Search Results - subject:"value‐at‐risk"

Risk averse constrained blackbox optimization under mixed aleatory/epistemic uncertainties

Audet, Charles; Bigeon, Jean; Couderc, Romain; … - 2023

Persistent link: https://www.econbiz.de/10014417933

Dealer capacity and U.S. treasury market functionality

Duffie, Darrell; Fleming, Michael J.; Keane, Frank; … - 2023 - Revised October 2023

We show a significant loss in U.S. Treasury market functionality when intensive use of dealer balance sheets is needed to intermediate bond markets, as in March 2020. Although yield volatility explains most of the variation in Treasury market liquidity over time, when dealer balance sheet...

Persistent link: https://www.econbiz.de/10014393396

Risk management of stock portfolios with jumps at exogenous default events

Herbertsson, Alexander - 2023

Persistent link: https://www.econbiz.de/10014431441

The impact of correlation on (Range) Value-at-Risk

Bernard, Carole; De Vecchi, Corrado; Vanduffel, Steven - In: Scandinavian actuarial journal 2023 (2023) 6, pp. 531-564

Persistent link: https://www.econbiz.de/10014383858

Modeling uncertainty in financial tail risk : a forecast combination and weighted quantile approach

Storti, Giuseppe; Wang, Chao - In: Journal of forecasting 42 (2023) 7, pp. 1648-1663

Persistent link: https://www.econbiz.de/10014432743

Portfolio optimization based on forecasting models using vine copulas : an empirical assessment for global financial crises

Sahamkhadam, Maziar; Stephan, Andreas - In: Journal of forecasting 42 (2023) 8, pp. 2139-2166

Persistent link: https://www.econbiz.de/10014432866

The fundamental review of the trading book : implications for portfolio and risk management in the banking sector

McCullagh, Orla; Cummins, Mark; Killian, Sheila - In: Journal of money, credit and banking : JMCB 55 (2023) 7, pp. 1785-1816

Persistent link: https://www.econbiz.de/10014436097

On the diversification effect in solvency II for extremely dependent risks

Chen, Yongzhao; Cheung, Ka Chun; Yam, Sheung Chi Phillip; … - In: Risks : open access journal 11 (2023) 8, pp. 1-22

three maximum domains of attraction. We show that Value-at-Risk (V@R) under extreme-value copulas is asymptotically …

Persistent link: https://www.econbiz.de/10014370410

Anticipating extreme losses using score-driven shape filters

Ayala, Astrid; Blazsek, Szabolcs; Escribano, Álvaro - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 27 (2023) 4, pp. 449-484

Persistent link: https://www.econbiz.de/10014372905

Stochastic equilibria with capacity expansion : Increasing expected profit with risk aversion

Egging-Bratseth, Ruud; Siddiqui, Afzal S. - In: Decision analytics journal 7 (2023), pp. 1-10

-averse firms monotonically forgo expected profit in exchange for an improved risk measure, e.g., conditional value-at-risk (CVaR …

Persistent link: https://www.econbiz.de/10014497210