Results 51 to 60 of about 48,841,878 (206)

RISK OF INDONESIAN BANKS: AN APPLICATION OF HISTORICAL EXPECTED SHORTFALL METHOD

Buletin Ekonomi Moneter dan Perbankan, 2015
Asian and European crises were witnesses of banks’ vulnerable due to market risks. The Basel Committee requires an internal risk assessment applying Value at Risk (VaR).
Nevi Danila, Bunyamin Bunyamin, Siti Munfaqiroh   +2 more
doaj   +1 more source

Cryptocurrency Market Maturation and Evolving Risk Profiles: A Comparative Analysis of Bitcoin and Ethereum Tail Risk Dynamics

FinTech
This paper examines the market maturation hypothesis in cryptocurrency markets through a three-stage analysis of the evolution of tail risk in Bitcoin (BTC) and Ethereum (ETH).
Oksana Liashenko, Bogdan Adamyk, Oksana Adamyk   +2 more
doaj   +1 more source

Exploring Entropy-Based Portfolio Strategies: Empirical Analysis and Cryptocurrency Impact

Risks
This study addresses market concentration among major corporations, highlighting the utility of relative entropy for understanding diversification strategies. It introduces entropic value at risk (EVaR) as a coherent risk measure, which is an upper bound
Nicolò Giunta, Giuseppe Orlando, Alessandra Carleo, Jacopo Maria Ricci   +3 more
doaj   +1 more source

Vector-valued multivariate conditional value-at-risk

Operations Research Letters, 2018
In this study, we propose a new definition of multivariate conditional value-at-risk (MCVaR) as a set of vectors for discrete probability spaces. We explore the properties of the vector-valued MCVaR (VMCVaR) and show the advantages of VMCVaR over the existing definitions given for continuous random variables when adapted to the discrete case.
Merve Merakli, Simge Küçükyavuz
openaire   +5 more sources

Forecasting Value-at-Risk Using the Markov-Switching ARCH Model [PDF]

This paper analyzes the application of the Markov-switching ARCH model (Hamilton and Susmel, 1994) in improving value-at-risk (VaR) forecast. By considering a mixture of normal distributions with varying variances over different time and regimes, we find
Wei-Ting Tang, Yin-Feng Gau
core  

LIMITATIONS OF VALUE-AT-RISK (VAR) FOR BUDGET ANALYSIS [PDF]

Value-at-risk (VaR) is increasingly being applied to problems in agriculture, especially valuation of crop insurance and agricultural lending risk exposure.
Gustafson, Cole R.
core  

Filtered Extreme Value Theory for Value-At-Risk Estimation [PDF]

Extreme returns in stock returns need to be captured for a successful risk management function to estimate unexpected loss in portfolio. Traditional value-at-risk models based on parametric models are not able to capture the extremes in emerging markets ...
Yilmazer, Sait, Ozun, Alper, Cifter, Atilla   +2 more
core  

Market Risk Analysis of Energy in Vietnam

Risks, 2019
The purpose of this paper is to evaluate and estimate market risk for the ten major industries in Vietnam. The focus of the empirical analysis is on the energy sector, which has been designated as one of the four key industries, together with services ...
Ngoc Phu Tran, Thang Cong Nguyen, Duc Hong Vo, Michael McAleer   +3 more
doaj   +1 more source

Value at Risk, Legislative Framework, Crises, and Procyclicality: what goes wrong?

Review of Economic Analysis, 2020
This study highlights some deficiencies of the stock markets’ risk legislation framework, and particularly the CESR (2010) guidelines. We show that the current legislative framework fails to offer incentives to financial management companies to invest ...
Evangelos Vasileiou, Aristeidis Samitas
doaj   +1 more source

A Dynamic Trading Strategy Based on Conditional Value-at-risk

, 2023
This thesis studies two risk measurement methods, Value-at-Risk (VaR) method and Conditional-Value-at-Risk (CVaR) method. The concepts, prop- erties and calculation methods of VaR and CVaR method are introduced. On the basis of CVaR method, the mean-CVaR
Weizhe Chen (5920778)
core   +1 more source