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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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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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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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Incorporating stand level risk management options into forest decision support systems
Forest Systems, 2018 Aim of study: To examine methods of incorporating risk and uncertainty to stand level forest decisions. Area of study: A case study examines a small forest holding from Jönköping, Sweden.
Kyle Eyvindson +2 more
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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.
Ji Ho Kwon
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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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Journal of Modern Power Systems and Clean Energy, 2019 In power market environment, the growing importance of demand response (DR) and renewable energy source (RES) attracts more for-profit DR and RES aggregators to compete with each other to maximize their profit.
Tirthadip Ghose +2 more
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THE ROLE OF VALUE AT RISK IN THE MANAGEMENT OF ASSET AND LIABILITIES [PDF]
Annals of the University of Oradea: Economic Science, 2012 ALM is the management of risk at enterprise level, the models used in ALM can be static or dynamic: single period-static models, multiple period static model, single period stochastic model, multi period stochastic model. While single period-static don't
Petria Nicolae +2 more
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Multi-Variate Risk Measures under Wasserstein Barycenter
Risks, 2022 When the uni-variate risk measure analysis is generalized into the multi-variate setting, many complex theoretical and applied problems arise, and therefore the mathematical models used for risk quantification usually present model risk.
M. Andrea Arias-Serna +2 more
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Optimal reinsurance designs based on risk measures: a review
Statistical Theory and Related Fields, 2020 Reinsurance is an effective way for an insurance company to control its risk. How to design an optimal reinsurance contract is not only a key topic in actuarial science, but also an interesting research question in mathematics and statistics.
Jun Cai, Yichun Chi
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