Search Results - subject:"Risk measure"

Robust mean-to-CVaR optimization under ambiguity in distributions means and covariance

Lotfi, Somayyeh; Zenios, Stauros Andrea - In: Review of managerial science : RMS 18 (2024) 7, pp. 2115-2140

Persistent link: https://www.econbiz.de/10015134061

ETFs amidst the COVID-induced technological transformation : sectoral insights from time-varying dynamics of tail risk transmissions

Tunc, Ahmet - In: The North American journal of economics and finance : a … 74 (2024), pp. 1-22

Persistent link: https://www.econbiz.de/10015135035

Cryptocurrency portfolio allocation under credibilistic CVaR criterion and practical constraints

Ghanbari, Hossein; Mohammadi, Emran - In: Risks : open access journal 12 (2024) 10, pp. 1-23

. CVaR was chosen as the primary risk measure because it is a downside risk measure that focuses on extreme losses, making it …

Persistent link: https://www.econbiz.de/10015135746

News sentiment and liquidity risk forecasting : insights from Iranian Banks

Mirashk, Hamed; Albadvi, Amir; Kargari, Mehrdad; … - In: Risks : open access journal 12 (2024) 11, pp. 1-32

This study addresses the critical challenge of predicting liquidity risk in the banking sector, as emphasized by the Basel Committee on Banking Supervision. Liquidity risk serves as a key metric for evaluating a bank's short-term resilience to liquidity shocks. Despite limited prior research,...

Persistent link: https://www.econbiz.de/10015135784