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ENERGY RISK MANAGEMENT BY VALUE-AT-RISK
How to Cope With Disrupted Times, 2018Model risk has an important effect on risk measurements. Indeed, the choice of the underlying probabilistic model can have a significant impact on the risk forecast. The hazard of producing poor risk assessments due to the choice of an unsuited model is known as “model risk”.
Gianfreda, Angelica, Scandolo, Giacomo
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Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk
ACM Transactions on Modeling and Computer Simulation, 2014Value-at-risk (VaR) and conditional value-at-risk (CVaR) are two widely used risk measures of large losses and are employed in the financial industry for risk management purposes. In practice, loss distributions typically do not have closed-form expressions, but they can often be simulated (i.e., random observations of the loss distribution may be ...
L. Jeff Hong, Zhaolin Hu, Guangwu Liu
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Journal of International Money and Finance, 1997
In this paper, I develop a model that measures the effects of political risk on the outcome of a foreign direct investment project as the value of an insurance policy that reimburses all losses resulting from the political event or events in question. The evolutionary process of political risk is explicitly defined and includes a stochastic element as ...
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In this paper, I develop a model that measures the effects of political risk on the outcome of a foreign direct investment project as the value of an insurance policy that reimburses all losses resulting from the political event or events in question. The evolutionary process of political risk is explicitly defined and includes a stochastic element as ...
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Estimating value at risk and conditional value at risk for count variables
Quality and Reliability Engineering International, 2011AbstractRisk management and risk measures like value at risk and conditional value at risk originated in the financial and insurance industries. In recent years, the interest in risk management and risk measurement has spread over all industrial sectors. Finance and insurance applications focused on continuous data like financial return, profit or loss.
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2012 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr), 2012
Stressed Value at Risk (Stressed VAR) in its advanced framework provides a realistic measure of market risk tailored for stressed market environments. The simpler regulatory version of Stressed VAR is a special case. Stressed VAR corrects various deficits of ordinary VAR in times of market stress.
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Stressed Value at Risk (Stressed VAR) in its advanced framework provides a realistic measure of market risk tailored for stressed market environments. The simpler regulatory version of Stressed VAR is a special case. Stressed VAR corrects various deficits of ordinary VAR in times of market stress.
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Extremal Quantiles and Value-at-Risk
SSRN Electronic Journal, 2006This article looks at the theory and empirics of extremal quantiles in economics, in particular value-at-risk. The theory of extremes has gone through remarkable developments and produced valuable empirical findings in the last 20 years. In the discussion, we put a particular focus on conditional extremal quantile models and methods, which have ...
Victor Chernozhukov, Songzi Du
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Risk Measures: Value at Risk and beyond
2013In the late 90s an increasing interest has been developing towards risk measures, in particular the Value at Risk (VaR) and the Conditional Value at Risk (CVaR). The use of such risk measures is due, on the one hand, to the rules imposed by the Basel Accord on the deposit of margins by banks and financial institutions because of the financial risks ...
Emanuela Rosazza Gianin, Carlo Sgarra
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2014
This book is a vital text for understanding the interaction between enterprise risk management with corporate valuation and corporate default.
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This book is a vital text for understanding the interaction between enterprise risk management with corporate valuation and corporate default.
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Value at Risk and Extreme Values
IFAC Proceedings Volumes, 1998Abstract this paper gives a general exposition of the subject of Value at Risk (VaR), which is now considered as a standard measure of market risks. It is defined as the maximal loss of the portfolio for a given probability over a given period. This measure is sensitive to the tails of the distribution of returns; extreme value theory is used here to
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Value at risk and inventory control
European Journal of Operational Research, 2005zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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