Works matching DE "VALUE at risk"

Results: 1782

Structural VAR analysis of debt, capital accumulation, and income distribution in the Japanese economy: a Post Keynesian perspective.

Published in:

Journal of Post Keynesian Economics, 2012, v. 34, n. 4, p. 685, doi. 10.2753/PKE0160-3477340405

By:

Nishi, Hiroshi

Publication type:

Article

TTRISK: Tensor train decomposition algorithm for risk averse optimization.

Published in:

Numerical Linear Algebra with Applications, 2023, v. 30, n. 3, p. 1, doi. 10.1002/nla.2481

By:

Antil, Harbir;
Dolgov, Sergey;
Onwunta, Akwum

Publication type:

Article

Heterogeneity of inbound tourism driven by exchange rate fluctuations: implications for tourism business recovery and resilience in Australia.

Published in:

Current Issues in Tourism, 2023, v. 26, n. 3, p. 450, doi. 10.1080/13683500.2021.2023478

By:

Shi, Wenming;
Gong, Yuting;
Wang, Likun;
Nikolova, Natalia

Publication type:

Article

Quantifying Downside Risk in Euro Area Stock Markets: A Value at Risk Study.

Published in:

Review of Economics & Development Studies, 2023, v. 9, n. 2, p. 99, doi. 10.47067/reads.v9i2.486

By:

Ghulam, Younis Ahmed;
Joo, Bashir Ahmad

Publication type:

Article

A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at- Risk and Expected Shortfall Using the FIGARCH- skT Specification.

Published in:

Manchester School (1463-6786), 2014, v. 82, n. 1, p. 71, doi. 10.1111/manc.12001

By:

Degiannakis, Stavros;
Dent, Pamela;
Floros, Christos

Publication type:

Article

Loan Portfolio Performance Evaluation by Using Stochastic Recovery Rate.

Published in:

Journal of Applied Research on Industrial Engineering, 2024, v. 11, n. 2, p. 116, doi. 10.22105/jarie.2023.346023.1478

By:

Shahbeyk, Shokouh;
Banihashemi, Shokoofeh

Publication type:

Article

Loan Portfolio Performance Evaluation by Using Stochastic Recovery Rate.

Published in:

Journal of Applied Research on Industrial Engineering, 2024, v. 11, n. 1, p. 116, doi. 10.22105/jarie.2023.346023.1478

By:

Shahbeyk, Shokouh;
Banihashemi, Shokoofeh

Publication type:

Article

A Measure-Valued Differentiation Approach to Sensitivities of Quantiles.

Published in:

Mathematics of Operations Research, 2016, v. 41, n. 1, p. 293, doi. 10.1287/moor.2015.0728

By:

Heidergott, Bernd;
Volk-Makarewicz, Warren

Publication type:

Article

Dynamic Portfolio Choice When Risk Is Measured by Weighted VaR.

Published in:

Mathematics of Operations Research, 2015, v. 40, n. 3, p. 773, doi. 10.1287/moor.2014.0695

By:

Xue Dong He;
Hanqing Jin;
Xun Yu Zhou

Publication type:

Article

Tight Approximations of Dynamic Risk Measures.

Published in:

Mathematics of Operations Research, 2015, v. 40, n. 3, p. 655, doi. 10.1287/moor.2014.0689

By:

Iancu, Dan A.;
Petrik, Marek;
Subramanian, Dharmashankar

Publication type:

Article

External Risk Measures and Basel Accords.

Published in:

Mathematics of Operations Research, 2013, v. 38, n. 3, p. 393, doi. 10.1287/moor.1120.0577

By:

Kou, Steven;
Xianhua Peng;
Heyde, Chris C.

Publication type:

Article

On Kusuoka Representation of Law Invariant Risk Measures.

Published in:

Mathematics of Operations Research, 2013, v. 38, n. 1, p. 142, doi. 10.1287/moor.1120.0563

By:

Shapiro, Alexander

Publication type:

Article

Distributed Dispatch of Distribution Network Operators, Distributed Energy Resource Aggregators, and Distributed Energy Resources: A Three-Level Conditional Value-at-Risk Optimization Model.

