Results 21 to 30 of about 510,642 (302)
Value at Risk Estimation Using the GARCH-EVT Approach with Optimal Tail Selection
Mathematics, 2020 A conditional Extreme Value Theory (GARCH-EVT) approach is a two-stage hybrid method that combines a Generalized Autoregressive Conditional Heteroskedasticity (GARCH) filter with the Extreme Value Theory (EVT).
Krzysztof Echaust, Małgorzata Just
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Daya Matematis: Jurnal Inovasi Pendidikan Matematika, 2022 Risk management helps the financial industry to manage and estimate the risks that may occur by using risk measures. Financial series data mostly have a heavy tail distribution which causes the probability of extreme values to occur. To overcome these extreme values, it is necessary to apply a mathematical model in calculating risk estimates in ...
Sri Muslihah Bakhtiar +2 more
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Portfolio Tail Risk: A Multivariate Extreme Value Theory Approach
Entropy, 2020 This paper develops a method for assessing portfolio tail risk based on extreme value theory. The technique applies separate estimations of univariate series and allows for closed-form expressions for Value at Risk and Expected Shortfall. Its forecasting
Miloš Božović
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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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High volatility, thick tails and extreme value theory in value-at-risk estimation [PDF]
Insurance: Mathematics and Economics, 2003 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Gencay, R., Selcuk, F., Ulugulyagci, A.
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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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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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Multivariate TVaR-Based Risk Decomposition for Vector-Valued Portfolios
Risks, 2016 In order to protect stakeholders of insurance companies and financial institutions against adverse outcomes of risky businesses, regulators and senior management use capital allocation techniques.
Mélina Mailhot, Mhamed Mesfioui
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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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Hedging Effectiveness under Conditions of Asymmetry [PDF]
, 2011 We examine whether hedging effectiveness is affected by asymmetry in the return distribution by applying tail specific metrics to compare the hedging effectiveness of short and long hedgers using crude oil futures contracts.
Fishburn P., Jim Hanly, John Cotter
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