Works about VALUE at risk

Results: 1868

Assessing the risk impact of COVID-19 on China's FinTech industry: A multi-dimensional analysis.

Published in:

International Journal of Financial Engineering, 2025, v. 12, n. 2, p. 1, doi. 10.1142/S2424786325500094

By:

Zeng, Li;
Lau, Wee-Yeap

Publication type:

Article

A New Logistic Distribution and Its Properties, Applications and PORT-VaR Analysis for Extreme Financial Claims.

Published in:

Mathematical & Computational Applications, 2025, v. 30, n. 3, p. 62, doi. 10.3390/mca30030062

By:

Sulewski, Piotr;
Alizadeh, Morad;
Das, Jondeep;
Hamedani, Gholamhossein G.;
Hazarika, Partha Jyoti;
Contreras-Reyes, Javier E.;
Yousof, Haitham M.

Publication type:

Article

Risk Measure Examination for Large Losses.

Published in:

Mathematics (2227-7390), 2025, v. 13, n. 12, p. 1974, doi. 10.3390/math13121974

By:

Yamashita, Miwaka

Publication type:

Article

Nonparametric Estimation of Dynamic Value-at-Risk: Multifunctional GARCH Model Case.

Published in:

Mathematics (2227-7390), 2025, v. 13, n. 12, p. 1961, doi. 10.3390/math13121961

By:

Chikr-Elmezouar, Zouaoui;
Laksaci, Ali;
Almanjahie, Ibrahim M.;
Alshahrani, Fatimah

Publication type:

Article

Trade Openness and Economic Growth in Canada: An Evidence from Time-Series Tests.

Published in:

Global Economy Journal, 2015, v. 15, n. 3, p. 361, doi. 10.1515/gej-2014-0009

By:

Singh, Tarlok

Publication type:

Article

SUSCEPTIBILITY OF THE YIELD ON U.S. TREASURY SECURITIES TO EXTERNAL SUPPLY SHOCKS: VAR ANALYSIS.

Published in:

International Journal of Finance, 2014, v. 26, n. 3, p. 256

By:

Khan, M. Moosa;
Quazi, Rahim M.;
Ahmed, Syed M.

Publication type:

Article

VOLATILITY SPILLOVERS AND VALUE-AT-RISK FOR HEDGE FUND STRATEGIES.

Published in:

International Journal of Finance, 2012, v. 24, n. 4, p. 7527

By:

Falzon, Joseph;
Manicaro, Christian

Publication type:

Article

PORTFOLIO MANAGEMENT UNDER ASYMMETRIC DEPENDENCE AND DISTRIBUTION.

Published in:

International Journal of Finance, 2011, v. 23, n. 1, p. 6645

By:

Hlawatsch, Stefan;
Reichling, Peter

Publication type:

Article

Mean-CVaR Portfolio Optimization Models based on Chance Theory.

Published in:

International Journal of Information Technology & Decision Making, 2025, v. 24, n. 4, p. 1067, doi. 10.1142/S021962202350058X

By:

Chennaf, Souad;
Ben Amor, Jaleleddine

Publication type:

Article

A New Interactive Algorithm for Continuous Multiple Criteria Problems: A Portfolio Optimization Example.

Published in:

International Journal of Information Technology & Decision Making, 2021, v. 20, n. 1, p. 371, doi. 10.1142/S0219622020500510

By:

Karakaya, Gülşah;
Şakar, Ceren Tuncer

Publication type:

Article

Volatility Uncertainty Quantification in a Stochastic Control Problem Applied to Energy.

Published in:

Methodology & Computing in Applied Probability, 2020, v. 22, n. 1, p. 135, doi. 10.1007/s11009-019-09692-x

By:

Bernal, Francisco;
Gobet, Emmanuel;
Printems, Jacques

Publication type:

Article

On Coherent Risk Measures Induced by Convex Risk Measures.

Published in:

Methodology & Computing in Applied Probability, 2018, v. 20, n. 2, p. 673, doi. 10.1007/s11009-017-9584-1

By:

Chen, Zhiping;
Hu, Qianhui

Publication type:

Article

On a Transform Method for the Efficient Computation of Conditional V@R (and V@R) with Application to Loss Models with Jumps and Stochastic Volatility.

