Results 51 to 60 of about 2,746,744 (357)
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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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
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On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles
Risks, 2018 This article reviews two leading measures of financial risk and an emerging alternative. Embraced by the Basel accords, value-at-risk and expected shortfall are the leading measures of financial risk.
James Ming Chen
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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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Historical Simulation Systematically Underestimates the Expected Shortfall
Journal of Risk and Financial ManagementExpected Shortfall (ES) is a risk measure that is acquiring an increasingly relevant role in financial risk management. In contrast to Value-at-Risk (VaR), ES considers the severity of the potential losses and reflects the benefits of diversification. ES
Pablo García-Risueño
semanticscholar +1 more source
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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Quantitative Finance and Economics, 2021 In times of financial turbulence, it is a well-documented fact that the co-movement of financial returns tends to increase leading to unexpected portfolio losses.
Cemile Özgür, Vedat Sarıkovanlık
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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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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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