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

Using a skewed exponential power mixture for value-at-risk and conditional value-at-risk forecasts to comply with market risk regulation

Hassani, Samir Saissi; Dionne, Georges - In: Journal of risk : JOR 25 (2023) 6, pp. 73-103

Persistent link: https://www.econbiz.de/10014487244

Quantitative methods in economics and finance

Kliestik, Tomas (ed.); Valaskova, Katarina (ed.); … - 2021

The purpose of the Special Issue "Quantitative Methods in Economics and Finance" of the journal Risks was to provide a collection of papers that reflect the latest research and problems of pricing complex derivates, simulation pricing, analysis of financial markets, and volatility of exchange...

Persistent link: https://www.econbiz.de/10012586709

Predicting food-safety risk and determining cost-effective risk-reduction strategies

Nganje, William; Burbidge, Linda D.; Denkyirah, Elisha Kwaku - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-18

evaluate the effectiveness for three strategies that are used by retail meat facilities. Copula value-at-risk (CVaR) was …

Persistent link: https://www.econbiz.de/10012628139

Cyber risk quantification : investigating the role of cyber value at risk

Orlando, Albina - In: Risks : open access journal 9 (2021) 10, pp. 1-12

The aim of this paper is to deepen the application of value at risk in the cyber domain, with particular attention to …-based measures that are widely employed in the financial domain. They refer to value at risk that, in the cyber context, takes the … name of cyber value at risk (Cy-VaR). In this paper, the main features and challenging issues of Cy-VaR are examined. The …

Persistent link: https://www.econbiz.de/10012698332

Better the devil you know : improved forecasts from imperfect models

Oh, Dong Hwan; Patton, Andrew J. - 2021 - This draft: October 2021

Persistent link: https://www.econbiz.de/10012704988

Forecasting volatility and tail risk in electricity markets

Naimoli, Antonio; Storti, Giuseppe - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-17

, Value-at-Risk, and Expected Shortfall in the Australian electricity markets of New South Wales, Queensland, and Victoria. We … significantly increases the accuracy of volatility forecasts, while in forecasting Value-at-Risk and Expected Shortfall at different …

Persistent link: https://www.econbiz.de/10012622471

Industry standard and econometric standard : the search for powerful approach to evaluate VaR models

Malecka, Marta - In: Argumenta oeconomica 46 (2021) 1, pp. 6-30

Persistent link: https://www.econbiz.de/10012622536

Quadratic investment portfolio based on value-at-risk with risk-free assets : for stocks of the mining and energy sector

Pandiangan, Naomi; Sukono; Hasbullah, Endang Soeryana - In: International Journal of Energy Economics and Policy : IJEEP 11 (2021) 4, pp. 175-184

Persistent link: https://www.econbiz.de/10012623457

The estimation risk and the IRB supervisory formula

Casellina, Simone; Landini, Simone; Uberti, Mariacristina - 2021

In many standard derivation and presentations of risk measures like the Value-at-Risk or the Expected Shortfall, it is …

Persistent link: https://www.econbiz.de/10012421124

Assessing market risk in BRICS and oil markets : an application of Markov switching and vine copula

Muteba Mwamba, John; Mwambi, Sutene Mwambetania - In: International Journal of Financial Studies : open … 9 (2021) 2, pp. 1-22

This paper investigates the dynamic tail dependence risk between BRICS economies and the world energy market, in the context of the COVID-19 financial crisis of 2020, in order to determine optimal investment decisions based on risk metrics. For this purpose, we employ a combination of novel...

Persistent link: https://www.econbiz.de/10012545199