Search Results - subject:"Value at Risk"

Model averaging and grid maps for modeling heavy-tailed insurance data

Mothibe, Lira B.; Shongwe, Sandile C. - 2026

grid maps simultaneously plot information criteria against risk measures, specifically the Value-at-Risk (VaR) and Tail … Value-at-Risk (TVaR) at 95% and 99% thresholds, to highlight critical-fit versus tail-risk trade-offs. It is observed that …

Persistent link: https://www.econbiz.de/10015611274

Measuring flood risk in Czechia with stress testing and a Gumbel copula based VaR

Folprecht, Marek - 2026

Persistent link: https://www.econbiz.de/10015609159

A VaR-based price-based unit commitment framework for generation asset valuation under electricity price risk

Chen, Shih-Ying; Lin, Kuen-Lin; Tsai, Ming-Tang - 2026

-aware framework for generation asset valuation by embedding Value-at-Risk (VaR) into a Price-Based Unit Commitment (PBUC) model. VaR …

Persistent link: https://www.econbiz.de/10015614368

Assessing the impact of fiscal incentives on the investment feasibility of geothermal projects in Indonesia : a value-at-risk approach

Susmanto, Andi; Hidayatno, Akhmad; Setiawan, Andri Dwi; … - 2026

Persistent link: https://www.econbiz.de/10015620426

Geopolitical shocks and crude oil market tail risk : evidence from the Russia-Ukraine conflict

Basdekis, Charalampos Vasilios; Christopoulos, Apostolos G. - 2026

Value at Risk (CAViaR) framework. We analyzed 2364 daily observations of West Texas Intermediate (WTI) crude oil futures … variables. Methodologically, we implement a two-step approach. First, we estimate 1-day Value at Risk (VaR) at the 5% and 1 …

Persistent link: https://www.econbiz.de/10015628732

Forecasting value at risk and expected shortfall in equity markets of high-income and Latin American countries

Liza, Fiorela; Rodriguez, Gabriel; Arellano Ataurima, Miguel - 2026

Persistent link: https://www.econbiz.de/10015638652

A hierarchical signal-to-policy learning framework for risk-aware portfolio optimization

Yu, Jiayang; Chang, Kuo-Chu - 2026

This study proposes a hierarchical signal-to-policy learning framework for risk-aware portfolio optimization that integrates model-based return forecasting, explainable machine learning, and deep reinforcement learning (DRL) within a unified architecture. In the first stage, next-period returns...

Persistent link: https://www.econbiz.de/10015644313

Copula-based risk aggregation and the significance of reinsurance

Dias, Alexandra; Ismail, Isaudin; Zhang, Aihua - 2025

Insurance companies need to calculate solvency capital requirements in order to ensure that they can meet their future obligations to policyholders and beneficiaries. The solvency capital requirement is a risk management tool essential for addressing extreme catastrophic events that result in a...

Persistent link: https://www.econbiz.de/10015358934

Comparing the systemic risk of Italian insurers and banks

Bianchi, Michele Leonardo; Pallante, Federica - 2025

Persistent link: https://www.econbiz.de/10015408590

Incorporating micro data into macro models using pseudo VARs

Koop, Gary; McIntyre, Stuart; Mitchell, James; Wu, Ping - 2026

Persistent link: https://www.econbiz.de/10015618215

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