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pro vyhledávání: '"Risk measure"'
Akademický článek
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Autor:
Vladimir Kirilyuk
Publikováno v:
Кібернетика та комп'ютерні технології, Iss 3, Pp 46-55 (2022)
Introduction. The problem of decision-making under risk and uncertainty lies in the use of adequate criteria for assessing their optimality, in particular, in an adequate risk assessment. Various functions are known that are used as risk measures. Fo
Externí odkaz:
https://doaj.org/article/f52c9bbe7bb14846930f33fe50448684
Publikováno v:
Review of Accounting and Finance, 2023, Vol. 22, Issue 1, pp. 84-122.
Externí odkaz:
http://www.emeraldinsight.com/doi/10.1108/RAF-04-2022-0134
Autor:
Bleyer, Jeremy
Publikováno v:
Comptes Rendus. Mécanique, Vol 351, Iss G1, Pp 29-42 (2023)
In this work, we propose a theoretical framework for computing pessimistic and optimistic estimates of effective properties in the case of heterogeneous elastic materials with uncertain microscopic elastic properties. We rely on a risk-averse measure
Externí odkaz:
https://doaj.org/article/27ee8fe831514d0faaeadeaf056436f2
We introduce a statistical model for operational losses based on heavy-tailed distributions and bipartite graphs, which captures the event type and business line structure of operational risk data. The model explicitly takes into account the Pareto t
Externí odkaz:
http://arxiv.org/abs/1902.03041
Publikováno v:
پژوهشهای ریاضی, Vol 8, Iss 4, Pp 180-197 (2022)
In this paper, we solve the multi-period portfolio optimization problem under new assumptions. Recently, the authors examined some distributions instead of Gaussian to fit returns to improve the optimization problem and indicated, by Kolmogorov-Smirn
Externí odkaz:
https://doaj.org/article/5614cf108302455796874607551509fe
Autor:
Kan Chen, Tuoyuan Cheng
Publikováno v:
Journal of Finance and Data Science, Vol 8, Iss , Pp 296-308 (2022)
Value-at-Risk (VaR) and Expected Shortfall (ES) are common high quantile-based risk measures adopted in financial regulations and risk management. In this paper, we propose a tail risk measure based on the most probable maximum size of risk events (M
Externí odkaz:
https://doaj.org/article/33b887088e414acebc0749ea7dc9e4cf
Autor:
Vera Ivanyuk
Publikováno v:
Mathematics, Vol 11, Iss 22, p 4595 (2023)
In this paper, the classification of crisis states and their dynamics is carried out. The asset crisis model is approximated and formalized. Invariant stationary components and the boundaries of crisis fluctuations are determined, which allows for pr
Externí odkaz:
https://doaj.org/article/4487c3bed3044a2fb0a7b053dcd2678d
Autor:
Jungsywan H. Sepanski, Xiwen Wang
Publikováno v:
Risks, Vol 11, Iss 11, p 194 (2023)
In this paper, we present a new method to construct new classes of distortion functions. A distortion function maps the unit interval to the unit interval and has the characteristics of a cumulative distribution function. The method is based on the t
Externí odkaz:
https://doaj.org/article/37146a77fe7d4fd98d0b6a8318d08f51
Akademický článek
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