EarlyView.Biofabrication aims at providing innovative technologies and tools for the fabrication of tissue‐like constructs for tissue engineering and regenerative medicine applications. By integrating multiple biofabrication technologies, such as 3D (bio) printing with fiber fabrication methods, it would be more realistic to reconstruct native tissue's ...
Waseem Kitana +2 more
wiley +1 more source
Estimation and decomposition of downside risk for portfolios with non-normal returns. [PDF]
We propose a new estimator for Expected Shortfall that uses asymptotic expansions to account for the asymmetry and heavy tails in financial returns. We provide all the necessary formulas for decomposing estimators of Value at Risk and Expected Shortfall ...
Boudt, Kris +2 more
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Advanced Functional Materials, EarlyView.This study presents novel anti‐counterfeiting tags with multilevel security features that utilize additional disguise features. They combine luminescent nanosized Ln‐MOFs with conductive polymers to multifunctional mixed‐matrix membranes and powder composites. The materials exhibit visible/NIR emission and matrix‐based conductivity even as black bodies.
Moritz Maxeiner +9 more
wiley +1 more source
Testing Expected Shortfall Models for Derivative Positions [PDF]
In this paper we test several risk management models for computing expected shortfall for one-period hedge errors of hedged derivatives positions.Contrary to value-at-risk, expected shortfall cannot be tested using the standard binomial test, since we ...
Kerkhof, F.L.J. +2 more
core +1 more source
Measuring financial risk : comparison of alternative procedures to estimate VaR and ES [PDF]
, 2008 We review several procedures for estimating and backtesting two of the most important measures of risk, the Value at Risk (VaR) and the Expected Shortfall (ES). The alternative estimators differ in the way the specify and estimate the conditional mean
Nieto, María Rosa, Ruiz, Esther
core +1 more source
Nonparametric Estimation of Expected Shortfall [PDF]
Journal of Financial Econometrics, 2007 The expected shortfall is an increasingly popular risk measure in financial risk management and it possesses the desired sub-additivity property, which is lacking for the value at risk (VaR). We consider two nonparametric expected shortfall estimators for dependent financial losses. One is a sample average of excessive losses larger than a VaR.
openaire +3 more sources
Advanced Functional Materials, EarlyView.Cu‐based catalysts as a cornerstone in advancing sustainable energy technologies are fully reviewed in this manuscript, highlighting their potential in photo‐ and electrocatalysis. It includes metallic copper, copper oxides, copper sulfides, copper halide perovskites, copper‐based metal–organic frameworks (MOFs), and covalent organic frameworks (COFs),
Jéssica C. de Almeida +16 more
wiley +1 more source