Results 81 to 90 of about 48,841,878 (206)
Extreme Value at Risk and Expected Shortfall during Financial Crisis [PDF]
This paper investigates Value at Risk and Expected Shortfall for CAC 40, S&P 500, Wheat and Crude Oil indexes during the 2008 financial crisis. We show an underestimation of the risk of loss for the unconditional VaR models as compared with the ...
D. Dupre +3 more
core
Value at Risk: Implementing a Risk Measurement Standard [PDF]
In the wake of recent failures of risk management, there has been a widespread call for improved quantification of the financial risks facing firms. At the forefront of this clamor has been Value at Risk.
Christopher Marshall, Michael Siegel
core
Bernstein’s inequality with a proper cover and upper bound of portfolio VaR and TVaR
Dependence ModelingThis study develops a concentration inequality for random variables that satisfy Bernstein’s condition when an appropriate cover is present. This inequality generalizes standard concentration results for common distributions, including Gamma, Exponential,
Tanoue Yuta
doaj +1 more source
Measuring market risk using extreme value theory [PDF]
The adoption of Basel II standards by the Bangko Sentral ng Pilipinas initiates financial institutions to develop value-at-risk (VaR) models to measure market risk.
Mapa, Dennis S., Suaiso, Oliver Q.
core
Value-at-Risk and Expected Shortfall for Linear Portfolios with elliptically distributed RisK Factors [PDF]
In this paper, we generalize the parametric Delta-VaR method from portfolios with normally distributed risk factors to portfolios with elliptically distributed ones. We treat both expected shortfall and the Value-at-Risk of such portfolios.
SADEFO KAMDEM Jules
core
Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures [PDF]
The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to measure ...
Michael McAleer +3 more
core +2 more sources
Can the Collateral Value of a Data Asset Be Increased by Insurance?
MathematicsAs an emerging production factor, data assets are gaining strategic prominence, yet their application in collateralized financing faces persistent challenges, including illiquidity and risk evaluation complexities.
Nan Zhang +3 more
doaj +1 more source
Value-at-Risk versus Non-Value-at-Risk Traders [PDF]
In the paper, I simulate the games with a joint presence of 95% VaR-rule and return-rule groups of agents in the game. Simulations highlighted the level of omniscience, next being the rule, which agents follow at the decision-making, and the third the ...
Steinbacher, Matjaz
core
Extreme Value Theory and Value at Risk : Application to Oil Market [PDF]
Recent increases in energy prices, especially oil prices, have become a principal concern for consumers, corporations, and governments. Most analysts believe that oil price fluctuations have considerable consequences on economic activity.
Abdelwahed Trabelsi +2 more
core
Dependence ModelingWe extend the “probability-equivalent level of VaR and CoVaR” (PELCoV) methodology to accommodate bivariate risks modeled by a Student-t copula, relaxing the strict stochastic increasing (SSI) condition assumed in earlier approaches and enhancing the ...
Flores-Silva Daniela I. +2 more
doaj +1 more source