Works matching DE "VALUE at risk"
Results: 1804
Structural VAR analysis of debt, capital accumulation, and income distribution in the Japanese economy: a Post Keynesian perspective.
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- Journal of Post Keynesian Economics, 2012, v. 34, n. 4, p. 685, doi. 10.2753/PKE0160-3477340405
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- Article
TTRISK: Tensor train decomposition algorithm for risk averse optimization.
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- Numerical Linear Algebra with Applications, 2023, v. 30, n. 3, p. 1, doi. 10.1002/nla.2481
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Heterogeneity of inbound tourism driven by exchange rate fluctuations: implications for tourism business recovery and resilience in Australia.
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- Current Issues in Tourism, 2023, v. 26, n. 3, p. 450, doi. 10.1080/13683500.2021.2023478
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- Article
Quantifying Downside Risk in Euro Area Stock Markets: A Value at Risk Study.
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- Review of Economics & Development Studies, 2023, v. 9, n. 2, p. 99, doi. 10.47067/reads.v9i2.486
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A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at- Risk and Expected Shortfall Using the FIGARCH- skT Specification.
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- Manchester School (1463-6786), 2014, v. 82, n. 1, p. 71, doi. 10.1111/manc.12001
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- Article
Loan Portfolio Performance Evaluation by Using Stochastic Recovery Rate.
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- Journal of Applied Research on Industrial Engineering, 2024, v. 11, n. 2, p. 116, doi. 10.22105/jarie.2023.346023.1478
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- Article
Loan Portfolio Performance Evaluation by Using Stochastic Recovery Rate.
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- Journal of Applied Research on Industrial Engineering, 2024, v. 11, n. 1, p. 116, doi. 10.22105/jarie.2023.346023.1478
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- Article
A Measure-Valued Differentiation Approach to Sensitivities of Quantiles.
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- Mathematics of Operations Research, 2016, v. 41, n. 1, p. 293, doi. 10.1287/moor.2015.0728
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- Article
Dynamic Portfolio Choice When Risk Is Measured by Weighted VaR.
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- Mathematics of Operations Research, 2015, v. 40, n. 3, p. 773, doi. 10.1287/moor.2014.0695
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- Article
Tight Approximations of Dynamic Risk Measures.
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- Mathematics of Operations Research, 2015, v. 40, n. 3, p. 655, doi. 10.1287/moor.2014.0689
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- Article
External Risk Measures and Basel Accords.
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- Mathematics of Operations Research, 2013, v. 38, n. 3, p. 393, doi. 10.1287/moor.1120.0577
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On Kusuoka Representation of Law Invariant Risk Measures.
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- Mathematics of Operations Research, 2013, v. 38, n. 1, p. 142, doi. 10.1287/moor.1120.0563
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- Article
Distributed Dispatch of Distribution Network Operators, Distributed Energy Resource Aggregators, and Distributed Energy Resources: A Three-Level Conditional Value-at-Risk Optimization Model.
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- Inventions (2411-5134), 2024, v. 9, n. 6, p. 117, doi. 10.3390/inventions9060117
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- Article
Risk measurement in profitability calculation of non-financial investment.
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- Business Administration Quarterly / Kwartalnik Nauk o Przedsiebiorstwie, 2023, v. 67, n. 1, p. 97, doi. 10.33119/KNOP.2023.67.1.6
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- Article
Integrated risk measurement and control for stochastic energy trading of a wind storage system in electricity markets.
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- Protection & Control of Modern Power Systems, 2023, v. 8, n. 1, p. 1, doi. 10.1186/s41601-023-00329-3
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- Article
Integrated risk measurement and control for stochastic energy trading of a wind storage system in electricity markets.
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- Protection & Control of Modern Power Systems, 2023, v. 8, n. 1, p. 1, doi. 10.1186/s41601-023-00329-3
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- Article
Two-stage stochastic-robust model for the self-scheduling problem of an aggregator participating in energy and reserve markets.
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- Protection & Control of Modern Power Systems, 2023, v. 8, n. 1, p. 1, doi. 10.1186/s41601-023-00320-y
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- Article
How We Predict the Stability of Financial Sector: The Conditional Value at Risk Technique Approach.
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- KnE Social Sciences, 2020, p. 328, doi. 10.18502/kss.v4i7.6863
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- Article
Contemporary Aspects of Financial - Banking Responsibility.
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- KnE Social Sciences, 2020, p. 481, doi. 10.18502/kss.v4i1.6007
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- Article
Value at Risk as a Measurement of Market Risk in Emerging Sharia Market: A Comparative Study Between Indexes in Indonesian Stock Exchange.
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- KnE Social Sciences, 2018, v. 2018, p. 94, doi. 10.18502/kss.v3i5.2327
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- Article
"Value-At-Risk" in Agricultural Supply Chains - Summary.
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- Western Economics Forum, 2022, v. 20, n. 2, p. 3
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- Article
Projecting Financial Capability in Small Canadian Drinking Water Treatment Systems.
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- Journal: American Water Works Association, 2017, v. 109, n. 10, p. E440, doi. 10.5942/jawwa.2017.109.0113
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- Article
Statistical evaluation of a long‐memory process using the generalized entropic value‐at‐risk.
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- Environmetrics, 2024, v. 35, n. 4, p. 1, doi. 10.1002/env.2838
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- Article
ارائة مدل احتمالاتی دومرحله ای مقید به ریسک برای برنامه ریزی ریزشبکه های هوشمند مستقل با در نظر گرفتن مشارکت سمت تقاضا
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- Computational Intelligence in Electrical Engineering, 2019, v. 10, n. 2, p. 1
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- Article
Performance Analysis of Sustainable Responsible Companies: An Empirical Study of Indian Sustainability Indices.
