Results 41 to 50 of about 9,492 (256)
Conditional marginal expected shortfall [PDF]
Extremes, 2021 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Yuri Goegebeur +3 more
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Good-Deal Bounds for Option Prices under Value-at-Risk and Expected Shortfall Constraints
Risks, 2020 In this paper, we deal with the pricing of European options in an incomplete market. We use the common risk measures Value-at-Risk and Expected Shortfall to define good-deals on a financial market with log-normally distributed rate of returns.
Sascha Desmettre +2 more
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IMPLEMENTATION OF STOCHASTIC MODEL FOR RISK ASSESSMENT ON INDONESIAN STOCK EXCHANGE
Media Statistika, 2023 Currently, financial assets become an alternative choice for investors in Indonesia to get maximum profits. The Indonesia Stock Exchange is the official capital market in Indonesia which is a place for trading financial assets.
Di Asih I Maruddani +2 more
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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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, 2023 We propose an $\ell_1$-penalized estimator for high-dimensional models of Expected Shortfall (ES). The estimator is obtained as the solution to a least-squares problem for an auxiliary dependent variable, which is defined as a transformation of the dependent variable and a pre-estimated tail quantile.
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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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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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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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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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