Results 11 to 20 of about 47,086,790 (308)
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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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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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 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.
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Risk, Ambiguity, and the Value of Diversification [PDF]
Management Science, 2021 Diversification is a basic economic principle that helps to hedge against uncertainty. It is, therefore, intuitive that both risk aversion and ambiguity aversion should positively affect the value of diversification. In this paper, we show that this intuition (1) is true for risk aversion but (2) is not necessarily true for ambiguity aversion.
Berger, Loïc, Eeckhoudt, Louis
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Risks, 2019 Value at Risk (VaR) is used to illustrate the maximum potential loss under a given confidence level, and is just a single indicator to evaluate risk ignoring any information about income. The present paper will generalize one-dimensional VaR to two-dimensional VaR with income-risk double indicators. We first construct a double-VaR with ( μ , σ 2 )
Wanbing Zhang, Sisi Zhang, Peibiao Zhao
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Value-At-Risk Optimal Policies for Revenue Management Problems [PDF]
, 2010 Consider a single-leg dynamic revenue management problem with fare classes controlled by capacity in a risk-averse setting. The revenue management strategy aims at limiting the down-side risk, and in particular, value-at-risk.
Meissner, J, Koenig, M
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Integrating ESG risks into value-at-risk
Finance Research Letters, 2023 This study addresses the regulatory request for sustainability-related risk integration into traditional financial risk measures. We propose a new risk metric that combines a traditional market risk measure expressed in terms of Value-at-Risk (VaR) and environmental, social, and governance (ESG) factors.
Paolo Capelli +2 more
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Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics [PDF]
Operations Research, 2012 We discuss linear regression approaches to the estimation of law-invariant conditional risk measures. Two estimation procedures are considered and compared; one is based on residual analysis of the standard least-squares method, and the other is in the spirit of the M-estimation approach used in robust statistics.
So Yeon Chun +2 more
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