A new method to predict economic capital for the credit risk of a lending portfolio.
- Published in:
- Journal of the Operational Research Society, 2025, v. 76, n. 7, p. 1432, doi. 10.1080/01605682.2024.2437568
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- Publication type:
- Article
Works matching DE "VALUE at risk"
Results: 1863
1
2
Standard Portfolio Analysis of Risk versus Filtered Historical Simulation Value-at-Risk and Its Improvements: Evidence from Taiwan Market.
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- Journal of Derivatives, 2025, v. 32, n. 4, p. 25, doi. 10.3905/jod.2025.1.227
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- Publication type:
- Article
3
Column-and-constraint generation approach to partition-based risk-averse two-stage stochastic programs.
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- Annals of Operations Research, 2025, v. 349, n. 3, p. 1717, doi. 10.1007/s10479-025-06617-5
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- Publication type:
- Article
4
An Oracle Inequality for Multivariate Dynamic Quantile Forecasting.
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- Journal of Business & Economic Statistics, 2025, v. 43, n. 3, p. 603, doi. 10.1080/07350015.2024.2415107
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- Publication type:
- Article
5
Two-Layer Optimal Dispatch of Distribution Grids Considering Resilient Resources and New Energy Consumption During Cold Wave Weather.
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- Energies (19961073), 2025, v. 18, n. 11, p. 2973, doi. 10.3390/en18112973
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- Article
6
考虑多重约束的储能中长期双边合约 电量确定方法.
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- Journal of Technology Economics, 2025, v. 44, n. 5, p. 121, doi. 10.12404/j.issn.1002-980X.J24062702
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- Publication type:
- Article
7
Mean-CVaR Portfolio Optimization Models based on Chance Theory.
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- International Journal of Information Technology & Decision Making, 2025, v. 24, n. 4, p. 1067, doi. 10.1142/S021962202350058X
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- Publication type:
- Article
8
Assessing Expected Shortfall in Risk Analysis Through Generalized Autoregressive Conditional Heteroskedasticity Modeling and the Application of the Gumbel Distribution.
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- Axioms (2075-1680), 2025, v. 14, n. 5, p. 391, doi. 10.3390/axioms14050391
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- Publication type:
- Article
9
Value‐at‐Risk under Measurement Error.
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- Oxford Bulletin of Economics & Statistics, 2024, v. 86, n. 3, p. 690, doi. 10.1111/obes.12589
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- Publication type:
- Article
10
Some New Results Connected with Symmetric Random Variables: Generating Skew Distributions.
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- Symmetry (20738994), 2025, v. 17, n. 5, p. 670, doi. 10.3390/sym17050670
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- Publication type:
- Article
11
Model uncertainty assessment for symmetric and right-skewed distributions.
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- Scandinavian Actuarial Journal, 2025, v. 2025, n. 5, p. 510, doi. 10.1080/03461238.2024.2421852
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- Publication type:
- Article
12
Assessing resiliency in scale-free supply chain networks: a stress testing approach based on entropy measurements and value-at-risk analysis.
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- International Journal of Production Research, 2025, v. 63, n. 9, p. 3331, doi. 10.1080/00207543.2024.2361850
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- Publication type:
- Article
13
Export market risk and the role of state credit guarantees.
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- International Economics & Economic Policy, 2021, v. 18, n. 1, p. 25, doi. 10.1007/s10368-020-00466-2
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- Publication type:
- Article
14
Safety-constrained reinforcement learning with a distributional safety critic.
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- Machine Learning, 2023, v. 112, n. 3, p. 859, doi. 10.1007/s10994-022-06187-8
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- Publication type:
- Article
15
Conditional autoregressive-tunicate swarm algorithm based generative adversarial network for violent crowd behavior recognition.
- Published in:
- Artificial Intelligence Review, 2023, v. 56, p. 2099, doi. 10.1007/s10462-023-10571-8
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- Publication type:
- Article
16
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
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- Publication type:
- Article
17
Economic evaluation of mechanical harvesting of lemons.
- Published in:
- Outlook on Agriculture, 2018, v. 47, n. 1, p. 44, doi. 10.1177/0030727018762657
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- Publication type:
- Article
18
A consistent estimator to the orthant-based tail value-at-risk.
