Keywords: کمبود انتظاری; Risk measure; Risk dynamics; Risk-neutral densities; Value at risk; Expected shortfall; D81; D84; G01; G32;
مقالات ISI کمبود انتظاری (ترجمه نشده)
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در صورتی که به ترجمه آماده هر یک از مقالات زیر نیاز داشته باشید، می توانید سفارش دهید تا مترجمان با تجربه این مجموعه در اسرع وقت آن را برای شما ترجمه نمایند.
Keywords: کمبود انتظاری; Stochastic programming; Convex programming; Scenario approach; Expected shortfall; CVaR;
Keywords: کمبود انتظاری; Spectral risk measures; Expected Shortfall; Risk vulnerability; Subadditivity; D81; G32;
Keywords: کمبود انتظاری; Value-at-risk; Tail value-at-risk; Expected shortfall; Risk measure; Estimation of risk measures; Bias; Risk estimation; Elicitability; Backtest; Unbiased estimation of risk measures;
Keywords: کمبود انتظاری; AB; Amen Bank; ATB; Arab Tunisian Bank; ATTIJARI; Attijari Bank; BH; Banque de l'Habitat; BIAT; Banque Internationale Arabe de Tunisie; BNA; Banque Nationale Agricole; BT; Bank of Tunisia; BTE; Banque de Tunisie and Emirates; CoES; co-expected shortfall
Keywords: کمبود انتظاری; Comonotonicity; Risk measures; Acceptance sets; Eligible assets; Value at Risk; Expected Shortfall;
Keywords: کمبود انتظاری; G13; G32; C63; 91G60; 62P05; 60E10; 65T60; Market risk; Liquidity risk; Stochastic liquidity horizon; Value-at-Risk; Expected shortfall; Shannon wavelets;
Keywords: کمبود انتظاری; primary; 62G05; 62G20; 62G32; secondary; 60F05; 60G70; Asymptotic tail independence; Consistency; Expected shortfall; Heavy-tail; Hidden regular variation; Mean excess; Multivariate regular variation; Systemic risk;
Keywords: کمبود انتظاری; Energy security; Risk assessment; Value-at-Risk; Expected shortfall; Spectral risk measures; ENSAD;
Keywords: کمبود انتظاری; C43; C46; G32; Concentration measures; Value-at-Risk; Expected Shortfall; Concentration Profile; Gini index;
Keywords: کمبود انتظاری; Gram-Charlier expansions; Value at risk; Expected shortfall; Heavy tailed distributions; C1; G1;
Keywords: کمبود انتظاری; Acceptance set; Risk measure; Co-monotonicity; Convexity; Value at risk; Expected shortfall;
Keywords: کمبود انتظاری; G010; G210; G280; Hybrid securities; Bank solvency; CoCos; Expected Shortfall; Value-at-Risk;
Keywords: کمبود انتظاری; Applied probability; Stochastic dominance; Portfolio optimization; Expected shortfall; Index tracking;
Keywords: کمبود انتظاری; G21; C14; C15; Risk management; Elliptic copulas; Goodness-of fit tools; Value-at-Risk; Expected Shortfall; Co-risk measures;
Keywords: کمبود انتظاری; G17; G15; C15; C32; C53; Basel II; Basel III; Value-at-risk; Expected shortfall; Volatility forecasting; Intra-day data; Multi-period-ahead; Forecasting accuracy; Risk modeling;
Keywords: کمبود انتظاری; G10; G11; G14; G17; Extreme returns; Implied volatility; Conditional volatility; Idiosyncratic volatility; Expected shortfall;
Keywords: کمبود انتظاری; G1; G13; G14; Tail risk; Extreme value distributions; Expected shortfall; Value at risk;
Keywords: کمبود انتظاری; Expectile regression; Expected shortfall; Value-at-Risk; Asymmetric least squares regression; Consistency; Asymptotic normality;
Keywords: کمبود انتظاری; Generalized Tukey Lambda distribution; Skewness; Thick-tailed distribution; Maximum likelihood estimation; Asymptotic properties; Risk management; Value at Risk; Expected shortfall; GARCH model;
Keywords: کمبود انتظاری; C10; C53; G32; Model risk; Capital requirements; Value-at-Risk; Expected Shortfall;
Keywords: کمبود انتظاری; C53; C58; G01; G21; Islamic finance; Value at risk; Expected shortfall; Capital structure;
Keywords: کمبود انتظاری; Conditional Value at Risk; Expected Shortfall; Measures of risk; Risk management
Keywords: کمبود انتظاری; G32; G34; G38Corporate governance; Downside risk; Value-at-risk (VaR); Expected shortfall
Keywords: کمبود انتظاری; Sovereign risk; Contagion; Value-at-Risk; Expected Shortfall; F34; G12; G13; G15;
Keywords: کمبود انتظاری; G1; G17; C1; Risk measures; Expected shortfall; Risk estimation; Backtesting;
