Results 31 to 40 of about 50,970 (142)
Tecnura, 2014 This paper presents a financial risk assessment model for the electrical-energy-sale process trough long-term bilateral contracts. The volatility exhibited by spot prices of electricity in Colombia constitutes one of the aspects of big influence in ...
Mónica Sánchez +2 more
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Barekeng, 2023 The Value at Risk (VaR) method refers to a statistical risk measurement tool used to determine the maximum loss of an investment, while the distribution that must be met is the normal distribution.
Alimatun Najiha +2 more
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On Conditional Value at Risk (CoVaR) for tail-dependent copulas
Dependence Modeling, 2017 The paper deals with Conditional Value at Risk (CoVaR) for copulas with nontrivial tail dependence. We show that both in the standard and the modified settings, the tail dependence function determines the limiting properties of CoVaR as the conditioning ...
Jaworski Piotr
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Improving Risk Factor of Market Risk Capital Requirement in Solvency Model of Iranian Insurance Industry [PDF]
مدلسازی اقتصادسنجی, 2018 The main purpose of this paper is to present a more efficient method than the 69th act and previous studies, for determining risk factor of Market Risk Capital Requirement.
Nader Mazloumi, Amir Safari, Reza Jafari
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RisksThe Value-at-Risk (VaR) metric serves as a pivotal tool for quantifying market risk, offering an estimation of potential investment losses. Predominantly employed within financial sectors, it aids in adhering to regulatory mandates and in devising ...
Danai Likitratcharoen +1 more
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Aggregate Risk Model and Risk Measure-Based Risk Allocation
InPrime, 2020 In actuarial modeling, aggregate risk is known as more attractive rather than individual risk. It has, however, usual difficulty in finding (the exact form of) joint probability distribution.
Khreshna Syuhada
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CommoditiesWe analyze extreme gold price movements between 1975 and 2025 using Extreme Value Theory (EVT). Using both the Block-Maxima and Peaks-over-Threshold approaches on a daily return basis, we estimate Value-at-Risk (VaR) and Expected Shortfall (ES) for the ...
Michael Bloss +2 more
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Estimasi Nilai VaR Dinamis Indeks Saham Menggunakan Peak-Over Threshold dan Block Maxima
Jurnal Matematika, 2012 Kejadian ekstrim pada bidang finansial pada periode 2008/2009 telah menyadarkan para praktisi maupun peneliti di bidang finansial untuk mengevaluasi kembali teknik-teknik pemodelan risiko finansial.
Komang Dharmawan
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Deposit Mudarabah Investment Risk Analysis Method Value at Risk (VaR)
International Journal of Economics, Business and Accounting Research (IJEBAR), 2020 Abstract The purpose of this study is to understand the risk and return on net return on mudharabah deposits in Islamic banks using the Value at Risk (VaR) approach. The objects in this study are quarterly financial statements of Bank Syariah Mandiri, Bank BRI Syariah, and Muamalat Bank for three years, 2015-2017. The VaR analysis results ...
openaire +2 more sources