Results 211 to 219 of about 60,954 (219)

Volatility and Risk: Expected Shortfall as an Alternative Risk Measure to Value at Risk (VaR)

2022
Umar, Hamza, Kehinde, Yussuf, Gwatidzo, Justice   +2 more
openaire   +1 more source

Correlations and risk contagion between mixed assets and mixed-asset portfolio VaR measurements in a dynamic view: An application based on time varying copula models

Physica A: Statistical Mechanics and Its Applications, 2016
Pu Gong
exaly  

Value‐at‐Risk and Credit VaR

2014
David Moskovic, Max Wong, Suleman Baig   +2 more
exaly  

Conditional Value at Risk (C-VaR)

2008
openaire   +1 more source

A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model

Management Science, 2004
Gordon J Alexander, Alexandre M Baptista
exaly  

Optimal reinsurance under VaR and TVaR risk measures in the presence of reinsurer’s risk limit

Insurance: Mathematics and Economics, 2016
Zhiyi Lu
exaly  

Conditional Value at Risk (C-VaR)

2011
openaire   +1 more source

Performance Analysis of Economic VaR Estimation using Risk Neutral Probability Distributions

Ungyong T'onggye Yon'gu = the Korean Journal of Applied Statistics, 2012
exaly  

Stochastic dominance and risk measure: A decision-theoretic foundation for VaR and C-VaR

European Journal of Operational Research, 2010
Chenghu Ma, Wing-Keung Wong
exaly