Modelling New Zealand electricity prices from a risk management perspective
, 2011 A direct approach is taken to modelling New Zealand electricity prices, in which extreme value theory is used to augment a basic time series model. Despite its simplicity, the resulting model is suitable for answering fundamental questions of interest to
Moy, Caroline, Roberts, Leigh
core
Estimación del riesgo en un portafolio de activos
Apuntes del CENES, 2013 Este trabajo introduce el uso de la teoría de valor extremo (EVT) y cópulas para la estimación del valor en riesgo (VaR). Se considera como aplicación a un portafolio compuesto por tres activos representativos del mercado colombiano.
Luis Guillermo Díaz +2 more
doaj
Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with Conditional Value-at-Risk (CVaR) constraint. [PDF]
Comput Manag Sci, 2023 Staino A +3 more
europepmc +1 more source
PERHITUNGAN RISIKO PORTOFOLIO SAHAM DENGAN METODE GJRGARCH-EVT-COPULA [PDF]
, 2020 Salah satu teknik yang dapat digunakan untuk menentukan risiko portofolio adalah dengan value at risk (VaR). Asumsi-asumsi pada penentuan nilai value at risk adalah return saham berdistribusi normal dan dan ukuran kebergantungan antar saham menggunakan ...
Fahira Salsabila Nurmulia, -
core
DeepVaR: a framework for portfolio risk assessment leveraging probabilistic deep neural networks. [PDF]
Digit Finance, 2023 Fatouros G +5 more
europepmc +1 more source
Modelling conditional heteroskedasticity in JSE stock returns using the Generalised Pareto Distribution [PDF]
, 2014 Extreme equity market returns demand the use of specialised techniques for standardised treatment that focuses exclusively on rare tail events. Extreme Value Theory (EVT) is used in this article to model heteroskedastic stock returns of the All Share ...
Lesaoana, M +2 more
core +1 more source
Action for Action: Mad COVID-19, Falling Markets and Rising Volatility of SAARC Region. [PDF]
Ann Data Sci, 2022 Saleem A.
europepmc +1 more source
Estimation of Value at Risk : Extreme Value and Robust Approaches
Operations Research and Decisions, 2010 The large portfolios of traded assets held by many financial institutions have made the measurement of market risk a necessity. In practice, VaR measures are computed for several holding periods and confidence levels.
Grażyna Trzpiot, Justyna Majewska
doaj
Pandemic-driven financial contagion and investor behavior: Evidence from the COVID-19. [PDF]
Int Rev Financ Anal, 2022 Yuan Y, Wang H, Jin X.
europepmc +1 more source
Estimating Portfolio Risk with Product Copulas: A GARCH-EVT Approach Applied to Financial Data
Journal of Economic AnalysisThis study introduces a sophisticated GARCH-EVT-Copula framework to enhance portfolio risk estimation for multi-asset portfolios. It specifically addresses the limitations of the traditional Markowitz mean-variance model, which is often insensitive to extreme market events.
Marcel Steinborn, Eckhard Liebscher
openaire +1 more source