Published in:

Methodology & Computing in Applied Probability, 2016, v. 18, n. 2, p. 575, doi. 10.1007/s11009-015-9446-7

By:

Ramponi, Alessandro

Publication type:

Article

The Effects of Overnight Events on Daytime Return: A Market Microstructure Analysis of Market Quality.

Published in:

Asia-Pacific Financial Markets, 2024, v. 31, n. 3, p. 497, doi. 10.1007/s10690-023-09424-9

By:

Pullaykkodi, Sreekha;
Acharya, Rajesh H.

Publication type:

Article

Is Being "Robust" Beneficial? A Perspective from the Indian Market.

Published in:

Asia-Pacific Financial Markets, 2021, v. 28, n. 4, p. 469, doi. 10.1007/s10690-021-09331-x

By:

Girach, Mohammed Bilal;
Oberoi, Shashank;
Chakrabarty, Siddhartha P.

Publication type:

Article

Does Marginal VaR Lead to Improved Performance of Managed Portfolios: A Study of S&P BSE 100 and S&P BSE 200.

Published in:

Asia-Pacific Financial Markets, 2020, v. 27, n. 2, p. 291, doi. 10.1007/s10690-019-09294-0

By:

Jain, Shrey;
Chakrabarty, Siddhartha P.

Publication type:

Article

Inner Rate of Risk Aversion (IRRA) and Its Applications to Investment Selection.

Published in:

Asia-Pacific Financial Markets, 2020, v. 27, n. 2, p. 193, doi. 10.1007/s10690-019-09289-x

By:

Miyahara, Yoshio

Publication type:

Article

In search of robust methods for multi-currency portfolio construction by value at risk.

Published in:

Asia-Pacific Financial Markets, 2019, v. 26, n. 1, p. 107, doi. 10.1007/s10690-018-9260-7

By:

Tang, Mei-Ling;
Do, Trung K.

Publication type:

Article

An Analytical Evaluation Method of the Operational Risk Using Fast Wavelet Expansion Techniques.

Published in:

Asia-Pacific Financial Markets, 2013, v. 20, n. 3, p. 283, doi. 10.1007/s10690-013-9168-1

By:

Ishitani, Kensuke;
Sato, Kenichi

Publication type:

Article

Forecasting Intraday Volatility and Value-at-Risk with High-Frequency Data.

Published in:

Asia-Pacific Financial Markets, 2013, v. 20, n. 1, p. 83, doi. 10.1007/s10690-012-9160-1

By:

So, Mike;
Xu, Rui

Publication type:

Article

Risk-based optimal distribution of power reserves in wind power plants.

Published in:

Wind Energy, 2017, v. 20, n. 3, p. 397, doi. 10.1002/we.2012

By:

Díaz, Guzmán;
Planas, Estefanía;
Andreu, Jon;
Gómez‐Aleixandre, Javier

Publication type:

Article

Simplified risk stratification for pulmonary arterial hypertension associated with connective tissue disease.

Published in:

Clinical Rheumatology, 2019, v. 38, n. 12, p. 3619, doi. 10.1007/s10067-019-04690-3

By:

Li, Xiaodi;
Sun, Xiaoxuan;
Huang, Yingheng;
Wang, Yuanyuan;
Yang, Xiaoman;
Wang, Jingya;
Zhang, Ning;
Gu, Lei;
Zhang, Miaojia;
Wang, Qiang

Publication type:

Article

MiR-5571-3p and miR-135b-5p, derived from analyses of microRNA profile sequencing, correlate with increased disease risk and activity of rheumatoid arthritis.

Published in:

Clinical Rheumatology, 2019, v. 38, n. 6, p. 1753, doi. 10.1007/s10067-018-04417-w

By:

Liu, Cailong;
Pan, Axiao;
Chen, Xiaowei;
Tu, Jianxin;
Xia, Xiaoru;
Sun, Li

Publication type:

Article

Risk assessment for the surface water quality evaluation of a hydrological basin.

