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Estimating Portfolio Value-at-Risk and Expected Shortfall by Possibility and Necessity Theory [PDF]
تحقیقات مالی, 2017 One of the main concerns of investors and financial managers is the way of dealing with investment risk; thus identification, calculation and management of risk are important issues in financial fields.
Seyed Babak Ebrahimi +2 more
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COMPARISON BETWEEN VALUE AT RISK AND ADJUSTED EXPECTED SHORTFALL: A NUMERICAL ANALYSIS
Barekeng, 2023 Loss risk is one of the variable that always appears in every kind of investment. On stock asset investments, the characteristics of the risk of loss is uncertain, this means that losses can occur at any time with a value that cannot be determined ...
Trimono Trimono, Di Asih Maruddani
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Mathematics, 2022 We assess Value-at-Risk (VaR) and Expected Shortfall (ES) estimates assuming different models for the standardized returns: distributions based on polynomial expansions such as Cornish-Fisher and Gram-Charlier, and well-known parametric densities such as
Brenda Castillo-Brais +2 more
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Measuring financial risk : comparison of alternative procedures to estimate VaR and ES [PDF]
, 2008 We review several procedures for estimating and backtesting two of the most important measures of risk, the Value at Risk (VaR) and the Expected Shortfall (ES). The alternative estimators differ in the way the specify and estimate the conditional mean
Ruiz Ortega, Esther +2 more
core +1 more source
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
doaj +1 more source
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 +4 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.
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 +2 more
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Pediatric Blood &Cancer, EarlyView.ABSTRACT Background Survivors of pediatric brain tumors (PBTs) can experience long‐term social difficulties, impacting quality of life. Beyond medical and environmental factors, family psychosocial risk may play a role in social outcomes by shaping the caregiving environment and may provide intervention options.
Renske H. Houben +4 more
wiley +1 more source
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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