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Value-at-risk analysis : a review and the potential for agricultural applications

Manfredo, Mark R.; Leuthold, Raymond M. - In: Review of agricultural economics : RAE 21 (1999) 1, pp. 99-111

Persistent link: https://www.econbiz.de/10001417821

VAR risk measures vs. traditional risk measures: an analysis and survey

Kaplanski, Guy; Kroll, Yoram - In: Innovations in risk management : seminal papers from …, (pp. 3-34). 2004

Persistent link: https://www.econbiz.de/10002600162

Historical VaR, CVaR and ES to Liquidation : 'A New Tool to Measure Risk by Regulators and Fund Managers'

Crousillat, Cesar - 2016

Historical VaR, CVaR and ES (Expected Shortfall) to LIQUIDATION Software is a model characterized by its straightforwardness, allowing regulators measure risk using a standard database of primitive factors and portfolio positions only, leaving little error margin in comparing market risk for...

Persistent link: https://www.econbiz.de/10013003836

Probability equivalent level for CoVaR and VaR

Ortega-Jiménez, Patricia; Pellerey, Franco; Sordo, … - In: Insurance : mathematics and economics 115 (2024), pp. 22-35

Persistent link: https://www.econbiz.de/10015066724

Portfolio risk forecasting

Braun, Valentin; Hackethal, Andreas - In: Journal of risk 16 (2013/2014) 1, pp. 35-68

Persistent link: https://www.econbiz.de/10013262566

Stochastic dominance and risk measure : a decision-theoretic foundation for VaR and C-VaR

Ma, Chenghu; Wong, Wing Keung - In: European journal of operational research : EJOR 207 (2010) 2, pp. 927-935

Persistent link: https://www.econbiz.de/10008652647

VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors

Kamdem, Jules Sadefo - In: Annals of finance 8 (2012) 1, pp. 123-150

Persistent link: https://www.econbiz.de/10009510573

Managing market risk with VaR (Value at Risk)

Angelovska, Julijana - In: Management : journal of contemporary management issues 18 (2013) 2, pp. 81-96

Market risk estimates the uncertainty of future earnings, due to the changes in market conditions. Value at Risk has become the standard measure that financial analysts use to quantify market risk. For estimating risk, the issue is that different ways to estimate volatility can lead to very...

Persistent link: https://www.econbiz.de/10010240752

Markets liquidity risk under extremal dependence : analysis with VaRs methods

Ourir, Awatef; Snoussi, Wafa - In: Economic modelling 29 (2012) 5, pp. 1830-1836

Persistent link: https://www.econbiz.de/10009667092

Equivalence of robust VaR and CVaR optimization

Lofti, Somayyeh; Zenios, Stauros Andrea - 2016 - Date of first version: April 4, 2016

Persistent link: https://www.econbiz.de/10011539339