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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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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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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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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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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.
Ruhiyat Ruhiyat +2 more
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On Partial Stochastic Comparisons Based on Tail Values at Risk
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.
Alfonso J. Bello +3 more
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The Effect of Left Tail Risk on Expected Excess Returns and Its Consequences on the Persistence of Left Tail Returns [PDF]
تحقیقات مالی, 2020 Objective: Left-tailed risk illustrates the probability of unfavorable events that could occur in a range wider than three variances of the distribution function.
Mahshid Shahrzadi +2 more
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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.
Di Asih I Maruddani, Tutut Dewi Astuti
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The effect of Size, Value and Idiosyncratic Risk Anomalies on the Relationship between Tail Risk and Stock Excess Returns [PDF]
Iranian Journal of Accounting, Auditing & Finance, 2022 Capital market anomalies are caused by factors haven’t been considered in capital asset pricing models. The theories of extreme value are one of the arguments for explaining anomalies.
Mostafa Ramezani Sharif Abadi +2 more
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On Optimization of Copula-Based Extended Tail Value-at-Risk and its Application in Energy Risk
IEEE Access, 2021 In this paper, we study a novel risk measure, which is a copula-based extension of tail value-at-risk (TVaR). This measure is called dependent tail value-at-risk (DTVaR), which is a generalization of TVaR.
Bony Parulian Josaphat +2 more
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