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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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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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Jambura Journal of Mathematics, 2023 Value at Risk (VaR) and Tail Value at Risk (TVaR) are two measures that are commonly used to quantify the risk associated with a loss severity distribution.
Ruhiyat Ruhiyat +2 more
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, 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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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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Normality and Its Verification as a Basic Prerequisite for the Application of VaR [PDF]
SHS Web of Conferences, 2021 If we start to deal with the topics of investing or trading in the financial markets, sooner or later we will encounter the topic of risk. Risk is one of the basic input variables in assessing the suitability and profitability of an investment and ...
Chutka Jan, Vagner Ladislav
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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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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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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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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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