Results 11 to 20 of about 49,838,108 (340)
Value-At-Risk Optimal Policies for Revenue Management Problems [PDF]
, 2010 Consider a single-leg dynamic revenue management problem with fare classes controlled by capacity in a risk-averse setting. The revenue management strategy aims at limiting the down-side risk, and in particular, value-at-risk.
Meissner, J, Koenig, M
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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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The Truncated Lomax-exponential distribution and its fitting to financial data [PDF]
Journal of Mahani Mathematical Research, 2023 Nowadays, analyzing the losses data of the insurance and asset portfolios has special importance in risk analysis and economic problems. Therefore, having suitable distributions that are able to fit such data, is important.
Shohreh Enamiaraghi
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Portfolio optimization with entropic value-at-risk [PDF]
European Journal of Operational Research, 2017 The entropic value-at-risk (EVaR) is a new coherent risk measure, which is an upper bound for both the value-at-risk (VaR) and conditional value-at-risk (CVaR).
Amir Ahmadi-Javid, Malihe Fallah-Tafti
semanticscholar +1 more source
Value at risk and self-similarity [PDF]
, 2007 The concept of Value at Risk measures the "risk" of a portfolio and is a statement of the following form: With probability q the potential loss will not exceed the Value at Risk figure. It is in widespread use within the banking industry.
Menkens, Olaf
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Risks, 2019 Value at Risk (VaR) is used to illustrate the maximum potential loss under a given confidence level, and is just a single indicator to evaluate risk ignoring any information about income. The present paper will generalize one-dimensional VaR to two-dimensional VaR with income-risk double indicators. We first construct a double-VaR with ( μ , σ 2 )
Wanbing Zhang, Sisi Zhang, Peibiao Zhao
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Risks, 2023 Optimal reinsurance problems under the risk measures, such as Value-at-Risk (VaR) and Tail-Value-at-Risk (TVaR), have been studied in recent literature.
Qian Xiong +2 more
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Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics [PDF]
Operations Research, 2012 We discuss linear regression approaches to the estimation of law-invariant conditional risk measures. Two estimation procedures are considered and compared; one is based on residual analysis of the standard least-squares method, and the other is in the spirit of the M-estimation approach used in robust statistics.
So Yeon Chun +2 more
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On multivariate extensions of Value-at-Risk [PDF]
Journal of Multivariate Analysis, 2013 In this paper, we introduce two alternative extensions of the classical univariate Value-at-Risk (VaR) in a multivariate setting. The two proposed multivariate VaR are vector-valued measures with the same dimension as the underlying risk portfolio. The lower-orthant VaR is constructed from level sets of multivariate distribution functions whereas the ...
Areski Cousin, Elena Di Bernadino
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Determining Systemic Risk of Banks, Financial Services, and Insurance Firms of Pakistan
JISR Management and Social Sciences & Economics, 2018 This paper contributes on the literature of systemic risk by investigating the extent of financial distress injected by banks, financial services, and insurance firms in the financial system of Pakistan.
Shumaila Zeb, Abdul Rashid
doaj +1 more source