Results 1 to 10 of about 132,672 (263)
On Partial Stochastic Comparisons Based on Tail Values at Risk [PDF]
Mathematics, 2020 The tail value at risk at level p, with p ∈ ( 0 , 1 ) , is a risk measure that captures the tail risk of losses and asset return distributions beyond the p quantile. Given two distributions, it can be used to decide which is riskier. When the tail values at risk of both distributions agree, whenever the probability level p ∈ ( 0 , 1 ) ,
Alfonso J. Bello +3 more
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Jambura Journal of Mathematics, 2023 Value at Risk (VaR) and Tail Value at Risk (TVaR) are two measures that are commonly used to quantify the risk associated with a loss severity distribution. In this paper, both values are calculated analytically and estimated using a Monte Carlo simulation when the loss severity random variable has an alpha power Pareto distribution.
Ruhiyat Ruhiyat +2 more
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Lambda Value at Risk and Regulatory Capital: A Dynamic Approach to Tail Risk [PDF]
SSRN Electronic Journal, 2016 This paper presents the first methodological proposal of estimation of the Λ V a R . Our approach is dynamic and calibrated to market extreme scenarios, incorporating the need of regulators and financial institutions in more sensitive risk measures.
Asmerilda Hitaj +2 more
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On Conditional Value at Risk (CoVaR) for tail-dependent copulas
Dependence Modeling, 2017 Abstract The paper deals with Conditional Value at Risk (CoVaR) for copulas with nontrivial tail dependence. We show that both in the standard and the modified settings, the tail dependence function determines the limiting properties of CoVaR as the conditioning event becomes more extreme. The results are illustrated with examples using
Jaworski Piotr
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RISIKO INVESTASI SAHAM SECOND LINER DENGAN TAIL VALUE AT RISK
MIX: Jurnal Ilmiah Manajemen, 2021 This pandemic which has been going on for almost a year, is very influential in all fields. Economic growth and investment in all countries have been declined dramatically. Indonesian Composite Stock Price Index (CSPI) as an indicator of stock performance in Indonesia is weakening.
Di Asih I Maruddani, Tutut Dewi Astuti
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Estimation of Tail Value at Risk for Bivariate Portfolio using Gumbel Copula
JTAM (Jurnal Teori dan Aplikasi Matematika)Investing in the stock market involves complex risks, especially under extreme and unpredictable conditions. While Value at Risk (VaR) is a widely used risk measure, it has limitations in capturing tail-end risks. This study employs Tail Value at Risk (TVaR) using the Gumbel Copula approach, which effectively models upper-tail dependence in return ...
Fransiska Fransiska +2 more
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The Truncated Lomax-exponential distribution and its fitting to financial data [PDF]
Journal of Mahani Mathematical Research, 2023 Nowadays, analyzing the losses data of the insurance and asset portfolios has special importance in risk analysis and economic problems. Therefore, having suitable distributions that are able to fit such data, is important.
Shohreh Enamiaraghi
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Portfolio Risk Measurement with Asymmetric Tail Dependence in Tehran Stock Exchange [PDF]
تحقیقات مالی, 2021 Objective: Portfolio risk measurement has always been one crucial aspect of finance. Several approaches have been modeled through time and some traditional approaches are criticized by researchers.
Adel Behzadi
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Individual Investors’ Attention to Left Tail Risk [PDF]
Journal of Asset Management and Financing, 2020 Objective: Left tail risk shows the probability of the occurrence of undesirable events. Investors who undergo the left tail risk are likely to experience considerable negative returns since the left tail risk oftentimes continues to the next period ...
Mahshid Shahrzadi, Daryoosh Forooghi
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Risks, 2023 Optimal reinsurance problems under the risk measures, such as Value-at-Risk (VaR) and Tail-Value-at-Risk (TVaR), have been studied in recent literature.
Qian Xiong +2 more
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