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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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Solid Pseudopapillary Neoplasm of the Pancreas in Children and Adolescents: Expert Recommendations
Pediatric Blood &Cancer, EarlyView.ABSTRACT Solid pseudopapillary neoplasm of the pancreas (SPN) is a rare low‐grade malignant exocrine pancreatic tumor, mostly discovered during the second decade of life in females, with a very good prognosis, provided microscopically complete surgical excision is achieved.
Sabine Irtan +18 more
wiley +1 more source
FinTechThis paper examines the market maturation hypothesis in cryptocurrency markets through a three-stage analysis of the evolution of tail risk in Bitcoin (BTC) and Ethereum (ETH).
Oksana Liashenko +2 more
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Conditional Tail Expectation and Premium Calculation under Asymmetric Loss
Axioms, 2023 In this paper, we calculate premiums that are based on the Conditional Tail Expectation (CTE) and asymmetric loss functions to account for the risk of both underestimation and overestimation losses.
Enrique Calderín-Ojeda +2 more
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