Published in:

Inventions (2411-5134), 2024, v. 9, n. 6, p. 117, doi. 10.3390/inventions9060117

By:

Huang, Qifeng;
Cheng, Hanmiao;
Zhuang, Zhong;
Duan, Meimei;
Fang, Kaijie;
Huang, Yixuan;
Wang, Liyu

Publication type:

Article

Risk measurement in profitability calculation of non-financial investment.

Published in:

Business Administration Quarterly / Kwartalnik Nauk o Przedsiebiorstwie, 2023, v. 67, n. 1, p. 97, doi. 10.33119/KNOP.2023.67.1.6

By:

SZCZEPAŃSKA, Joanna

Publication type:

Article

Integrated risk measurement and control for stochastic energy trading of a wind storage system in electricity markets.

Published in:

Protection & Control of Modern Power Systems, 2023, v. 8, n. 1, p. 1, doi. 10.1186/s41601-023-00329-3

By:

Xiao, Dongliang;
Chen, Haoyong;
Cai, Weijun;
Wei, Chun;
Zhao, Zhendong

Publication type:

Article

Integrated risk measurement and control for stochastic energy trading of a wind storage system in electricity markets.

Published in:

Protection & Control of Modern Power Systems, 2023, v. 8, n. 1, p. 1, doi. 10.1186/s41601-023-00329-3

By:

Xiao, Dongliang;
Chen, Haoyong;
Cai, Weijun;
Wei, Chun;
Zhao, Zhendong

Publication type:

Article

Two-stage stochastic-robust model for the self-scheduling problem of an aggregator participating in energy and reserve markets.

Published in:

Protection & Control of Modern Power Systems, 2023, v. 8, n. 1, p. 1, doi. 10.1186/s41601-023-00320-y

By:

Wang, Jian;
Xie, Ning;
Huang, Chunyi;
Wang, Yong

Publication type:

Article

How We Predict the Stability of Financial Sector: The Conditional Value at Risk Technique Approach.

Published in:

KnE Social Sciences, 2020, p. 328, doi. 10.18502/kss.v4i7.6863

By:

Kaluge, David

Publication type:

Article

Contemporary Aspects of Financial - Banking Responsibility.

Published in:

KnE Social Sciences, 2020, p. 481, doi. 10.18502/kss.v4i1.6007

By:

Bratu, Renate Doina

Publication type:

Article

Value at Risk as a Measurement of Market Risk in Emerging Sharia Market: A Comparative Study Between Indexes in Indonesian Stock Exchange.

Published in:

KnE Social Sciences, 2018, v. 2018, p. 94, doi. 10.18502/kss.v3i5.2327

By:

Suryawati, Baiq Nurul;
Unsun-Nidhal, Lalu

Publication type:

Article

"Value-At-Risk" in Agricultural Supply Chains - Summary.

Published in:

Western Economics Forum, 2022, v. 20, n. 2, p. 3

By:

O'Brien, Daniel

Publication type:

Article

Projecting Financial Capability in Small Canadian Drinking Water Treatment Systems.

Published in:

Journal: American Water Works Association, 2017, v. 109, n. 10, p. E440, doi. 10.5942/jawwa.2017.109.0113

By:

Janzen, Aaron;
Achari, Gopal;
Dore, Mohammed H.I.;
Langford, Cooper H.

Publication type:

Article

Statistical evaluation of a long‐memory process using the generalized entropic value‐at‐risk.

Published in:

Environmetrics, 2024, v. 35, n. 4, p. 1, doi. 10.1002/env.2838

By:

Yoshioka, Hidekazu;
Yoshioka, Yumi

Publication type:

Article

ارائة مدل احتمالاتی دومرحله ای مقید به ریسک برای برنامه ریزی ریزشبکه های هوشمند مستقل با در نظر گرفتن مشارکت سمت تقاضا

Published in:

Computational Intelligence in Electrical Engineering, 2019, v. 10, n. 2, p. 1

By:

مصطفی واحدی پور دهرائی;
هما رشیدی زاده کرمانی;
حمیدرضا نجفی

Publication type:

Article

Performance Analysis of Sustainable Responsible Companies: An Empirical Study of Indian Sustainability Indices.