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- Grenze International Journal of Engineering & Technology (GIJET), 2024, v. 10, n. 2,Part 3, p. 2426
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- Article
Central limit theorem and almost sure results for the empirical estimator of superquantiles/CVaR in the stationary case.
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- Statistics, 2022, v. 56, n. 1, p. 53, doi. 10.1080/02331888.2022.2043325
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- Article
Asymptotic consistency of risk functionals.
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- Journal of Nonparametric Statistics, 2009, v. 21, n. 8, p. 977, doi. 10.1080/10485250903060592
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- Article
Evaluating Approximate Point Forecasting of Count Processes.
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- Econometrics (2225-1146), 2019, v. 7, n. 3, p. 30, doi. 10.3390/econometrics7030030
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- Article
The Realized Hierarchical Archimedean Copula in Risk Modelling.
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- Econometrics (2225-1146), 2017, v. 5, n. 2, p. 26, doi. 10.3390/econometrics5020026
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- Article
Bayesian Inference for Latent Factor Copulas and Application to Financial Risk Forecasting.
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- Econometrics (2225-1146), 2017, v. 5, n. 2, p. 21, doi. 10.3390/econometrics5020021
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- Article
Stochastic volatility with missing data: Assessing the effects of holidays.
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- Communications in Statistics: Case Studies & Data Analysis, 2022, v. 8, n. 3, p. 423, doi. 10.1080/23737484.2022.2087122
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- Article
Switching latent factor value-at-risk models for conditionally heteroskedastic portfolios: A comparative approach.
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- Communications in Statistics: Case Studies & Data Analysis, 2022, v. 8, n. 2, p. 282, doi. 10.1080/23737484.2022.2031346
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- Article
Estimation of SUR model with VAR(p) disturbances.
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- Communications in Statistics: Case Studies & Data Analysis, 2019, v. 5, n. 4, p. 432, doi. 10.1080/23737484.2019.1675558
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- Article
Mathematical Modeling and Analysis on the Influence of Maritime Transport Capability on Bilateral Trade.
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- Journal of Coastal Research, 2018, v. 83, p. 819, doi. 10.2112/SI83-134.1
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- Article
Changes in Effectiveness of Delta Hedging Using Options on the WIG20.
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- Management Issues / Problemy Zarządzania, 2020, v. 18, n. 4, p. 163, doi. 10.7172/1644-9584.90.9
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- Article
A semi-parametric dynamic conditional correlation framework for risk forecasting.
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- Quantitative Finance, 2025, v. 25, n. 1, p. 31, doi. 10.1080/14697688.2024.2446740
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- Article
High-dimensional macroeconomic stress testing of corporate recovery rate.
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- Quantitative Finance, 2024, v. 24, n. 11, p. 1669, doi. 10.1080/14697688.2024.2414758
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- Article
Centred expected shortfall (CES): a traditional asset manager's view on decomposing downside investment risk.
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- Quantitative Finance, 2024, v. 24, n. 1, p. 83, doi. 10.1080/14697688.2023.2269992
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- Article
Hedging cryptos with Bitcoin futures.
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- Quantitative Finance, 2023, v. 23, n. 5, p. 819, doi. 10.1080/14697688.2023.2187316
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- Article
Assessing the accuracy of exponentially weighted moving average models for Value-at-Risk and Expected Shortfall of crypto portfolios.
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- Quantitative Finance, 2023, v. 23, n. 3, p. 393, doi. 10.1080/14697688.2022.2159505
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- Article
A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures.
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- Quantitative Finance, 2023, v. 23, n. 2, p. 309, doi. 10.1080/14697688.2022.2157322
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- Article
Vulnerability-CoVaR: investigating the crypto-market.
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- Quantitative Finance, 2022, v. 22, n. 9, p. 1731, doi. 10.1080/14697688.2022.2063166
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- Article
GARCH-UGH: a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series.
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- Quantitative Finance, 2022, v. 22, n. 7, p. 1277, doi. 10.1080/14697688.2022.2048061
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- Article
Variance reduction for risk measures with importance sampling in nested simulation.
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- Quantitative Finance, 2022, v. 22, n. 4, p. 657, doi. 10.1080/14697688.2021.1985730
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- Article
Macroeconomic uncertainty and expected shortfall (and value at risk): a new dynamic semiparametric model.
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- Quantitative Finance, 2021, v. 21, n. 11, p. 1791, doi. 10.1080/14697688.2020.1862418
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- Article
Forecasting robust value-at-risk estimates: evidence from UK banks.
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- Quantitative Finance, 2021, v. 21, n. 11, p. 1955, doi. 10.1080/14697688.2019.1579923
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- Article
Robust portfolio rebalancing with cardinality and diversification constraints.
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- Quantitative Finance, 2021, v. 21, n. 10, p. 1707, doi. 10.1080/14697688.2021.1879392
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- Article
Modeling and solving portfolio selection problems based on PVaR.
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- Quantitative Finance, 2020, v. 20, n. 12, p. 1889, doi. 10.1080/14697688.2020.1819552
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- Article
Simulation-based Value-at-Risk for nonlinear portfolios.
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- Quantitative Finance, 2019, v. 19, n. 10, p. 1639, doi. 10.1080/14697688.2019.1598568
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- Article
Estimating Value-at-Risk for the g-and-h distribution: an indirect inference approach.
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- Quantitative Finance, 2019, v. 19, n. 8, p. 1255, doi. 10.1080/14697688.2019.1580762
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- Article