Search Results - subject:"Value‐at‐Risk"

Leverage effects and stochastic volatility in spot oil returns : a Bayesian approach with VaR and CVaR applications

Chen, Liyuan; Zerilli, Paola; Baum, Christopher F. - 2018

Persistent link: https://www.econbiz.de/10011891048

The importance of window size : a study on the required window size for optimal-quality market risk models

Buczyński, Mateusz; Chlebus, Marcin - In: The journal of risk model validation 16 (2022) 1, pp. 77-97

Persistent link: https://www.econbiz.de/10014540551

Partially Censored Posterior for robust and efficient risk evaluation

Borowska, Agnieszka; Hoogerheide, Lennart; Koopman, Siem Jan - 2019

introduced to further decrease the numerical standard errors of the Value-at-Risk and Expected Shortfall estimators. The third …

Persistent link: https://www.econbiz.de/10012214294

Comparison of Block Maxima and Peaks Over Threshold Value-at-Risk models for market risk in various economic conditions

Szubzda, Filip; Chlebus, Marcin - In: Central European economic journal 6 (2019) 53, pp. 70-85

The aim of the presented study was to assess the quality of VaR forecasts in various states of the economic situation. Two approaches based on the extreme value theory were compared: Block Maxima and the Peaks Over Threshold. Forecasts were made on the daily closing prices of 10 major indices in...

Persistent link: https://www.econbiz.de/10012302139

Market-risk optimization among the developed and emerging markets with cvar measure and copula simulation

Trabelsi, Nader; Tiwari, Aviral Kumar - In: Risks : open access journal 7 (2019) 3/78, pp. 1-20

In this paper, the generalized Pareto distribution (GPD) copula approach is utilized to solve the conditional value-at-risk …-parametric kernel-smoothed interior and the parametric Pareto upper tail and (iii) Value-at-Risk (VaR) to quantify risk measure. The …

Persistent link: https://www.econbiz.de/10012127555

A genetic algorithm for investment–consumption optimization with value-at-risk constraint and information-processing cost

Jin, Zhuo; Yang, Zhixin; Yuan, Quan - In: Risks : open access journal 7 (2019) 1/32, pp. 1-15

This paper studies the optimal investment and consumption strategies in a two-asset model. A dynamic Value-at-Risk … constraint is imposed to manage the wealth process. By using Value at Risk as the risk measure during the investment horizon, the …

Persistent link: https://www.econbiz.de/10012015814

Risk model validation : an intraday VaR and ES approach using the multiplicative component GARCH

Summinga-Sonagadu, Ravi; Narsoo, Jason - In: Risks : open access journal 7 (2019) 1/10, pp. 1-23

In this paper, we employ 99% intraday value-at-risk (VaR) and intraday expected shortfall (ES) as risk metrics to …

Persistent link: https://www.econbiz.de/10012018629

Performance evaluation of modified adaptive Kalman filters, least means square and recursive least square methods for market risk beta and VaR estimation

Das, Atanu - In: Quantitative finance and economics 3 (2019) 1, pp. 124-144

Persistent link: https://www.econbiz.de/10012176444

Controlling understaffing with conditional Value-at-Risk constraint for anintegrated nurse scheduling problem under patient demand uncertainty

He, Fang; Chaussaleta, Thierry; Qu, Rong - In: Operations research perspectives 6 (2019), pp. 1-19

understaffing risk control. Conditional Value-at-Risk (CVaR), a risk control measure primarily used in the financial domain, is …

Persistent link: https://www.econbiz.de/10012029360

Financial risk measures for a network of individual agents holding portfolios of light-tailed objects

Klüppelberg, Claudia; Seifert, Miriam - Sonderforschungsbereich Statistical Modelling of … - 2019

Persistent link: https://www.econbiz.de/10012035248