Zobrazeno 1 - 10
of 5 794
pro vyhledávání: '"Expected Shortfall"'
Publikováno v:
International Journal of Emerging Markets, 2022, Vol. 19, Issue 10, pp. 3393-3417.
Externí odkaz:
http://www.emeraldinsight.com/doi/10.1108/IJOEM-06-2022-0941
Publikováno v:
Jambura Journal of Mathematics, Vol 6, Iss 2, Pp 176-181 (2024)
Portfolio formation is one of the strategies that investors can do to get the best results Portfolio formation can use the Downside Deviation method. The optimal portfolio with this method uses downside deviation and sets the return below the benchma
Externí odkaz:
https://doaj.org/article/f0f91cfd985b4d1681489897b2121f4d
Publikováno v:
Financial Innovation, Vol 10, Iss 1, Pp 1-28 (2024)
Abstract This study introduces the dynamic Gerber model (DGC) and evaluates its performance in the prediction of Value at Risk (VaR) and Expected Shortfall (ES) compared to alternative parametric, non-parametric and semi-parametric methods for estima
Externí odkaz:
https://doaj.org/article/0b990ceaa708439480ac0e3c5554d2f7
Publikováno v:
Financial Innovation, Vol 10, Iss 1, Pp 1-26 (2024)
Abstract This study investigates the simplicity and adequacy of tail-based risk measures—value-at-risk (VaR) and expected shortfall (ES)—when applied to tail targeting of the extreme value (EV) model. We implement Lévy–VaR and ES risk measures
Externí odkaz:
https://doaj.org/article/0eb33d37675e4d4f8e63097c88849b09
Publikováno v:
Cogent Economics & Finance, Vol 12, Iss 1 (2024)
The aim of this paper is to assess whether the availability of high-frequency data enhances the accuracy of extreme market risk estimation in comparison to low-frequency data by using Value-at-risk (VaR) and Expected shortfall (ES). The sample data u
Externí odkaz:
https://doaj.org/article/d0fca4863d3b468ab540a5bebe797f4c
Forecasting value-at-risk and expected shortfall in emerging market: does forecast combination help?
Autor:
Le, Trung Hai
Publikováno v:
The Journal of Risk Finance, 2024, Vol. 25, Issue 1, pp. 160-177.
Externí odkaz:
http://www.emeraldinsight.com/doi/10.1108/JRF-06-2023-0137
Publikováno v:
Financial Innovation, Vol 10, Iss 1, Pp 1-35 (2024)
Abstract Value at risk (VaR) and expected shortfall (ES) have emerged as standard measures for detecting the market risk of financial assets and play essential roles in investment decisions, external regulations, and risk capital allocation. However,
Externí odkaz:
https://doaj.org/article/6751ced4b0314c3bba33236932de694d
Autor:
Suriya Kumacheva, Vitalii Novgorodtcev
Publikováno v:
Mathematics, Vol 12, Iss 19, p 3086 (2024)
This study refines the methodology for solving stochastic optimal control problems with quality criteria that include the sum of the quality functional of the classical formulation and an extremal measure. A two-level optimization solution of these k
Externí odkaz:
https://doaj.org/article/fd6c2f5fa1d84486b8da02139bb6f772
Publikováno v:
Axioms, Vol 13, Iss 10, p 678 (2024)
The main aim of this paper is to consider a new risk metric that permits taking into account the spatial interactions of data. The considered risk metric explores the spatial tail-expectation of the data. Indeed, it is obtained by combining the ideas
Externí odkaz:
https://doaj.org/article/5a77fa31b38249509aaeea667ada586f
Publikováno v:
Entropy, Vol 26, Iss 9, p 798 (2024)
This paper treats the problem of risk management through a new conditional expected shortfall function. The new risk metric is defined by the expectile as the shortfall threshold. A nonparametric estimator based on the Nadaraya–Watson approach is c
Externí odkaz:
https://doaj.org/article/88d40122d5dc46b99c7deffc189a661a