Published in:

Stochastic Environmental Research & Risk Assessment, 2024, v. 38, n. 11, p. 4527, doi. 10.1007/s00477-024-02817-w

By:

Brito, Irene;
Gonçalves, A. Manuela;
Pedra, Ana

Publication type:

Article

Developing an algorithm for urban flood management with the aim of reducing damage and costs using the concept of conditional value at risk.

Published in:

Stochastic Environmental Research & Risk Assessment, 2022, v. 36, n. 2, p. 353, doi. 10.1007/s00477-021-02163-1

By:

Eshaghieh Firoozabadi, Pedram;
Nazif, Sara;
Hosseini, Seyed Abbas;
Yazdi, Jafar

Publication type:

Article

Risk aversion based interval stochastic programming approach for agricultural water management under uncertainty.

Published in:

Stochastic Environmental Research & Risk Assessment, 2018, v. 32, n. 3, p. 715, doi. 10.1007/s00477-017-1490-0

By:

Li, Q. Q.;
Li, Y. P.;
Huang, G. H.;
Wang, C. X.

Publication type:

Article

Risk analysis for water resources management under dual uncertainties through factorial analysis and fuzzy random value-at-risk.

Published in:

Stochastic Environmental Research & Risk Assessment, 2017, v. 31, n. 9, p. 2265, doi. 10.1007/s00477-017-1382-3

By:

Kong, X.;
Huang, G.;
Fan, Y.;
Li, Y.;
Zeng, X.;
Zhu, Y.

Publication type:

Article

Second-Order Chebyshev–Edgeworth and Cornish–Fisher Expansions for Distributions of Statistics Constructed from Samples with Random Sizes.

Published in:

Journal of Mathematical Sciences, 2020, v. 245, n. 1, p. 811, doi. 10.1007/s10958-020-04655-x

By:

Christoph, G.;
Monakhov, M. M.;
Ulyanov, V. V.

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 Management with Benchmarking.

Published in:

Management Science, 2006, v. 52, n. 4, p. 542, doi. 10.1287/mnsc.1050.0476

By:

Basak, Suleyman;
Shapiro, Alex;
Tepla, Lucie

Publication type:

Article

Hierarchical quantitative prediction of photovoltaic power generation depreciation expense based on matrix task prioritization considering uncertainty risk.

Published in:

Energy Informatics, 2025, v. 8, n. 1, p. 1, doi. 10.1186/s42162-024-00456-7

By:

Liu, Yinming;
Wang, Wengang;
Meng, Xiangyue;
Zhang, Yuchen;
Chen, Zhuyu

Publication type:

Article

FORECASTING DEPENDENT TAIL VALUE-AT-RISK BY ARMA-GJR-GARCH-COPULA METHOD AND ITS APPLICATION IN ENERGY RISK.

Published in:

Journal of the Indonesian Mathematical Society, 2023, v. 29, n. 3, p. 382

By:

JOSAPHAT, BONY PARULIAN

Publication type:

Article

Risk Capital: Theory and Applications.

Published in:

Journal of Applied Corporate Finance, 2021, v. 33, n. 1, p. 8, doi. 10.1111/jacf.12441

By:

Erel, Isil;
Myers, Stewart C.;
Read, James A.

Publication type:

Article

Private Equity 4.0: Using ESG to Create More Value with Less Risk.

Published in:

Journal of Applied Corporate Finance, 2019, v. 31, n. 2, p. 34, doi. 10.1111/jacf.12344

By:

Indahl, Reynir;
Jacobsen, Hannah Gunvor

Publication type:

Article

Evidence of the Value of Enterprise Risk Management.

Published in:

Journal of Applied Corporate Finance, 2015, v. 27, n. 1, p. 41, doi. 10.1111/jacf.12103

By:

Hoyt, Robert E.;
Liebenberg, Andre P.

Publication type:

Article

Relationship between Evaluations of Tracheal Tube Position Using Ultrasound and Fluoroscopy in an Infant and Pediatric Population.

Published in:

Journal of Clinical Medicine, 2020, v. 9, n. 6, p. 1707, doi. 10.3390/jcm9061707

By:

Ramsingh, Davinder;
Ghazal, Elizabeth;
Gordon, Brent;
Ross, Philip;
Goltiao, Darren;
Alschuler, Matt;
Pugh, Justin;
Holsclaw, Matthew;
Mason, Linda

Publication type:

Article

INDUSTRY STANDARD AND ECONOMETRIC STANDARD: THE SEARCH FOR POWERFUL APPROACH TO EVALUATE VaR MODELS.

