Results 21 to 30 of about 2,051,678 (269)

Towards a Topological Representation of Risks and Their Measures

Risks, 2018
In risk theory, risks are often modeled by risk measures which allow quantifying the risks and estimating their possible outcomes. Risk measures rely on measure theory, where the risks are assumed to be random variables with some distribution function ...
Tomer Shushi
doaj   +1 more source

Grouped Normal Variance Mixtures

Risks, 2020
Grouped normal variance mixtures are a class of multivariate distributions that generalize classical normal variance mixtures such as the multivariate t distribution, by allowing different groups to have different (comonotone) mixing distributions.
Erik Hintz, Marius Hofert, Christiane Lemieux   +2 more
doaj   +1 more source

Interval Estimation of Value-at-Risk Based on Nonparametric Models

Econometrics, 2018
Value-at-Risk (VaR) has become the most important benchmark for measuring risk in portfolios of different types of financial instruments. However, as reported by many authors, estimating VaR is subject to a high level of uncertainty.
Hussein Khraibani, Bilal Nehme, Olivier Strauss   +2 more
doaj   +1 more source

On the existence of an optimal estimation window for risk measures

Applied Finance Letters, 2015
We investigate whether there can exist an optimal estimation window for financial risk measures. Accordingly, we propose a procedure that achieves optimal estimation window by minimizing estimation bias.
Marcelo Brutti Righi, Paulo Sergio Ceretta   +1 more
doaj   +1 more source

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
doaj   +1 more source

The Heavy-Tailed Exponential Distribution: Risk Measures, Estimation, and Application to Actuarial Data

Mathematics, 2020
Modeling insurance data using heavy-tailed distributions is of great interest for actuaries. Probability distributions present a description of risk exposure, where the level of exposure to the risk can be determined by “key risk indicators” that usually
Ahmed Z. Afify, Ahmed M. Gemeay, Noor Akma Ibrahim   +2 more
doaj   +1 more source

The Truncated Burr X-G Family of Distributions: Properties and Applications to Actuarial and Financial Data

Entropy, 2021
In this article, the “truncated-composed” scheme was applied to the Burr X distribution to motivate a new family of univariate continuous-type distributions, called the truncated Burr X generated family.
Rashad A. R. Bantan, Christophe Chesneau, Farrukh Jamal, Ibrahim Elbatal, Mohammed Elgarhy   +4 more
doaj   +1 more source

Real-Valued Systemic Risk Measures

Mathematics, 2021
We describe the axiomatic approach to real-valued Systemic Risk Measures, which is a natural counterpart to the nowadays classical univariate theory initiated by Artzner et al. in the seminal paper “Coherent measures of risk”, Math. Finance, (1999).
Alessandro Doldi, Marco Frittelli
doaj   +1 more source

Dynamic Risk Measures [PDF]

, 2011
This paper gives an overview of the theory of dynamic convex risk measures for random variables in discrete time setting. We summarize robust representation results of conditional convex risk measures, and we characterize various time consistency properties of dynamic risk measures in terms of acceptance sets, penalty functions, and by supermartingale ...
Beatrice Acciaio, Irina Penner
openaire   +2 more sources

Measuring tail risks

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
openaire   +3 more sources