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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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 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
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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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Risk concentration and the mean‐expected shortfall criterion [PDF]
Mathematical Finance, 2021 Expected shortfall (ES, also known as CVaR) is the most important coherent risk measure in finance, insurance, risk management, and engineering. Recently, Wang and Zitikis (2021) put forward four economic axioms for portfolio risk assessment and provide ...
Xia Han, Bin Wang, Ruodu Wang, Qinyu Wu
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SIMULTANEOUS CONFIDENCE BANDS FOR CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL
Econometric Theory, 2022 Conditional value-at-risk (CVaR) and conditional expected shortfall (CES) are widely adopted risk measures which help monitor potential tail risk while adapting to evolving market information.
Shuo Li, Liuhua Peng, Xiaojun Song
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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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Expected Shortfall for the Makespan in Activity Networks With Fuzzy Durations
IEEE transactions on fuzzy systems, 2022 This article deals with the evaluation of the expected shortfall or the conditional value-at-risk for the makespan in scheduling problems represented as temporal activity networks where we assume that only a type-1 fuzzy representation for the activity ...
G. Dellino +3 more
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A Reverse Expected Shortfall Optimization Formula
Social Science Research Network, 2022 The celebrated Expected Shortfall (ES) optimization formula implies that ES at a fixed probability level is the minimum of a linear real function plus a scaled mean excess function.
Yuanying Guan, Zhanyi Jiao, Ruodu Wang
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ESTIMASI RISIKO PASAR DENGAN LVaR DAN EXPECTED SHORTFALL MENGGUNAKAN SIMULASI MONTE CARLO
E-Jurnal Matematika, 2022 Value at Risk (VaR) is a statistical technique used to manage and calculate the level of financial risk within a certain period of time and a certain level of confidence.
I PUTU YUDHI PRATAMA +2 more
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