Results 11 to 20 of about 8,248,666 (375)
Optimization with multivariate conditional value-at-risk constraints [PDF]
Operational Research, 2013 For many decision making problems under uncertainty, it is crucial to develop risk-averse models and specify the decision makers' risk preferences based on multiple stochastic performance measures (or criteria). Incorporating such multivariate preference
Noyan, Nilay, Rudolf, Gabor
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Risk-Sensitive Safety Analysis Using Conditional Value-at-Risk [PDF]
IEEE Transactions on Automatic Control, 2021 This article develops a safetyanalysis method for stochastic systems that is sensitive to the possibility and severity of rare harmful outcomes. We define risk-sensitive safe sets as sublevel sets of the solution to a nonstandard optimal control problem,
Margaret P. Chapman +5 more
semanticscholar +1 more source
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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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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Value-at-Risk Versus Non Value-at-Risk Traders [PDF]
SSRN Electronic Journal, 2009 In the paper, I simulate the games with a joint presence of 95% VaR-rule and return-rule groups of agents in the game. Simulations highlighted 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.
openaire +1 more source
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
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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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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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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
semanticscholar +1 more source