Published in:

Grenze International Journal of Engineering & Technology (GIJET), 2024, v. 10, n. 2,Part 3, p. 2426

By:

Sharma, Swati

Publication type:

Article

Central limit theorem and almost sure results for the empirical estimator of superquantiles/CVaR in the stationary case.

Published in:

Statistics, 2022, v. 56, n. 1, p. 53, doi. 10.1080/02331888.2022.2043325

By:

Dedecker, Jérôme;
Merlevède, Florence

Publication type:

Article

Asymptotic consistency of risk functionals.

Published in:

Journal of Nonparametric Statistics, 2009, v. 21, n. 8, p. 977, doi. 10.1080/10485250903060592

By:

Wozabal, David;
Wozabal, Nancy

Publication type:

Article

Evaluating Approximate Point Forecasting of Count Processes.

Published in:

Econometrics (2225-1146), 2019, v. 7, n. 3, p. 30, doi. 10.3390/econometrics7030030

By:

Homburg, Annika;
Weiß, Christian H.;
Alwan, Layth C.;
Frahm, Gabriel;
Göb, Rainer

Publication type:

Article

The Realized Hierarchical Archimedean Copula in Risk Modelling.

Published in:

Econometrics (2225-1146), 2017, v. 5, n. 2, p. 26, doi. 10.3390/econometrics5020026

By:

Okhrin, Ostap;
Tetereva, Anastasija

Publication type:

Article

Bayesian Inference for Latent Factor Copulas and Application to Financial Risk Forecasting.

Published in:

Econometrics (2225-1146), 2017, v. 5, n. 2, p. 21, doi. 10.3390/econometrics5020021

By:

Schamberger, Benedikt;
Gruber, Lutz F.;
Czado, Claudia

Publication type:

Article

Stochastic volatility with missing data: Assessing the effects of holidays.

Published in:

Communications in Statistics: Case Studies & Data Analysis, 2022, v. 8, n. 3, p. 423, doi. 10.1080/23737484.2022.2087122

By:

Abbara, Omar;
Zevallos, Mauricio

Publication type:

Article

Switching latent factor value-at-risk models for conditionally heteroskedastic portfolios: A comparative approach.

Published in:

Communications in Statistics: Case Studies & Data Analysis, 2022, v. 8, n. 2, p. 282, doi. 10.1080/23737484.2022.2031346

By:

Saidane, Mohamed

Publication type:

Article

Estimation of SUR model with VAR(p) disturbances.

Published in:

Communications in Statistics: Case Studies & Data Analysis, 2019, v. 5, n. 4, p. 432, doi. 10.1080/23737484.2019.1675558

By:

Alkhamisi, M. A.;
Golam Kibria, B. M.;
Shukur, Ghazi

Publication type:

Article

Mathematical Modeling and Analysis on the Influence of Maritime Transport Capability on Bilateral Trade.

Published in:

Journal of Coastal Research, 2018, v. 83, p. 819, doi. 10.2112/SI83-134.1

By:

Yu, Muyan

Publication type:

Article

Changes in Effectiveness of Delta Hedging Using Options on the WIG20.

Published in:

Management Issues / Problemy Zarządzania, 2020, v. 18, n. 4, p. 163, doi. 10.7172/1644-9584.90.9

By:

Węgrzyn, Ryszard

Publication type:

Article

A semi-parametric dynamic conditional correlation framework for risk forecasting.

Published in:

Quantitative Finance, 2025, v. 25, n. 1, p. 31, doi. 10.1080/14697688.2024.2446740

By:

Storti, Giuseppe;
Wang, Chao

Publication type:

Article

High-dimensional macroeconomic stress testing of corporate recovery rate.

Published in:

Quantitative Finance, 2024, v. 24, n. 11, p. 1669, doi. 10.1080/14697688.2024.2414758

By:

Nazemi, Abdolreza;
Baumann, Friedrich;
Schienle, Melanie;
Fabozzi, Frank J.