Published in:

Argumenta Oeconomica, 2021, v. 46, n. 1, p. 5, doi. 10.15611/aoe.2021.1.01

By:

Małecka, Marta

Publication type:

Article

Quantitative Risk Calculation in Cybersecurity: The Value of Quantifying Risk.

Published in:

ISSA Journal, 2020, v. 18, n. 10, p. 28

By:

van den Hooven, Chris

Publication type:

Article

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

By:

Ravat, Uma V.;
Shanbhag, Uday V.;
Sowers, Richard B.

Publication type:

Article

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

By:

Wang, Yongqiao

Publication type:

Article

Dynamic VaR Measurement of Gold Market with SV-T-MN Model.

Published in:

Discrete Dynamics in Nature & Society, 2017, p. 1, doi. 10.1155/2017/5183914

By:

Li, Fenglan;
Wang, Jie;
Su, Liyun;
Yang, Bao

Publication type:

Article

Likelihood-based risk estimation for variance-gamma models.

Published in:

Statistical Methods & Applications, 2018, v. 27, n. 1, p. 69, doi. 10.1007/s10260-017-0393-z

By:

Bee, Marco;
Dickson, Maria Michela;
Santi, Flavio

Publication type:

Article

An exponentially weighted quantile regression via SVM with application to estimating multiperiod VaR.

Published in:

Statistical Methods & Applications, 2016, v. 25, n. 2, p. 285, doi. 10.1007/s10260-015-0332-9

By:

Xu, Qifa;
Jiang, Cuixia;
He, Yaoyao

Publication type:

Article

Practical implications of higher moments in risk management.

Published in:

Statistical Methods & Applications, 2011, v. 20, n. 4, p. 487, doi. 10.1007/s10260-011-0166-z

By:

Grigoletto, Matteo;
Lisi, Francesco

Publication type:

Article

Tail Value-at-Risk-Based Expectiles for Extreme Risks and Their Application in Distributionally Robust Portfolio Selections.

Published in:

Mathematics (2227-7390), 2023, v. 11, n. 1, p. 91, doi. 10.3390/math11010091

By:

Chen, Haoyu;
Fan, Kun

Publication type:

Article

Predicting Returns, Volatilities and Correlations of Stock Indices Using Multivariate Conditional Autoregressive Range and Return Models.

Published in:

Mathematics (2227-7390), 2023, v. 11, n. 1, p. 13, doi. 10.3390/math11010013

By:

Tan, Shay Kee;
Ng, Kok Haur;
Chan, Jennifer So-Kuen

Publication type:

Article

Comparing Compound Poisson Distributions by Deficiency: Continuous-Time Case.

Published in:

Mathematics (2227-7390), 2022, v. 10, n. 24, p. 4712, doi. 10.3390/math10244712

By:

Bening, Vladimir;
Korolev, Victor

Publication type:

Article

Nonparametric Estimation of the Expected Shortfall Regression for Quasi-Associated Functional Data.

Published in:

Mathematics (2227-7390), 2022, v. 10, n. 23, p. 4508, doi. 10.3390/math10234508

By:

Ait-Hennani, Larbi;
Kaid, Zoulikha;
Laksaci, Ali;
Rachdi, Mustapha

Publication type:

Article

Estimating Value-at-Risk and Expected Shortfall: Do Polynomial Expansions Outperform Parametric Densities?

Published in:

Mathematics (2227-7390), 2022, v. 10, n. 22, p. 4329, doi. 10.3390/math10224329

By:

Castillo-Brais, Brenda;
León, Ángel;
Mora, Juan

Publication type:

Article

Interactions of Logistic Distribution to Credit Valuation Adjustment: A Study on the Associated Expected Exposure and the Conditional Value at Risk.

Published in:

Mathematics (2227-7390), 2022, v. 10, n. 20, p. 3828, doi. 10.3390/math10203828

By:

Song, Yanlai;
Shateyi, Stanford;
He, Jianying;
Cui, Xueqing

Publication type:

Article