Results 41 to 50 of about 521,883 (320)
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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New stochastic comparisons based on tail value at risk measures [PDF]
Communications in Statistics - Theory and Methods, 2020 In this article we provide a new criterion for the comparison of claims, when we have conditional claims arising in stop loss contracts or contracts with franchise deductible. These stochastic comparisons are made on the basis of the Tail Value at Risk (also known as conditional tail expectation), just for a fixed level and beyond.
Belzunce, Félix +2 more
openaire +2 more sources
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 Signal Detection through a Novel EGB2 Option Pricing Model
Mathematics, 2023 Connecting derivative pricing with tail risk management has become urgent for financial practice and academia. This paper proposes a novel option pricing model based on the exponential generalized beta of the second kind (EGB2) distribution.
Hang Lin, Lixin Liu, Zhengjun Zhang
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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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Estimating Copula-Based Extension of Tail Value-at-Risk and Its Application in Insurance Claim
Risks, 2022 Dependent Tail Value-at-Risk, abbreviated as DTVaR, is a copula-based extension of Tail Value-at-Risk (TVaR). This risk measure is an expectation of a target loss once the loss and its associated loss are above their respective quantiles but bounded ...
Khreshna Syuhada +2 more
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On the coherence of Expected Shortfall
, 2001 Expected Shortfall (ES) in several variants has been proposed as remedy for the defi-ciencies of Value-at-Risk (VaR) which in general is not a coherent risk measure. In fact, most definitions of ES lead to the same results when applied to continuous loss
Acerbi, Carlo, Tasche, Dirk
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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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Estimating Value-at-Risk and Expected Shortfall using the intraday low and range data
European Journal of Operational Research, 2020 Value-at-Risk (VaR) is a popular measure of market risk. To convey information regarding potential exceedances beyond the VaR, Expected Shortfall (ES) has become the risk measure for trading book bank regulation.
Xiaochun Meng, James W. Taylor
semanticscholar +1 more source
A Hybrid EGARCH–Informer Model with Consistent Risk Calibration for Volatility and CVaR Forecasting
MathematicsThis study proposes a hybrid EGARCH-Informer framework for forecasting volatility and calibrating tail risk in financial time series. The econometric layer (EGARCH) captures asymmetric and persistent volatility dynamics, while the attention layer ...
Ming Che Lee
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