Credibilistic Value and Average Value at Risk in Fuzzy Risk Analysis
Fuzzy Information and Engineering, 2011 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire +2 more sources
Modeling Tail Risk and Analysis of its Spillover Using EVT-VaR in the Supply Chain between the Cement and Construction-Real Estate Industries [PDF]
راهبرد مدیریت مالیIn light of the growing turbulence in financial markets, the evaluation of extreme events has become a critical component of risk management. When risk spillover acts as a significant transmission mechanism, it may lead to crises in other interconnected ...
Farideh Kalateh Rahmani +1 more
doaj +1 more source
Value-at-Risk for Country Risk Ratings [PDF]
The country risk literature argues that country risk ratings have a direct impact on the cost of borrowings as they reflect the probability of debt default by a country.
Michael McAleer +2 more
core
Exposure-Based Cash-Flow-at-Risk for Value-Creating Risk Management under Macroeconomic Uncertainty [PDF]
A strategically minded CFO will realize that strategic corporate risk management is about finding the right balance between risk prevention and proactive value generation. Efficient risk and performance management requires adequate assessment of risk and
Jankensgård, Håkan +2 more
core
Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures [PDF]
It is well known that the Basel II Accord requires banks and other Authorized Deposit-taking Institutions (ADIs) to communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more ...
Michael McAleer +4 more
core +4 more sources
Economia Aplicada, 2004 This paper aimed to evaluate risk and returns of marketing strategies adopted by farmers, cooperatives and grain elevators in the State of Paraná, Brazil, using data for the period 1994-2001.
Edison Luiz Leismann +2 more
doaj
Estimating Climate Risk Exposure in the U.S. Insurance Sector Using Factor Model and EVT
MathematicsThis study examines the exposure of the U.S. insurance sector to climate-related risks using a two-step approach combining factor modeling and Extreme Value Theory. The analysis first constructs a climate risk factor from transition-sensitive sectors and
Olanrewaju Oluwadamilare Olaniyan
doaj +1 more source
Forecasting Value at Risk in Emerging Arab Stock Markets [PDF]
The economic and political instability of most of the Arab countries may lead to the assumption that Arab stock markets are riskier and less predictable than stock markets in developed countries.
C. Guermat, K. Hadri, C. C. Kucukozmen
core
Tail risk modelling of cryptocurrencies, gold, non-fungible token, and stocks
Research in GlobalizationWe present tail risk analysis of cryptocurrencies (Bitcoin, Ethereum and Litecoin), non-fungible tokens, stocks (FTSE 100 and S&P 500) and Gold from November 12, 2017 to March 31, 2022 using conditional model-based Value-at-Risk (VaR).
Zynobia Barson, Peterson Owusu Junior
doaj +1 more source
Value at Risk and Market Crashes [PDF]
Many popular techniques for determining a securities firm’s value at risk are based upon the calculation of the historical volatility of returns to the assets that comprise the portfolio, and of the correlations between them. One such approach is the J.P.
Chris Brooks, Gita Persand
core