Optimisasi Portofolio Expected Shortfall Pada Saham Sektor Energi dan Pertambangan
Kubik, 2020 Saham sebagai salah satu produk investasi di pasar modal Indonesia tentunya memiliki risiko yang dapat memengaruhi keputusan investor dalam berinvestasi, dalam menentukan risiko dapat dilakukan dengan melihat diversifikasi portofolio dari beberapa saham.
Nurul Fadilah +2 more
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Climate value at risk and expected shortfall for Bitcoin market
Climate Risk Management, 2021 The economic risk of the carbon footprint of the Bitcoin network remains unexplored. We develop the real-time artificial price for the carbon footprint of the Bitcoin network and thereby extend the climate value at risk (VaR) into the climate expected ...
Lu Yang, Haifeng Xu
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Performance Evaluation of Systemic Risk Measures in Tehran Stock Exchange [PDF]
راهبرد مدیریت مالیAfter the 2008 financial crisis, the importance of studying systemic risk became more apparent. In this regard, various metrics have been presented to measure systemic risk, but the main question is which metric has a better and more comprehensive ...
Mohammad Azad +3 more
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Quantile-based methods for prediction, risk measurement and inference [PDF]
, 2010 This thesis was submitted for the degree of Doctor of Philosophy and awarded by Brunel University.The focus of this thesis is on the employment of theoretical and practical quantile methods in addressing prediction, risk measurement and inference ...
Ally, Abdallah K
core +7 more sources
Developing a Model for Ranking Mutual Funds in Iran Using the Systematic Risk Assessment Approach Based on LTD, SES, MES, and CoVaR Models [PDF]
تحقیقات مالی, 2021 Objective: The simplest thing that may make an amateur investor invest in a fund is simply to look at the fund’s return that can be calculated very easily. Capital market experts have always tried to make investors aware of the threat of making judgments
Behnam Chavoshi +2 more
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THE DETERMINANTS OF SYSTEMIC RISK: EVIDENCE FROM INDONESIAN COMMERCIAL BANKS
Buletin Ekonomi Moneter dan Perbankan, 2020 This paper examines the determinants of systemic risk across Indonesian commercial banks using quarterly data from 2001Q4 to 2017Q4. Employing four measures of systemic risk, namely value-at-risk (VaR), historical marginal expected shortfall (MESH ...
Mutiara Aini +1 more
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Calacualting Value at Risk and Expected Shortfall of Some Statistical Distributions [PDF]
تصمیم گیری و تحقیق در عملیات, 2018 Value at risk and expected shortfall are the two most popular measures for calculating financial risk. To calculate these measures (Value at risk and expected shortfall) there are many approaches, which can be divided into two main categories; parametric
Rasool Roozegar +2 more
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Backtesting expected shortfall: a simple recipe? [PDF]
Journal of Risk, 2019 We propose a new backtesting framework for Expected Shortfall that could be used by the regulator. Instead of looking at the estimated capital reserve and the realised cash-flow separately, one could bind them into the secured position, for which risk measurement is much easier. Using this simple concept combined with monotonicity of Expected Shortfall
Moldenhauer, Felix, Pitera, Marcin
openaire +3 more sources
The Effect of Left Tail Risk on Expected Excess Returns and Its Consequences on the Persistence of Left Tail Returns [PDF]
تحقیقات مالی, 2020 Objective: Left-tailed risk illustrates the probability of unfavorable events that could occur in a range wider than three variances of the distribution function.
Mahshid Shahrzadi +2 more
doaj +1 more source
Determinan risiko sistemik perbankan Indonesia: Aplikasi metode marginal expected shortfall
Jurnal Ekonomi dan Bisnis, 2020 Riset ini memiliki tujuan untuk melakukan pengukuran risiko sistemik melalui aplikasi metode yang dapat mengkalkulasi prediksi kerugian modal pada bank tatkala pasar dilanda krisis, yaitu Marginal Expected Shortfall (MES) serta menguji faktor-faktor yang
Mutiara Hikmah, Buddi Wibowo
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