Results 61 to 70 of about 424,806 (227)

Estimasi Nilai VaR Dinamis Indeks Saham Menggunakan Peak-Over Threshold dan Block Maxima

Jurnal Matematika, 2012
Kejadian ekstrim pada bidang finansial pada periode 2008/2009  telah menyadarkan para praktisi maupun peneliti di bidang finansial untuk mengevaluasi kembali teknik-teknik pemodelan risiko finansial.
Komang Dharmawan
doaj   +1 more source

Stochastic Value-at-Risk-Based Optimization and Independent Dominating Sets for Wireless Network Design

IEEE Access
This paper studies new deterministic optimization models for wireless network design based on the Independent Dominating Set (IDS) structure. We first present deterministic formulations of the IDS and then extend them with risk-aware objectives using ...
Pablo Adasme
doaj   +1 more source

PENGUKURAN VALUE AT RISK PADA ASET TUNGGAL DAN PORTOFOLIO DENGAN SIMULASI MONTE CARLO

Media Statistika, 2009
Value at Risk (VaR) is the established standard for measuring market risk. VaR measures the worst expected loss under normal market conditions over a specific time interval at a given confidence level. A VaR statistic has three components: a time period,
Di Asih I Maruddani, Ari Purbowati
doaj   +1 more source

Coherent Risk Measures and Upper Previsions [PDF]

In this paper coherent risk measures and other currently used risk measures, notably Value-at-Risk (VaR), are studied from the perspective of the theory of coherent imprecise previsions.
Paolo Vicig, Renato Pelessoni
core  

PERHITUNGAN VALUE AT RISK DENGAN PENDUGA VOLATILITAS STOKASTIK HESTON

E-Jurnal Matematika, 2018
Value at risk is a method that measures financial risk of an security or portfolio. The aims of the research is to find out the value at risk of an exchange rate using the Heston stochastic volatility model. Heston model is a strochastic volatility model
DESAK PUTU DEVI DAMIYANTI, KOMANG DHARMAWAN, LUH PUTU IDA HARINI   +2 more
doaj   +1 more source

Practical Calculation of Expected and Unexpected Losses in Operational Risk by Simulation Methods [PDF]

This paper explores the difficulties involved in quantitative measurement of operational risk and proposes simulation methods as a practical solution to obtain the distribution of total losses.
Enrique, Navarrete
core   +1 more source

Systemic risk in Taiwan stock market

Journal of Business Economics and Management, 2012
Recent financial crises resulted from systemic risk caused by idiosyncratic distress. In this research, taking Taiwan stock market as an example and collecting data from 2000 to 2010 which contained the 2001 dot-com bubble and the 2007–2009 financial ...
Her-Jiun Sheu, Chien-Ling Cheng
doaj   +1 more source

The Sign RCA Models: Comparing Predictive Accuracy of VaR Measures [PDF]

Evaluating Value at Risk (VaR) methods of predictive accuracy in an objective and effective framework is important for both efficient capital allocation and loss prediction.
Joanna Górka
core  

Machine learning-based dynamic risk measurement for white sugar futures under geopolitical risks

Frontiers in Physics
Futures, as significant financial derivatives, play a crucial role in financial markets by fulfilling price discovery functions and providing efficient risk hedging tools.
Zihao Qiu, Siyu Chen, Zixin Feng, Ruitong Luo, Zhiwei Wang   +4 more
doaj   +1 more source