Keywords: کمبود انتظاری; C44; D81; G11; G21; Spectral risk measures; Expected Shortfall; Exponential spectral risk measures; Power spectral risk measures; Arrow-Pratt-risk aversion; Ross-risk aversion;
Keywords: کمبود انتظاری; Risk management; Value-at-risk; Expected shortfall; Fuzzy random variables; Heavy-tailed distributions;
Keywords: کمبود انتظاری; Risk contribution; Value at risk; Expected shortfall; Futures markets; Trading hours; Non-trading hoursC32; G15
Keywords: کمبود انتظاری; G30; G32Risk management; Option hedging; Expected shortfall
Keywords: کمبود انتظاری; Monte Carlo; Importance sampling; Credit risk; Risk allocation; VaR; Expected shortfall; C15; C63; G21;
Keywords: کمبود انتظاری; Value-at-risk; Expected shortfall; Long memory; Leverage effect; Distribution effects; Global financial crisis
Keywords: کمبود انتظاری; G1; C16; Risk analysis; Extreme Value Theory; Value-at-Risk; Expected Shortfall; Fat tails;
Keywords: کمبود انتظاری; G11; C6; G24; L10; CPPI; Expected shortfall; Expectile; Quantile regression; Dynamic quantile model;
Keywords: کمبود انتظاری; G17; G15; C15; C32; C53; Expected shortfall; Long memory; Multi-period forecasting; Value-at-risk; Volatility forecasting;
Keywords: کمبود انتظاری; G01; G12; G21; G32; Securitization; Expected shortfall; Systemic risk; Marginal expected shortfall;
Keywords: کمبود انتظاری; G21; G28; C15; C63; Systemic risk; Systemic risk contributions; Systemic capital charge; Countercyclical capital buffer; Expected shortfall; Importance sampling;
Keywords: کمبود انتظاری; G01; G10; G18; G20; G28; G38Model risk; Systemic risk; Value-at-Risk; Expected shortfall; Basel III
Keywords: کمبود انتظاری; C4; C5; G1Realized volatility; High-frequency data; Extreme Value Theory; Value-at-Risk; Expected Shortfall
Keywords: کمبود انتظاری; Backtesting; Expected shortfall; Generalized hyperbolic skew Student’s tt-distribution; Markov chain Monte Carlo; Realized volatility; Stochastic volatility; Value-at-risk
Recovery of quantile and quantile density function using the frequency moments
Keywords: کمبود انتظاری; Quantile function; Quantile density function; Frequency moments; Expected shortfall;
Forecasting risk with Markov-switching GARCH models: A large-scale performance study
Keywords: کمبود انتظاری; GARCH; MSGARCH; Forecasting performance; Large-scale study; Value-at-risk; Expected shortfall; Risk management;
Measuring Value-at-Risk and Expected Shortfall of crude oil portfolio using extreme value theory and vine copula
Keywords: کمبود انتظاری; Crude oil markets; Extreme value theory; Mixed R-vine copula; Value-at-Risk; Expected shortfall; Monte Carlo simulation;
More accurate measurement for enhanced controls: VaR vs ES?
Keywords: کمبود انتظاری; Risk measures; Value-at-Risk; Expected shortfall; Marginal distributions; Level of confidence;
Unexpected shortfalls of Expected Shortfall: Extreme default profiles and regulatory arbitrage
Keywords: کمبود انتظاری; C60; G18; G28; Expected Shortfall; Value-at-risk; Financial regulation; Tail behavior; Default behavior;
Market risk forecasting for high dimensional portfolios via factor copulas with GAS dynamics
Keywords: کمبود انتظاری; Dynamic factor copula; GAS; Value at Risk; Expected Shortfall; Forecasting;
GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference
Keywords: کمبود انتظاری; C13; C49; GEL; GARCH; Tail trimming; Heavy tails; Robust inference; Efficient moment estimation; Expected shortfall; Russian Ruble;
GARCH models for daily stock returns: Impact of estimation frequency on Value-at-Risk and Expected Shortfall forecasts
Keywords: کمبود انتظاری; GARCH; Value-at-Risk; Expected Shortfall; Equity; Frequency; False discovery rate;
Efficient VaR and Expected Shortfall computations for nonlinear portfolios within the delta-gamma approach
Keywords: کمبود انتظاری; Market risk; Delta-gamma approximation; Value-at-Risk; Expected Shortfall; Fourier transform; Haar wavelets
Modelling and forecasting value at risk and expected shortfall for GCC stock markets: Do long memory, structural breaks, asymmetry, and fat-tails matter?
Keywords: کمبود انتظاری; Value-at-risk; Expected shortfall; Long memory; Structural breaks; GARCH-type models; Stock markets