Zobrazeno 1 - 10
of 5 773
pro vyhledávání: '"Expected shortfall"'
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
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
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
Akademický článek
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Akademický článek
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Autor:
Roman V. Ivanov
Publikováno v:
Stats, Vol 6, Iss 4, Pp 1126-1146 (2023)
This paper studies a subclass of the class of generalized hyperbolic distribution called the semi-hyperbolic distribution. We obtain analytical expressions for the cumulative distribution function and, specifically, their first and second lower parti
Externí odkaz:
https://doaj.org/article/2613032c760c43608b0386558c7426d2
Publikováno v:
Symmetry, Vol 16, Iss 7, p 928 (2024)
This paper deals with the problem of financial risk management using a new expected shortfall regression. The latter is based on the expectile model for financial risk-threshold. Unlike the VaR model, the expectile threshold is constructed by an asym
Externí odkaz:
https://doaj.org/article/1f5c95d08fd54b9ba234b294c82cfa04