Results 21 to 30 of about 521,883 (320)
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
doaj +1 more source
Index tracking using Two-tail Mixed Conditional Value-at-risk in Tehran Stock Exchange [PDF]
تحقیقات مالی, 2022 Objective: Passive management is an investing strategy that tracks a market value-weighted index or portfolio. It seeks to minimize the cost of investment fees and to avoid undesirable repercussions of the unpredictability of future trends.
Reza Eyvazloo +2 more
doaj +1 more source
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
doaj +1 more source
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
doaj +1 more source
Social Capital, Trust, and Bank Tail Risk: The Value of ESG Rating and the Effects of Crisis Shocks
Journal of international financial markets, institutions, and money, 2023 Using a global sample of 244 banks in 52 stock markets, we investigate the effect of corporate social responsibility (CSR) on bank tail risk in normal and turbulent times.
Vu Quang Trinh +3 more
semanticscholar +1 more source
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
doaj +1 more source
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.
core +3 more sources
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
doaj +1 more source
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
openaire +1 more source
SIMULTANEOUS CONFIDENCE BANDS FOR CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL
Econometric Theory, 2022 Conditional value-at-risk (CVaR) and conditional expected shortfall (CES) are widely adopted risk measures which help monitor potential tail risk while adapting to evolving market information.
Shuo Li, Liuhua Peng, Xiaojun Song
semanticscholar +1 more source