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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Nonparametric Estimation of the Expected Shortfall Regression for Quasi-Associated Functional Data
Mathematics, 2022 In this paper, we study the nonparametric estimation of the expected shortfall regression when the exogenous observation is functional. The constructed estimator is obtained by combining the double kernels estimator of both conditional value at risk and ...
Larbi Ait-Hennani +3 more
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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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Robust Forecast Evaluation of Expected Shortfall* [PDF]
Journal of Financial Econometrics, 2019 AbstractMotivated by the Basel III regulations, recent studies have considered joint forecasts of Value-at-Risk and Expected Shortfall. A large family of scoring functions can be used to evaluate forecast performance in this context. However, little intuitive or empirical guidance is currently available, which renders the choice of scoring function ...
Ziegel, Johanna F. +3 more
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Nonparametric Estimation of Conditional Expected Shortfall
Assurances et gestion des risques, 2023 We consider a nonparametric method to estimate conditional expected shortfalls, i.e. conditional expected losses knowing that losses are larger than a given loss quantile. We derive the asymptotic properties of kernel estimators of conditional expected shortfalls in the context of a stationary process satisfying strong mixing conditions.
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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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MEAN-EXPECTED SHORTFALL PORTFOLIO OPTIMIZATION USING A GENETIC ALGORITHM [PDF]
Economic HorizonsCapital requirements for the market risk exposure of banks is a nonlinear function of the expected shortfall (ES), which is calculated based on a bank’s actual portfolio, i.e. the portfolio represented by the bank’s current holdings.
Vladislav Radak +3 more
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