Results 41 to 50 of about 48,841,878 (206)
Tsallis value-at-risk: generalized entropic value-at-risk
Probability in the Engineering and Informational Sciences, 2022 AbstractMotivated by Ahmadi-Javid (Journal of Optimization Theory Applications, 155(3), 2012, 1105–1123) and Ahmadi-Javid and Pichler (Mathematics and Financial Economics, 11, 2017, 527–550), the concept of Tsallis Value-at-Risk (TsVaR) based on Tsallis entropy is introduced in this paper. TsVaR corresponds to the tightest possible upper bound obtained
Zhenfeng Zou, Zichao Xia, Taizhong Hu
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MENAKSIR VALUE AT RISK (VAR) PORTOFOLIO PADA INDEKS SAHAM DENGAN METODE PENDUGA VOLATILITAS GARCH
E-Jurnal Matematika, 2013 Value at Risk (VaR) is a concept which was used to measure a risk on risk management. VaR explained the worst amount of financial loss in a financial product with the horizon and certain degree of believe.
INTAN AWYA WAHARIKA +2 more
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Applyng copulas in econometrics estimate of portfolio value at risk [PDF]
, 2022 We take price time series of four financial traded indices: FTSE MIB, CAC All-Tradable, CDAX and IBEX35. From Eikon Reuters-Datastream. We fit these data to various copulas and estimate copula parameters by Inference for margins method.
Magliani, Eleonora
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Sensitivity analysis of Values at Risk [PDF]
Journal of Empirical Finance, 2000 The aim of this paper is to analyze the sensitivity of Value at Risk VaR with respect to portfolio allocation. We derive analytical expressions for the first and second derivatives of the VaR, and explain how they can be used to simplify statistical inference and to perform a local analysis of the VaR.
Gourieroux, Christian +2 more
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Copula-Based Risk Aggregation and the Significance of Reinsurance
RisksInsurance companies need to calculate solvency capital requirements in order to ensure that they can meet their future obligations to policyholders and beneficiaries.
Alexandra Dias +2 more
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Rogue traders versus value-at-risk and expected shortfall [PDF]
, 2018 We show that, in a Black and Scholes market, value at risk and ex- pected shortfall are irrelevant in limiting traders excessive tail-risk seeking behaviour as modelled via Kahneman and Tversky’s S-shaped utility. To have effective constraints one can
Brigo, D, Armstrong, John
core
The Journal of Risk Finance, 2004 One of the most significant recent developments in the risk measurement and management area has been the emergence of value at risk (VaR). The VaR of a portfolio is the maximum loss that the portfolio will suffer over a defined time horizon, at a specified level of probability known as the VaR confidence level.
Blake, D., Cairns, A., Dowd, K.
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A Hybrid EGARCH–Informer Model with Consistent Risk Calibration for Volatility and CVaR Forecasting
MathematicsThis study proposes a hybrid EGARCH-Informer framework for forecasting volatility and calibrating tail risk in financial time series. The econometric layer (EGARCH) captures asymmetric and persistent volatility dynamics, while the attention layer ...
Ming Che Lee
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BuildingsThe complexity and uncertainty of construction projects contribute to low efficiency in the construction industry. This research applied the Takt-time planning method to optimize the construction working process, and proposed a risk control framework ...
Fan Ding +5 more
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Incorporating Event Risk into Value-at-Risk [PDF]
Finance and Economics Discussion Series, 2001 Event risk is the risk that a portfolio's value can be affected by large jumps in market prices. Event risk is synonymous with "fat tails" or "jump risk". Event risk is one component of "specific risk", defined by bank supervisors as the component of market risk not driven by market-wide shocks.
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