Results 21 to 30 of about 49,838,108 (340)
Procyclicality in tradeable credit risk: Consequences for South Africa
South African Journal of Economic and Management Sciences, 2018 Background: Tradeable credit assets are vulnerable to two varieties of credit risk: default risk (which manifests itself as a binary outcome) and spread risk (which arises as spreads change continuously).
Dirk Visser, Gary W. van Vuuren
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On the global minimization of the value-at-risk [PDF]
Optimization Methods and Software, 2004 21 pages, 1 ...
Jong-Shi Pang, Sven Leyffer
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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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Empirical Issues in Value-at-Risk [PDF]
ASTIN Bulletin, 2001 AbstractFor the purpose of Value-at-Risk (VaR) analysis, a model for the return distribution is important because it describes the potential behavior of a financial security in the future. What is primarily, is the behavior in the tail of the distribution since VaR analysis deals with extreme market situations.
Wielhouwer, J.L., Bams, D.
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Sensitivity analysis of Values at Risk [PDF]
Journal of Empirical Finance, 2000 The aim of this paper is to analyze the sensitivity of Value at Risk VaR with respect to portfolio allocation. We derive analytical expressions for the first and second derivatives of the VaR, and explain how they can be used to simplify statistical inference and to perform a local analysis of the VaR.
Gourieroux, Christian +2 more
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Implications of Heavy-Tailed Loss Distributions for Reinsurance and Solvency Capital: Evidence from US and Egyptian Insurance Markets (2020-2023) [PDF]
Maǧallaẗ Al-Buḥūṯ Al-TiǧāriyyaẗThis study aims to compare the performance of heavy-tailed probability distributions in modelingextreme insurance losses, with a focus on their implications for risk capital assessment and reinsurance pricing.
محمود فخرى محمد حماد
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On the elicitability of range value at risk
Statistics & Risk Modeling, 2019 The debate of which quantitative risk measure to choose in practice has mainly focused on the dichotomy between value at risk (VaR) and expected shortfall (ES).
Tobias Fissler, J. Ziegel
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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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International Journal of General Systems, 2017 The paper suggests looking on probabilistic risk quantities and concepts through the prism of accepting one of the views: whether a true value of risk exists or not.
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Jambura Journal of Mathematics, 2023 Value at Risk (VaR) and Tail Value at Risk (TVaR) are two measures that are commonly used to quantify the risk associated with a loss severity distribution.
Ruhiyat Ruhiyat +2 more
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