Results 31 to 40 of about 49,838,108 (340)
, 2000 In this paper, we apply a collection of parametric (Normal, Normal GARCH, Student GARCH, RiskMetrics and high-frequency duration models) and non-parametric (empirical quantile, extreme distributions models) Value-at-Risk (VaR) techniques to intraday data for three stocks traded on the NewY ork Stock Exchange.
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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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Value-at-Risk Versus Non Value-at-Risk Traders [PDF]
, 2009 In the paper, I simulate the games with a joint presence of 95% VaR-rule and return-rule groups of agents. Simulations highlight the level of omniscience, next being the rule, which agents follow at the decision-making, and the third the presence of liquidity agents in the game. Omniscient agents make different decisions than non-omniscient agents with
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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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at - Automatisierungstechnik, 2016 This paper studies an optimal portfolio selection problem in the presence of the Maximum Value-at-Risk (MVaR) constraint in a hidden Markovian regime-switching environment.
Dong-Mei Zhu +3 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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Presenting a Model for Multiple-Step-Ahead-Forecasting of Volatility and Conditional Value at Risk in Fossil Energy Markets [PDF]
AUT Journal of Modeling and Simulation, 2018 Fossil energy markets have always been known as strategic and important markets. They have a significant impact on the macro economy and financial markets of the world.
E. Mohammadian Amiri, S. B. Ebrahimi
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