Results 41 to 50 of about 9,555 (255)

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, Christian Laudagé, Jörn Sass   +2 more
doaj   +1 more source

Optimisation of Time-Varying Asset Pricing Models with Penetration of Value at Risk and Expected Shortfall

Mathematics, 2021
This study aims to apply value at risk (VaR) and expected shortfall (ES) as time-varying systematic and idiosyncratic risk factors to address the downside risk anomaly of various asset pricing models currently existing in the Pakistan stock exchange. The
Adeel Nasir, Kanwal Iqbal Khan, Mário Nuno Mata, Pedro Neves Mata, Jéssica Nunes Martins   +4 more
doaj   +1 more source

Expected Shortfall LASSO

, 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.
openaire   +2 more sources

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, Trimono Trimono, Mas'ad Mas'ad   +2 more
doaj   +1 more source

Consensus Standards and Recommendations for Developmental and Cognitive Surveillance, Screening, and Evaluation in Sickle Cell Disease: Executive Summary From the National Alliance of Sickle Cell Centers Neurocognitive Workgroup

Pediatric Blood &Cancer, EarlyView.
ABSTRACT Neurodevelopmental and neurocognitive difficulties are prevalent among individuals with sickle cell disease and warrant prompt identification and support. This Special Report provides an executive summary of standards and recommendations for surveillance, screening, and evaluation for development and cognition across the lifespan developed by ...
Alyssa M. Schlenz, Donna Murdaugh, Andrew M. Heitzer, Jennifer N. Longoria, Wendy Santos‐Modesitt, Arianna Martin, Judy Cavazos, Jeff Schatz, Catherine R. Hoyt, Alison King, Eboni I. Lance, Steven Hardy, Marsha Treadwell   +12 more
wiley   +1 more source

The Relevance of Expected Shortfall Models in Different Time Window Sizes

International Journal of Financial Studies
Risk 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, Leonardo Fernando Cruz Basso   +1 more
doaj   +1 more source

ESTIMASI EXPECTED SHORTFALL DALAM OPTIMALISASI PORTOFOLIO DENGAN METODE DOWNSIDE DEVIATION PADA SAHAM IDXHEALTH

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, KOMANG DHARMAWAN, KARTIKA SARI   +2 more
doaj   +1 more source

Establishing an Apheresis Medicine Program in a Resource‐Constrained Setting: A 5‐Year Experience From Lagos, Nigeria

Therapeutic Apheresis and Dialysis, EarlyView.
ABSTRACT Background Establishing a comprehensive apheresis medicine program in a resource‐constrained setting presents significant structural, financial, and logistical challenges. Despite the growing clinical importance of apheresis services globally, published experience from sub‐Saharan Africa remains sparse.
Folasade Adelekan‐Popoola, Shakirat Gold‐Olufadi, Olufunto Olufela Kalejaiye, Abdullateef Ogala, Rasheed A. Balogun   +4 more
wiley   +1 more source

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, Bunyamin Bunyamin, Siti Munfaqiroh   +2 more
doaj   +1 more source

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
doaj   +1 more source