Results 21 to 30 of about 49,612,787 (213)
Tail Conditional Expectations Based on Kumaraswamy Dispersion Models
Mathematics, 2021 Recently, there seems to be an increasing amount of interest in the use of the tail conditional expectation (TCE) as a useful measure of risk associated with a production process, for example, in the measurement of risk associated with stock returns ...
Indranil Ghosh, Filipe J. Marques
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Modeling for wind-thermal combined bidding considering bilateral tail information
Energy Reports, 2023 The stochastic output of wind power will lead to the penalty of bidding deviation in the spot market and bring bidding risk, restricting the participation of wind power in market competition.
Feixiang Peng, Jun Tao, Huaying Zhang
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نموذج مقترح لقياس أخطارالأمن السيبرانى [PDF]
المجلة العلمية للدراسات والبحوث المالية والتجاريةيهدف هذا البحث إلى قياس الأخطار السيبرانية (أخطار الهجمات الإلكترونية)، وذلك من خلال نمذجة عدد الأخطار السيبرانية في الأخطار المختلفة عبر مؤسسات مختلفة من خلال استخدام توزيع بواسون وتوزيع ذي الحدين السالب حتى يمكننا التوصل إلى تحديد التوزيع الذى يصف ...
جيهان مسعد المعداوى +2 more
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Energies, 2021 This study investigates the dependence between extreme returns of West Texas Intermediate (WTI) crude oil prices and the Crude Oil Volatility Index (OVX) changes as well as the predictive power of OVX to generate accurate Value at Risk (VaR) forecasts ...
Krzysztof Echaust, Małgorzata Just
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International Journal for Re-Views in Empirical Economics, 2019 This paper aims to replicate the semiparametric Value-At-Risk model by Dias (2014) and to test its legitimacy. The study confirms the superiority of semiparametric estimation over classical methods such as mixture normal and Student-t approximations in ...
Jiahua Xu
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Tail risk modelling of cryptocurrencies, gold, non-fungible token, and stocks
Research in GlobalizationWe present tail risk analysis of cryptocurrencies (Bitcoin, Ethereum and Litecoin), non-fungible tokens, stocks (FTSE 100 and S&P 500) and Gold from November 12, 2017 to March 31, 2022 using conditional model-based Value-at-Risk (VaR).
Zynobia Barson, Peterson Owusu Junior
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Assessing Market Risk in BRICS and Oil Markets: An Application of Markov Switching and Vine Copula
International Journal of Financial Studies, 2021 This paper investigates the dynamic tail dependence risk between BRICS economies and the world energy market, in the context of the COVID-19 financial crisis of 2020, in order to determine optimal investment decisions based on risk metrics.
John Weirstrass Muteba Mwamba +1 more
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Copula-Based Risk Aggregation and the Significance of Reinsurance
RisksInsurance companies need to calculate solvency capital requirements in order to ensure that they can meet their future obligations to policyholders and beneficiaries.
Alexandra Dias +2 more
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Sharp Probability Tail Estimates for Portfolio Credit Risk
Risks, 2022 Portfolio credit risk is often concerned with the tail distribution of the total loss, defined to be the sum of default losses incurred from a collection of individual loans made out to the obligors.
Jeffrey F. Collamore +2 more
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Pediatric Blood &Cancer, EarlyView.ABSTRACT Rates of cancer among adolescents and young adults (AYA), age 15–39 years, are increasing. Consequently, radiation oncologists are treating more AYAs who have diagnoses spanning both pediatric and adult practices. Compared to pediatric and older adult patients, AYAs face a unique set of challenges.
Hesham Elhalawani +7 more
wiley +1 more source