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The Financial Risk Measurement EVaR Based on DTARCH Models [PDF]
Entropy, 2023 The value at risk based on expectile (EVaR) is a very useful method to measure financial risk, especially in measuring extreme financial risk. The double-threshold autoregressive conditional heteroscedastic (DTARCH) model is a valuable tool in assessing ...
Xiaoqian Liu +3 more
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Security Risk Measurement for Information Leakage in IoT-Based Smart Homes from a Situational Awareness Perspective [PDF]
Sensors, 2019 Internet-of-Things (IoT) is a technology that is extensively being used in various fields. Companies like Samsung, LG, and Apple are launching home appliances that use IoT as a part of their smart home business.
Mookyu Park, Haengrok Oh, Kyungho Lee
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An Indicator to Measure the Regional Social Risk: The Case of the Cajamarca Department in Peru
Pensamiento Crítico, 2022 This research starts with a literature synthesis on risk and its measurement; then, as a second point, presents the methodological process for the construction of an index to measure social risk for Cajamarca’s department in Peru, which has been based on
Oscar Manuel Mendoza Vargas
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Driving Behavior Risk Measurement and Cluster Analysis Driven by Vehicle Trajectory Data
Applied Sciences, 2023 The correct identification and timely pre-warning of driving behavior risks can remind drivers to correct their unsafe driving behaviors effectively.
Shuyi Chen +5 more
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Systemic risk: Conditional distortion risk measures [PDF]
Insurance: Mathematics and Economics, 2022 In this paper, we introduce the rich classes of conditional distortion (CoD) risk measures and distortion risk contribution ($ $CoD) measures as measures of systemic risk and analyze their properties and representations. The classes include the well-known conditional Value-at-Risk, conditional Expected Shortfall, and risk contribution measures in ...
Dhaene, Jan +2 more
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Development of a Fuzzy Set Apparatus for Risk Measurement: the Case of Simultaneous Fuzziness of the Criterion Indicator and its Standard [PDF]
Problemi Ekonomiki, 2019 The article deals with the development of a methodological apparatus for quantifying the degree of economic risk in modeling uncertainty with the usу of fuzzy set theory. The study implements the task of further development of a fuzzy set method for risk
Kotsyuba Oleksiy S.
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SHAREHOLDER RISK MEASURES [PDF]
Mathematical Finance, 2016 AbstractThe aim of this paper is to put forward a new family of risk measures that could guide investment decisions of private companies. But at the difference of the classical approach of Artzner, Delbaen, Eber, and Heath and the subsequent extensions of this model, our risk measures are built to reflect the risk perception of shareholders rather than
Rochet, Jean-Charles, Coculescu, Délia
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The Journal of Finance and Data Science, 2022 Value at risk (VaR) and expected shortfall (ES) are common high quantile-based risk measures adopted in financial regulations and risk management. In this paper, we propose a tail risk measure based on the most probable maximum size of risk events (MPMR) that can occur over a length of time.
Kan Chen, Tuoyuan Cheng
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Measuring Industry Beta using a Combination of Black-Scholes model and Grey Theory [PDF]
راهبرد مدیریت مالی, 2022 When investigating projects and companies for investment purposes, most analysts use a discount rate that is derived from CAPM model. The calculated beta of this model is usually a representor of risks and opportunities of the relative industry but has ...
Amin Babaei Falah +2 more
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Tourists’ risk perception towards Kashmir valley: An analysis using Tourism Risk Index [PDF]
Journal of Tourism, Heritage & Services Marketing, 2023 Purpose: This research aims to present a Tourism Risk Index (TRI) for risk analysis at tourism destinations that can act as a usable tool to accurately capture the perception of risk by tourists. Methods: The TRI for this study is developed in Kashmir
Manjula Chaudhary, Naser Ul Islam
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