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- ESAIM: Probability & Statistics, 2018, v. 22, p. 163, doi. 10.1051/ps/2018015
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- Publication type:
- Article
19
多重不确定性下的虚拟电厂参与电能量和 需求响应市场鲁棒优化调度策略.
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- Power Generation Technology, 2024, v. 45, n. 6, p. 1173, doi. 10.12096/j.2096-4528.pgt.23073
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- Publication type:
- Article
20
Value-at-Risk Forecasting of Chinese Stock Index and Index Future Under Jumps, Permanent Component, and Asymmetric Information.
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- Emerging Markets Finance & Trade, 2016, v. 52, n. 5, p. 1072, doi. 10.1080/1540496X.2016.1142218
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- Publication type:
- Article
21
Volatility Modeling and Value-at-Risk (VaR) Forecasting of Emerging Stock Markets in the Presence of Long Memory, Asymmetry, and Skewed Heavy Tails.
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- Emerging Markets Finance & Trade, 2016, v. 52, n. 3, p. 639, doi. 10.1080/1540496X.2014.998557
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- Publication type:
- Article
22
Guest Editors' Introduction.
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- Emerging Markets Finance & Trade, 2013, v. 49, n. 3, p. 3, doi. 10.2753/REE1540-496X490300
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- Publication type:
- Article
23
Downside Risk in Emerging Markets.
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- Emerging Markets Finance & Trade, 2013, v. 49, n. 3, p. 65, doi. 10.2753/REE1540-496X490306
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- Publication type:
- Article
24
Market Risk of Developed and Emerging Countries During the Global Financial Crisis.
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- Emerging Markets Finance & Trade, 2013, v. 49, n. 3, p. 20, doi. 10.2753/REE1540-496X490302
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- Publication type:
- Article
25
THE TYPE I HEAVY-TAILED ODD POWER GENERALIZED WEIBULL-G FAMILY OF DISTRIBUTIONS WITH APPLICATIONS.
- Published in:
- Communications Series A1 Mathematics & Statistics, 2023, v. 72, n. 4, p. 921, doi. 10.31801/cfsuasmas.1195058
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- Publication type:
- Article
26
MODELING DEPENDENT FINANCIAL ASSETS BY DYNAMIC COPULA AND PORTFOLIO OPTIMIZATION BASED ON CVAR.
- Published in:
- Communications Series A1 Mathematics & Statistics, 2015, v. 64, n. 1, p. 1, doi. 10.1501/Commua1_0000000723
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- Publication type:
- Article
27
Portfolio optimization with conditional Value-at-Risk under CEV model.
- Published in:
- Science Reports of the Kanazawa University, 2023, v. 66, p. 17
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- Publication type:
- Article
28
EXPLORING OCCUPATIONAL STRESS IN THE SWISS WEALTH MANAGEMENT SECTOR: How could human risk lead to value destruction.
- Published in:
- European Review of Service Economics & Management / Revue Européenne d'Economie et Management des Services, 2017, v. 1, n. 3, p. 17
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- Publication type:
- Article
29
GGlueVaR‐based participation of electric vehicles in automatic demand response for two‐stage scheduling.
- Published in:
- International Journal of Energy Research, 2021, v. 45, n. 1, p. 1128, doi. 10.1002/er.5846
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- Publication type:
- Article
30
Cross‐regional integrated energy system scheduling optimization model considering conditional value at risk.
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- International Journal of Energy Research, 2020, v. 44, n. 7, p. 5564, doi. 10.1002/er.5307
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- Publication type:
- Article
31
A dynamic risk aversion model for virtual energy plant considering uncertainties and demand response.
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- International Journal of Energy Research, 2019, v. 43, n. 3, p. 1272, doi. 10.1002/er.4366
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- Publication type:
- Article
32
A Conditional Value at Risk-Based Model for Planning Agricultural Water and Return Flow Allocation in River Systems.
- Published in:
- Water Resources Management, 2016, v. 30, n. 1, p. 427, doi. 10.1007/s11269-015-1170-0
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- Article
33
A Conditional Value-at-Risk Based Inexact Water Allocation Model.
