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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.
openaire +5 more sources
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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On the factors of Bitcoin’s value at risk
Financial Innovation, 2021 This study investigates the factors of Bitcoin’s tail risk, quantified by Value at Risk (VaR). Extending the conditional autoregressive VaR model proposed by Engle and Manganelli ( 2004 ), I examine 30 potential drivers of Bitcoin’s 5% and 1% VaR.
J. Kwon
semanticscholar +1 more source
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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Time consistency conditions for acceptability measures, with an application to Tail Value at Risk [PDF]
, 2005 An acceptability measure is a number that summarizes information on monetary outcomes of a given position in various scenarios, and that, depending on context, may be interpreted as a capital requirement or as a price.
Roorda, Berend, Schumacher, Hans
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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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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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