Results 41 to 50 of about 126,314 (289)
A note on calculating expected shortfall for discrete time stochastic volatility models
Financial Innovation, 2021 In this paper we consider the problem of estimating expected shortfall (ES) for discrete time stochastic volatility (SV) models. Specifically, we develop Monte Carlo methods to evaluate ES for a variety of commonly used SV models.
Michael Grabchak, Eliana Christou
doaj +1 more source
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
doaj +1 more source
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
doaj +1 more source
A Fast, Accurate Method for Value-at-Risk and Expected Shortfall
Econometrics, 2014 A fast method is developed for value-at-risk and expected shortfall prediction for univariate asset return time series exhibiting leptokurtosis, asymmetry and conditional heteroskedasticity.
Jochen Krause, Marc S. Paolella
doaj +1 more source
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
doaj +1 more source
, 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
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
doaj +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
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
doaj +1 more source
A comparison of market risk measures from a twofold perspective: accurate and loss function [PDF]
ACRN Journal of Finance and Risk Perspectives, 2023 Under the new regulation based on Basel solvency framework, known as Basel III and Basel IV, financial institutions must calculate the market risk capital requirements based on the Expected Shortfall (ES) measure, replacing the Value at Risk (VaR ...
Sonia Benito Muela +2 more
doaj +1 more source