Publication type:

Article

Centred expected shortfall (CES): a traditional asset manager's view on decomposing downside investment risk.

Published in:

Quantitative Finance, 2024, v. 24, n. 1, p. 83, doi. 10.1080/14697688.2023.2269992

By:

Kroon, Erik;
Hacini, Mehdi-Vincent;
Somefun, Koye

Publication type:

Article

Hedging cryptos with Bitcoin futures.

Published in:

Quantitative Finance, 2023, v. 23, n. 5, p. 819, doi. 10.1080/14697688.2023.2187316

By:

Liu, Francis;
Packham, Natalie;
Lu, Meng-Jou;
Härdle, Wolfgang Karl

Publication type:

Article

Assessing the accuracy of exponentially weighted moving average models for Value-at-Risk and Expected Shortfall of crypto portfolios.

Published in:

Quantitative Finance, 2023, v. 23, n. 3, p. 393, doi. 10.1080/14697688.2022.2159505

By:

Alexander, Carol;
Dakos, Michael

Publication type:

Article

A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures.

Published in:

Quantitative Finance, 2023, v. 23, n. 2, p. 309, doi. 10.1080/14697688.2022.2157322

By:

Wang, Chao;
Gerlach, Richard;
Chen, Qian

Publication type:

Article

Vulnerability-CoVaR: investigating the crypto-market.

Published in:

Quantitative Finance, 2022, v. 22, n. 9, p. 1731, doi. 10.1080/14697688.2022.2063166

By:

Waltz, Martin;
Kumar Singh, Abhay;
Okhrin, Ostap

Publication type:

Article

GARCH-UGH: a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series.

Published in:

Quantitative Finance, 2022, v. 22, n. 7, p. 1277, doi. 10.1080/14697688.2022.2048061

By:

Kaibuchi, H.;
Kawasaki, Y.;
Stupfler, G.

Publication type:

Article

Variance reduction for risk measures with importance sampling in nested simulation.

Published in:

Quantitative Finance, 2022, v. 22, n. 4, p. 657, doi. 10.1080/14697688.2021.1985730

By:

Xing, Yue;
Sit, Tony;
Ying Wong, Hoi

Publication type:

Article

Macroeconomic uncertainty and expected shortfall (and value at risk): a new dynamic semiparametric model.

Published in:

Quantitative Finance, 2021, v. 21, n. 11, p. 1791, doi. 10.1080/14697688.2020.1862418

By:

ZHIYUAN PAN;
YUDONG WANG;
LI LIU

Publication type:

Article

Forecasting robust value-at-risk estimates: evidence from UK banks.

Published in:

Quantitative Finance, 2021, v. 21, n. 11, p. 1955, doi. 10.1080/14697688.2019.1579923

By:

SAMPID, MARIUS GALABE;
HASIM, HASLIFAH M.

Publication type:

Article

Robust portfolio rebalancing with cardinality and diversification constraints.

Published in:

Quantitative Finance, 2021, v. 21, n. 10, p. 1707, doi. 10.1080/14697688.2021.1879392

By:

Zhao, Zhihua;
Xu, Fengmin;
Du, Donglei;
Meihua, Wang

Publication type:

Article

Modeling and solving portfolio selection problems based on PVaR.

Published in:

Quantitative Finance, 2020, v. 20, n. 12, p. 1889, doi. 10.1080/14697688.2020.1819552

By:

Huo, Yanli;
Xu, Chunhui;
Shiina, Takayuki

Publication type:

Article

Simulation-based Value-at-Risk for nonlinear portfolios.

Published in:

Quantitative Finance, 2019, v. 19, n. 10, p. 1639, doi. 10.1080/14697688.2019.1598568

By:

Chen, Junyao;
Sit, Tony;
Wong, Hoi Ying

Publication type:

Article

Estimating Value-at-Risk for the g-and-h distribution: an indirect inference approach.

Published in:

Quantitative Finance, 2019, v. 19, n. 8, p. 1255, doi. 10.1080/14697688.2019.1580762

By:

Bee, M.;
Hambuckers, J.;
Trapin, L.

Publication type:

Article