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

Monte Carlo simulation of the moments of a copula-dependent risk process with Weibull interwaiting time

Alhabshi, Sharifah Farah Syed Yusoff; Zamzuri, Zamira … - In: Risks : open access journal 9 (2021) 6, pp. 1-13

, the premiums and the value-at-risk based on the New Zealand catastrophe historical data. The simulation outcomes under the …

Persistent link: https://www.econbiz.de/10012598393

Measuring systemic risk in South African banks

Chatterjee, Somnath; Sing, Marea - 2021

Persistent link: https://www.econbiz.de/10012497161

Nonlinearity everywhere : implications for empirical finance, technical analysis and value at risk

Amini, Shima; Hudson, Robert; Urquhart, Andrew; Wang, Jian - In: The European journal of finance 27 (2021) 13, pp. 1326-1349

observed. The behaviour also has implications for the appropriate calculation of important risk measures such as value at risk. …

Persistent link: https://www.econbiz.de/10012653097

Value at risk estimation using GAS models with heavy tailed distributions for cryptocurrencies

Subramoney, Stephanie Danielle; Chinhamu, Knowledge; … - In: International journal of finance & banking studies : JJFBS 10 (2021) 4, pp. 40-54

Persistent link: https://www.econbiz.de/10012653269

GARCHNet - Value-at-Risk forecasting with novel approach to GARCH models based on neural networks

Buczyński, Mateusz; Chlebus, Marcin - 2021

Persistent link: https://www.econbiz.de/10012795155

Comparison of the accuracy in VaR forecasting for commodities using different methods of combining forecasts

Lis, Szymon; Chlebus, Marcin - 2021

Persistent link: https://www.econbiz.de/10012795166

Transformational approach to analytical value-at-risk for near normal distributions

Prakash, Puneet; Sangwan, Vikas; Singh, Kewal - In: Journal of risk and financial management : JRFM 14 (2021) 2/51, pp. 1-19

In this paper, we extend the parametric approach of VaR estimation that is based upon the application of two transforms, one for handling skewness and other for kurtosis. These transformations restore normality to data when applied in succession. The transforms are well defined and offer an...

Persistent link: https://www.econbiz.de/10012483525

Maximum entropy evaluation of asymptotic hedging error under a generalised jump-diffusion model

Fard, Farzad Alavi; Doko Tchatoka, Firmin; … - In: Journal of risk and financial management : JRFM 14 (2021) 3/97, pp. 1-19

maximising Shannon's entropy subject to a set of moment constraints, which in turn yields the value-at-risk and expected …

Persistent link: https://www.econbiz.de/10012484861

Optimum and coherent economic capital forecasts with reinforcement machine learning : evidence from optimization algorithms under long and short-sales multiple asset portfolios of emerging markets

Al Janabi, Mazin A. M. - In: Banking resilience : new insights on corporate …, (pp. 343-389). 2024

Persistent link: https://www.econbiz.de/10015179402

Equity price risk of commercial banks in India

Das, Nupur Moni; Rout, Bhabani Sankar - In: Arthaniti : journal of economic theory and practice 23 (2024) 2, pp. 179-201

Persistent link: https://www.econbiz.de/10015145478