Zobrazeno 1 - 10
of 5 802
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:
Cogent Business & Management, Vol 11, Iss 1 (2024)
A significant amount of historical returns is needed for the generalized autoregressive conditional heteroscedasticity (GARCH) models to be calibrated. Newer cryptocurrencies, such as non-fungible tokens (NFTs), have relatively limited data to create
Externí odkaz:
https://doaj.org/article/0b3c6f0b2b934d24b6e99ce141b40987
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
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:
JTAM (Jurnal Teori dan Aplikasi Matematika), Vol 8, Iss 2, Pp 578-593 (2024)
PT Aneka Tambang Tbk (ANTAM) received an award as the most sought-after stock issuer in Indonesia in 2016. That stock continued to attract investors in 2022 due to a 105% increase in net profit and a 19% increase in sales from the previous year. Desp
Externí odkaz:
https://doaj.org/article/85d3bdf6f06a4af0af55a63bc59b14ec
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