Results 241 to 250 of about 53,651 (258)

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

Management Science, 2004
Alexandre Baptista, Gordon J Alexander
exaly  

Value‐at‐Risk and Credit VaR

2014
David Moskovic, Suleman Baig, Alexandru Voicu   +2 more
exaly  

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

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

Conditional Value at Risk (C-VaR)

2008
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  

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  

Conditional Value at Risk (C-VaR)

2011
openaire   +1 more source

Exploring interconnections and risk evaluation of green equities and bonds: fresh perspectives from TVP-VAR model and wavelet-based VaR analysis

China Finance Review International
Mohamed Yousfi
exaly  

An evaluation of the effectiveness of Value-at-Risk (VaR) models for Australian banks under Basel III

Australian Journal of Management, 2016
exaly  

Portfolio risk management through value-at-risk (VaR) measurement

The industry-standard metric for risk measurement in the financial industry is the Value-at-Risk (VaR), which estimates the maximum expected loss due to market fluctuations over a specified future time horizon, at a given significance level. VaR is used to gauge the capital at risk from investment activities, which aligns with the concept of Economic ...
openaire   +1 more source