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Deep learning of value at risk through generative neural network models: The case of the Variational auto encoder [PDF]
MethodsX, 2023 We present in this paper a method to compute, using generative neural networks, an estimator of the “Value at Risk” for a financial asset. The method uses a Variational Auto Encoder with an 'energy' (a.k.a. Radon-Sobolev) kernel.
Pierre Brugière, Gabriel Turinici
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Variation in Medicaid and commercial coverage of cell and gene therapies
Health Policy Open, 2023 Growth in the availability of cell and gene therapies (CGTs) promises significant innovation in the treatment of serious diseases, but the high cost and one-time administration of CGTs has also raised concern about strain on health plan budgets and ...
Molly T. Beinfeld +4 more
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Energy risk measurement and hedging analysis by nonparametric conditional value at risk model
Frontiers in Energy Research, 2022 The accurate measurement and management of energy risk have become important issues of the economic development and energy security for all countries. The existing literature generally adopts the Value at Risk (VaR).
Ling Li, Guopeng Hu
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Individual Investors’ Attention to Left Tail Risk [PDF]
Journal of Asset Management and Financing, 2020 Objective: Left tail risk shows the probability of the occurrence of undesirable events. Investors who undergo the left tail risk are likely to experience considerable negative returns since the left tail risk oftentimes continues to the next period ...
Mahshid Shahrzadi, Daryoosh Forooghi
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Cyber Risk Quantification: Investigating the Role of Cyber Value at Risk
Risks, 2021 The aim of this paper is to deepen the application of value at risk in the cyber domain, with particular attention to its potential role in security investment valuation. Cyber risk is a fundamental component of the overall risk faced by any organization.
Albina Orlando
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Does the COVID-19 pandemic matter for market risks across sectors in Vietnam?
Heliyon, 2021 Vietnam has been considered one of the few countries that put the COVID-19 pandemic under control and successfully achieved solid economic growth in 2020. However, the national economy has been hit hard by the pandemic in 2021.
Chi Minh Ho +3 more
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Tsallis value-at-risk: generalized entropic value-at-risk
Probability in the Engineering and Informational Sciences, 2022 AbstractMotivated by Ahmadi-Javid (Journal of Optimization Theory Applications, 155(3), 2012, 1105–1123) and Ahmadi-Javid and Pichler (Mathematics and Financial Economics, 11, 2017, 527–550), the concept of Tsallis Value-at-Risk (TsVaR) based on Tsallis entropy is introduced in this paper. TsVaR corresponds to the tightest possible upper bound obtained
Zhenfeng Zou, Zichao Xia, Taizhong Hu
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The Journal of Risk Finance, 2004 One of the most significant recent developments in the risk measurement and management area has been the emergence of value at risk (VaR). The VaR of a portfolio is the maximum loss that the portfolio will suffer over a defined time horizon, at a specified level of probability known as the VaR confidence level.
Blake, D., Cairns, A., Dowd, K.
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On Partial Stochastic Comparisons Based on Tail Values at Risk
Mathematics, 2020 The tail value at risk at level p, with p ∈ ( 0 , 1 ) , is a risk measure that captures the tail risk of losses and asset return distributions beyond the p quantile. Given two distributions, it can be used to decide which is riskier.
Alfonso J. Bello +3 more
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Equity Portfolio Optimization Using Mean-CVaR Method Considering Symmetric and Asymmetric Autoregressive Conditional Heteroscedasticity [PDF]
تحقیقات مالی, 2020 Objective: Risk management is one of the most important areas of study in finance, and its vital role in the field has attracted the attention of managers and investors in in various sectors of the industry.
Reza Raei +2 more
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