- Published in:
- Water Resources Management, 2011, v. 25, n. 9, p. 2125, doi. 10.1007/s11269-011-9799-9
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- Publication type:
- Article
34
Assessment of a Value at Risk in Heavy Construction Equipment Energy Efficiency Projects.
- Published in:
- Journal of Accounting, Finance & Auditing Studies, 2021, v. 7, n. 2, p. 53, doi. 10.32602/jafas.2021.012
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- Publication type:
- Article
35
Interaction between Financial Risk Management and Value of the Firm among Private Equity Firms in Frontier Markets: A Theoretical Perspective.
- Published in:
- Journal of Accounting, Finance & Auditing Studies, 2019, v. 5, n. 3, p. 30, doi. 10.32602/jafas.2019.29
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- Publication type:
- Article
36
Sensitivity Analysis of Asset Allocation: In The Presence of Correlation.
- Published in:
- Journal of Accounting, Finance & Auditing Studies, 2018, v. 4, n. 1, p. 151
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- Publication type:
- Article
37
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:
- Publication type:
- Article
38
A comparative VaR analysis between low-frequency and high-frequency conditional EVT models during COVID-19 crisis.
- Published in:
- Cogent Economics & Finance, 2024, v. 12, n. 1, p. 1, doi. 10.1080/23322039.2024.2377495
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- Publication type:
- Article
39
Measurement of extreme market risk: Insights from a comprehensive literature review.
- Published in:
- 2021
- By:
- Publication type:
- Literature Review
40
Quantifying systemic risk in Morocco's banking system using Euler indicators and extreme dependence.
- Published in:
- Cogent Business & Management, 2023, v. 10, n. 3, p. 1, doi. 10.1080/23311975.2023.2278256
- By:
- Publication type:
- Article
41
Dynamic modeling of systemic risk and firm value: A case of Pakistan.
- Published in:
- Cogent Business & Management, 2019, v. 6, n. 1, p. 1, doi. 10.1080/23311975.2019.1651440
- By:
- Publication type:
- Article
42
Distributionally robust joint chance-constrained programming with Wasserstein metric.
- Published in:
- Optimization Methods & Software, 2024, v. 39, n. 1, p. 134, doi. 10.1080/10556788.2023.2241149
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- Publication type:
- Article
43
On the inadequacy of VaR-based risk management: VaR, CVaR, and nonlinear interactions.
- Published in:
- Optimization Methods & Software, 2014, v. 29, n. 4, p. 877, doi. 10.1080/10556788.2013.860528
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- Publication type:
- Article
44
Robust ν-support vector machine based on worst-case conditional value-at-risk minimization.
- Published in:
- Optimization Methods & Software, 2012, v. 27, n. 6, p. 1025, doi. 10.1080/10556788.2011.614608
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- Publication type:
- Article
45
Asymptotic consistency of risk functionals.
- Published in:
- Journal of Nonparametric Statistics, 2009, v. 21, n. 8, p. 977, doi. 10.1080/10485250903060592
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- Publication type:
- Article
46
A new model for solving stochastic second-order cone complementarity problem and its convergence analysis.
- Published in:
- Journal of Inequalities & Applications, 2018, v. 2018, n. 1, p. 1, doi. 10.1186/s13660-018-1814-8
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- Publication type:
- Article
47
Time consistency of dynamic risk measures and dynamic performance measures generated by distortion functions.
- Published in:
- Stochastic Models, 2025, v. 41, n. 2, p. 180, doi. 10.1080/15326349.2024.2353045
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- Publication type:
- Article
48
Risk spillover effects of international crude oil market on China's major markets.
- Published in:
- AIMS Energy, 2019, v. 7, n. 6, p. 819, doi. 10.3934/energy.2019.6.819
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- Publication type:
- Article
49
Metodología aplicada para el pronóstico de demanda de fondo de cambio en empresas de retail.
- Published in:
- Contexto: Revista de la Facultad de Ciencias Económicas Administrativas y Contables, 2020, v. 9, n. 1, p. 33
- By:
- Publication type:
- Article
50
A novel robust method for estimating the covariance matrix of financial returns with applications to risk management.
- Published in:
- Financial Innovation, 2024, v. 10, n. 1, p. 1, doi. 10.1186/s40854-024-00642-2
- By:
- Publication type:
- Article