Search Results - subject:"Value at Risk"

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

An application of Regular Vine copula in portfolio risk forecasting : evidence from Istanbul stock exchange

Özgür, Cemile; Sarıkovanlık, Vedat - In: Quantitative finance and economics 5 (2021) 3, pp. 452-470

Persistent link: https://www.econbiz.de/10012592480

Basel violations, volatility model variants and value at risk : optimization of performance deviations in banks

Anjum, Shahid; Qaseem, Naveeda - In: Economics and Business Letters : EBL 10 (2021) 3, pp. 240-248

Persistent link: https://www.econbiz.de/10012595918

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

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

Analysis and forecasting of risk in count processes

Homburg, Annika; Weiß, Christian H.; Frahm, Gabriel; … - In: Journal of risk and financial management : JRFM 14 (2021) 4, pp. 1-25

Persistent link: https://www.econbiz.de/10012522289

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

Semiparametric GARCH models with long memory applied to value at risk and expected shortfall

Letmathe, Sebastian; Feng, Yuanhua; Uhde, André - 2021

Persistent link: https://www.econbiz.de/10012508951

The new international regulation of market risk: roles of VaR and CVaR in model validation

Hassani, Samir Saissi; Dionne, Georges - 2021

Persistent link: https://www.econbiz.de/10012545817

Dynamics of funding liquidity and risk-taking : evidence from commercial banks

Abbas, Faisal; Yousaf, Imran; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-16

The purpose of this study is to investigate the impact of funding liquidity risk on the banks' risk-taking behavior. To test the hypotheses, we apply the two-step system GMM technique on US commercial banks data from 2002 to 2018. We find that funding liquidity increases the banks' risk-taking...

Persistent link: https://www.econbiz.de/10012605946