Search Results - subject:"Value at Risk"

Multi-Variate risk measures under Wasserstein Barycenter

Arias-Serna, M. Andrea; Loubes, Jean Michel; … - In: Risks : open access journal 10 (2022) 9, pp. 1-15

case. In such cases, the Wasserstein barycenter Value-at-Risk belongs to the same family, thus it is characterized just by …

Persistent link: https://www.econbiz.de/10013555458

Uncertainty and risk in the cryptocurrency market

Almeida, Dora; Dionísio, Andreia Teixeira Marques; … - In: Journal of risk and financial management : JRFM 15 (2022) 11, pp. 1-17

entropy. To measure risk, we use value-at-risk and conditional value-at-risk. The results indicate that, except for Tether …

Persistent link: https://www.econbiz.de/10013475240

Assessing the market risk on the government debt of Kazakhstan and Bulgaria in conditions of turbulence

Em, Olga; Georgiev, Georgi; Radukanov, Sergey; Petrova, … - In: Risks : open access journal 10 (2022) 5, pp. 1-18

both as a single issue and at a portfolio level using the Value-at-risk approach. Sixteen samples with historical …

Persistent link: https://www.econbiz.de/10013359115

On dynamic program decompositions of static risk measures

Jia Lin Hau; Delage, Erick; Ghavamzadeh, Mohammad; … - 2023

Persistent link: https://www.econbiz.de/10014281685

Price index modeling and risk prediction of sharia stocks in Indonesia

Hersugondo; Ghozali, Imam; Handriani, Eka; Trimono, Trimono - In: Economies : open access journal 10 (2022) 1, pp. 1-13

loss risk. This study uses geometric Brownian motion (GBM) and Value at Risk (VaR; with the Monte Carlo Simulation approach …

Persistent link: https://www.econbiz.de/10012800645

Bootstrapping time-varying uncertainty intervals for extreme daily return periods

Makatjane, Katleho - In: International Journal of Financial Studies : open … 10 (2022) 1, pp. 1-23

This study aims to overcome the problem of dimensionality, accurate estimation, and forecasting Value-at-Risk (VaR) and …

Persistent link: https://www.econbiz.de/10012804913

Précisions importantes sur le backtesting comparatif de la VaR

Hassani, Samir Saissi - 2022

Persistent link: https://www.econbiz.de/10012886096

Predictors of excess return in a green energy equity portfolio : market risk, market return, value-at-risk and or expected shortfall?

Abraham, Rebecca; El-Chaarani, Hani; Tao, Zhi - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-31

-Factor and Fama-French Five-Factor Models. The most significant predictors of green equity returns were Value-at-Risk at a 95 …% confidence level, and Value-at-Risk at a 99% confidence level. Expected Shortfall was another extreme risk value measure. The …

Persistent link: https://www.econbiz.de/10012872607

Did COVID-19 increase equity market risk exposure? : evidence from China, the UK, and the US

Li, Matthew C.; Lai, Catherine C.; Xiao, Ling - In: Applied economics letters 29 (2022) 6, pp. 567-571

Persistent link: https://www.econbiz.de/10012873353

Measurement of systemic risk in the Colombian banking sector

Rivera-Escobar, Orlando; Escobar, John Willmer; … - In: Risks : open access journal 10 (2022) 1, pp. 1-27

This paper uses three methodologies for measuring the existence of systemic risk in the Colombian banking system. The determination of its existence is based on implementing three systemic risk measures widely referenced in academic works after the subprime crisis, known as CoVaR, MES and SRISK....

Persistent link: https://www.econbiz.de/10012805886

1
2
3
4
5
6
7
8
9
10
Next
Last

Attention