S-shaped Utility Maximization with VaR Constraint and Partial Information. [PDF]
J Optim Theory ApplZhu D, Davey A, Zheng H.
europepmc +1 more source
Value at Risk (VaR): Definition, Applications and Limits
openQuesta tesi di propone di esaminare l'origine e l'utilizzo del Value at Risk nella gestione del rischio finanziario, analizzando i punti di forza e debolezza.
PRETO, GIACOMO
core
Association between hemoglobin variability and mortality in hemodialysis patients: a retrospective cohort study. [PDF]
Front Med (Lausanne)Zhou Z, Wang F, Lin S, Ma D, Ji C.
europepmc +1 more source
Research on aging-friendly design risk assessment model based on non-parametric estimation. [PDF]
Sci RepLi H, Mao M, Yin YQ.
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Bootstrap prediction intervals for VaR and ES in the context of GARCH models [PDF]
In this paper, we propose a new bootstrap procedure to obtain prediction intervals of future Value at Risk (VaR) and Expected Shortfall (ES) in the context of univariate GARCH models.
Esther Ruiz, María Rosa Nieto
core
How the Sino-U.S. Trade War Rewired Global Soybean Price Linkages: Time-Varying Spillovers and Frequency-Domain Evidence. [PDF]
FoodsZhang Q, Hu Y, Yue Y.
europepmc +1 more source
Signed Connectedness Among Cryptocurrencies, NFTs, and Foreign Exchange Markets. [PDF]
Entropy (Basel)Yang S, Zhang X, Xu W.
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Value at Risk performance analysis in a period of geopolitical instability: The Ukraine war case
openNell’ambito dei mercati finanziari, il concetto di rischio è sempre stato uno degli argomenti principali. Nel corso degli ultimi anni, l'indicatore "Value at Risk (VaR)" si è affermato come uno strumento fondamentale per valutare le perdite ...
DE VIDI, RICCARDO
core
Modelling and Forecasting Dynamic VaR Thresholds for Risk Management and Regulation [PDF]
The paper presents methods of estimating Value-at-Risk (VaR) thresholds utilising two calibrated models and three conditional volatility or GARCH models.
David E. Allen +2 more
core
Persistently low blood eosinophils identify a high-risk phenotype in COPD. [PDF]
BMC Pulm MedZhang W +7 more
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