Results 101 to 110 of about 501 (170)

Effective Forecasting of Insurer Capital Requirements: ARMA-GARCH, ARMA-GARCH-EVT, and DCC-GARCH Approaches

Emerging Science Journal
This research paper presents a comprehensive analysis of three prominent volatility and dependence models for financial time series: ARMA-GARCH, GARCH-EVT, and DCC-GARCH. These models are employed to assess and forecast capital requirements for life and non-life insurer investments.
Thitivadee Chaiyawat, Pannarat Guayjarernpanishk   +1 more
openaire   +2 more sources

Crisis transmission degree measurement under crisis propagation model. [PDF]

SN Bus Econ, 2023
Belghith IB, Hallara S, Jilani F.
europepmc   +1 more source

MODEL APPROACH OF AGGREGATE RETURN VOLATILITY: GARCH(1,1)-COPULA VS GARCH(1,1)-BIVARIATE NORMAL [PDF]

Aggregate risk is an aggregation of single risks that are both independent and interdependent. In this study, aggregate risk is constructed from two interdependent random risk variables.
Kurnia, Anang, Pasaribu, Asysta Amalia
core   +2 more sources

Portfolio Tail Risk: A Multivariate Extreme Value Theory Approach. [PDF]

Entropy (Basel), 2020
Božović M.
europepmc   +1 more source

Financial contagion intensity during the COVID-19 outbreak: A copula approach. [PDF]

Int Rev Financ Anal, 2022
Benkraiem R, Garfatta R, Lakhal F, Zorgati I.   +3 more
europepmc   +1 more source

Análisis comparativo de técnicas (IMA) para determinar capitales mínimos regulados por Basilea, ante crisis en mercados emergentes [PDF]

, 2014
Una alternativa sugerida por normas de Basilea para estimar el Valor en Riesgo (VaR) como medida del riesgo de mercado es el método de modelos internos (IMA), que permite a las instituciones reguladas calcularlo utilizando metodologías propias ...
Rossignolo, Adrián Fernando, Álvarez, Víctor Adrián   +1 more
core   +1 more source

Modeling multivariate cyber risks: deep learning dating extreme value theory. [PDF]

J Appl Stat, 2023
Zhang Wu M, Luo J, Fang X, Xu M, Zhao P.
europepmc   +1 more source

Financial contagion and contagion channels in the forex market: A new approach via the dynamic mixture copula-extreme value theory. [PDF]

Econ Model, 2021
Wang H, Yuan Y, Li Y, Wang X.
europepmc   +1 more source

The Risk Contagion between Chinese and Mature Stock Markets: Evidence from a Markov-Switching Mixed-Clayton Copula Model. [PDF]

Entropy (Basel), 2023
Niu H, Xu K, Xiong M.
europepmc   +1 more source

ESTIMASI VALUE AT RISK (VaR) PADA PORTOFOLIO MENGGUNAKAN METODE GARCH-EVT-COPULA [PDF]

, 2018
Salah satu metode analisis risiko yang populer adalah Value at Risk (VaR). Beberapa metode yang digunakan untuk menentukan VaR mengasumsikan bahwa return berdistribusi normal dan mengukur dependensi diantara saham-saham portofolio menggunakan korelasi
Renggani, Puspa, Subekti, Retno
core