Results 41 to 50 of about 9,183 (262)
E-Jurnal Matematika, 2023 Portfolio optimization using downside deviation is an optimal portfolio by defining the standard deviation of returns below the target (benchmark) as a level of risk measure. Every optimal portfolio certainly has risks.
IDA BAGUS ANGGA DARMAYUDA +2 more
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Estimation of Expected Shortfall Based on Conditional Extreme Value Theory Using Multifractal Model and Intraday Data in Tehran Stock Exchange [PDF]
تحقیقات مالی, 2020 Objective: After the financial crisis in 2008, market practitioners and financial researchers began to attach more importance to risk measurement and modeling. Expected shortfall is recognized risk measures in financial literature.
Saeed Fallahpour, Hamed Tabasi
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Bootstrapping the Expected Shortfall
Theoretical Economics Letters, 2018 The expected shortfall is a popular risk measure in financial risk management. It is defined as the conditional expected loss given that the loss is greater than a given high quantile. We derive the asymptotic properties of the blocking bootstrap estimators for the expected shortfall of a stationary process under strong mixing conditions.
Shuxia Sun, Fuxia Cheng
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RISK OF INDONESIAN BANKS: AN APPLICATION OF HISTORICAL EXPECTED SHORTFALL METHOD
Buletin Ekonomi Moneter dan Perbankan, 2015 Asian and European crises were witnesses of banks’ vulnerable due to market risks. The Basel Committee requires an internal risk assessment applying Value at Risk (VaR).
Nevi Danila +2 more
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On the Increasing Convex Order of Relative Spacings of Order Statistics
Mathematics, 2021 Relative spacings are relative differences between order statistics. In this context, we extend previous results concerning the increasing convex order of relative spacings of two distributions from the case of consecutive spacings to general spacings ...
Antonia Castaño-Martínez +2 more
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The Relevance of Expected Shortfall Models in Different Time Window Sizes
International Journal of Financial StudiesRisk management has become increasingly important in the financial world. Considering its importance, it is necessary to measure these risks. The financial market uses two risk measures: Value at Risk (VaR) and Expected Shortfall (ES). After the subprime
Marcelo Fukui +1 more
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THE PERSISTENCY AND THE SUSTAINABILITY OF THE INDONESIA'S CURRENT ACCOUNT DEFICIT
Buletin Ekonomi Moneter dan Perbankan, 2015 Asian and European crises were witnesses of banks’ vulnerable due to market risks. The Basel Committee requires an internal risk assessment applying Value at Risk (VaR).
Tuti Eka Asmarani
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Mathematics, 2021 The Fundamental Review of the Trading Book is a market risk measurement and management regulation recently issued by the Basel Committee. This reform, often referred to as “Basel IV”, intends to strengthen the financial system.
Santiago Carrillo Menéndez +1 more
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Individual contributions to portfolio risk: risk decomposition for the BET-FI index [PDF]
Computational Methods in Social Sciences, 2015 The paper applies Euler formula for decomposing the standard deviation and the Expected Shortfall for the BET-FI equity index. Risk attribution allows the decomposition of the total risk of the portfolio in individual risk units.
Marius ACATRINEI
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Calculating Value at Risk: DCC-GARCH-Copula Approach [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2020 In this paper, in order to calculate portfolio market risk of 10 selected industries indices in Tehran Stock Exchange, two models of Value Risk (VaR) and Expected shortfall (ES) have been used.
Reza Taleblou, Mohammad Mahdi Davoudi
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