Results 11 to 20 of about 510,642 (302)
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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On Conditional Value at Risk (CoVaR) for tail-dependent copulas
Dependence Modeling, 2017 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 ...
Jaworski Piotr
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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.
Fransiska Fransiska +2 more
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MULTIVARIATE HEAVY-TAILED MODELS FOR VALUE-AT-RISK ESTIMATION [PDF]
International Journal of Theoretical and Applied Finance, 2011 For purposes of Value-at-Risk estimation, we consider several multivariate families of heavy-tailed distributions, which can be seen as multidimensional versions of Paretian stable and Student's t distributions allowing different marginals to have different indices of tail thickness.
Carlo Marinelli +2 more
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Scandinavian Actuarial Journal, 2022 The Value-at-Risk (VaR) of comonotonic sums can be decomposed into marginal VaR's at the same level. This additivity property allows to derive useful decompositions for other risk measures. In particular, the Tail Value-at-Risk (TVaR) and the upper tail transform of comonotonic sums can be written as the sum of their corresponding marginal risk ...
Hanbali, Hamza +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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An Optimal Tail Selection in Risk Measurement
Risks, 2021 The appropriate choice of a threshold level, which separates the tails of the probability distribution of a random variable from its middle part, is considered to be a very complex and challenging task.
Małgorzata Just, Krzysztof Echaust
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Modeling Contagion of Financial Markets: A GARCH-EVT Copula Approach
Engineering Proceedings, 2023 To better assess the financial contagion through the VaR, several recent studies used copula models. In the same context, this paper addresses the inefficiency of the classical approach such as a normal distribution in modeling the tail risk, by using ...
Gueï Cyrille Okou, Amine Amar
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Tail Asymptotics of Deflated Risks [PDF]
, 2013 Random deflated risk models have been considered in recent literatures. In this paper, we investigate second-order tail behavior of the deflated risk X=RS under the assumptions of second-order regular variation on the survival functions of the risk R and
Hashorva, E., Ling, C., Peng, Z.
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Aggregate Risk Model and Risk Measure-Based Risk Allocation
InPrime, 2020 In actuarial modeling, aggregate risk is known as more attractive rather than individual risk. It has, however, usual difficulty in finding (the exact form of) joint probability distribution.
Khreshna Syuhada
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