Keywords: ارزش در معرض خطر; Longevity risk; Natural hedging; Poisson Lee-Carter model; Poisson common factor model; Product-ratio model; Historical simulation; Value-at-Risk; Risk reduction;
مقالات ISI ارزش در معرض خطر (ترجمه نشده)
مقالات زیر هنوز به فارسی ترجمه نشده اند.
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.
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: ارزش در معرض خطر; C53; C58; Copula; Tail dependence; Nonparametric estimation; Value-at-Risk; Canonical Maximum-Likelihood;
Keywords: ارزش در معرض خطر; Copulas and dependence; Level sets of distribution functions; Multivariate risk measures; Stochastic orders; Value-at-Risk;
Keywords: ارزش در معرض خطر; C51; G32; Volatility clustering; Univariate time series copulas; Realized kernel volatility; Value-at-Risk;
Keywords: ارزش در معرض خطر; Extreme Value Theory; Peak over threshold method; Conditional EVT; Value-at-Risk; G15; G17;
Keywords: ارزش در معرض خطر; Risk aggregation; Tail asymptotics; Bernstein copula; Value-at-Risk; Pareto and exponential variables;
Keywords: ارزش در معرض خطر; Risk management; Value-at-risk; Expected shortfall; Fuzzy random variables; Heavy-tailed distributions;
Keywords: ارزش در معرض خطر; F15; F23; F36; G21; International diversification; Economic capital; Credit risk; International banking; Value-at-Risk; Business cycle;
Keywords: ارزش در معرض خطر; C60; G11; G22; 91B30; 91B32; Acceptance sets; Eligible assets; Risk measures; Capital adequacy; Defaultable securities; Value-at-Risk; Tail Value-at-Risk;
Keywords: ارزش در معرض خطر; Risk management; Value-at-risk; Backtesting; Conditional and unconditional coverage tests; Monte Carlo;
Keywords: ارزش در معرض خطر; C51; G01; G11; G17; Multi-asset portfolios; Risk management; Tail probability; Tail risk; Multivariate extreme value theory; Value-at-Risk;
Keywords: ارزش در معرض خطر; Optimal reinsurance; Reinsurance premium; Value-at-risk; Counterparty default risk; Utility function; Convex order;
Keywords: ارزش در معرض خطر; Sovereign ratings; Yields; Stock market returns; Volatility; EGARCH; Optimal portfolio; Financial gain; Risk management; Value-at-risk;
Keywords: ارزش در معرض خطر; FIGARCH; Copulas; Extreme value theory; Value-at-Risk; Energy portfolio; Oil and gas futures prices;
Keywords: ارزش در معرض خطر; Value-at-Risk; GARCH models; Skewness effect; Fat-tail effect; Global financial crisis; C52; C53; G15;
Keywords: ارزش در معرض خطر; Value-at-Risk; Skewed generalized t distribution; Extreme value theory; Tail-index; VaR-x method; C14; C53; F37;
Keywords: ارزش در معرض خطر; C13; C53; Q40; Commodity forward curves; Multivariate GARCH; Hierarchical Archimedean copula; Value-at-risk;
Keywords: ارزش در معرض خطر; G1; C16; Risk analysis; Extreme Value Theory; Value-at-Risk; Expected Shortfall; Fat tails;
Keywords: ارزش در معرض خطر; Credit portfolio model; Granularity adjustment; Value-at-risk; Fourier Transform; G32; G17;
Keywords: ارزش در معرض خطر; C50; G11; G32; Model risk; Value-at-risk; Backtesting;
Keywords: ارزش در معرض خطر; G21; G28; E58; Leverage ratios; Capital adequacy rules; Value-at-risk; Collateral requirements; Haircuts;
Keywords: ارزش در معرض خطر; Counterparty default risk; Distorted risk measure; Expected policyholder deficit; Premium principle; Optimal reinsurance; Value-at-risk;
Keywords: ارزش در معرض خطر; Value-at-Risk; Bootstrap simulation; Economic and financial analysis; Internal rate of return;
Keywords: ارزش در معرض خطر; G17; G15; C15; C32; C53; Expected shortfall; Long memory; Multi-period forecasting; Value-at-risk; Volatility forecasting;
Keywords: ارزش در معرض خطر; Extreme value theory; GMM estimator; Value-at-Risk; Multivariate maxima of moving maxima model;
Keywords: ارزش در معرض خطر; G11; G16; Copula; Value-at-risk; Hedge ratios; Backtests; Subprime market crash;
Backtesting an equity risk model under Solvency II
Keywords: ارزش در معرض خطر; Internal models; Solvency II; Backtesting; Validation; Equity risk; Value-at-risk;
Forecasting risk with Markov-switching GARCH models: A large-scale performance study
Keywords: ارزش در معرض خطر; GARCH; MSGARCH; Forecasting performance; Large-scale study; Value-at-risk; Expected shortfall; Risk management;
Cone distribution functions and quantiles for multivariate random variables
Keywords: ارزش در معرض خطر; primary 62H99; secondary 90B50; Multivariate quantiles; Value-at-risk; Partial order; Set optimization;
Measuring Value-at-Risk and Expected Shortfall of crude oil portfolio using extreme value theory and vine copula
Keywords: ارزش در معرض خطر; 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: ارزش در معرض خطر; Risk measures; Value-at-Risk; Expected shortfall; Marginal distributions; Level of confidence;
Extreme quantile estimation for β-mixing time series and applications
Keywords: ارزش در معرض خطر; C130; Asymptotic normality; β-mixing; Extreme value index; GARCH models; High quantile; Return level; Value-at-Risk;
Downside risk and stock returns in the G7 countries: An empirical analysis of their long-run and short-run dynamics
Keywords: ارزش در معرض خطر; G11; G12; G15; C24; F30; Downside risk; Value-at-risk; Long memory; Fractional integration; Risk-return; Market integration;
Spectral measures of risk for international futures markets: A comparison of extreme value and Lévy models
Keywords: ارزش در معرض خطر; C52; G13; Lévy-Khintchine formula; Spectral risk measures; Value-at-risk; Generalized hyperbolic distributions; Bootstrapping;
True or spurious long memory in European non-EMU currencies
Keywords: ارزش در معرض خطر; C22; C51; C53; C58; Conditional variance; Foreign exchange; GARCH; Spurious long memory; Value-at-Risk;
Value-at-Risk under Lévy GARCH models: Evidence from global stock markets
Keywords: ارزش در معرض خطر; C22; G17; Value-at-Risk; Risk management; Lévy distributions; GARCH model; Asymmetry; Long memory;
Quantile autoregression neural network model with applications to evaluating value at risk
Keywords: ارزش در معرض خطر; Artificial neural network; Quantile autoregression neural network (QARNN); Quantile autoregression; Quantile regression; Value-at-risk;
Optimal management of DC pension plan under loss aversion and Value-at-Risk constraints
Keywords: ارزش در معرض خطر; C61; G11; G32; G02; 91B16; 91B30; 91G10; 93E20; IE12; IE13; IE43; IB81; Defined contribution pension plan; Portfolio choice; Stochastic interest rate; Stochastic contribution rate; Loss aversion; Value-at-Risk; Martingale method;
Variational Bayes for assessment of dynamic quantile forecasts
Keywords: ارزش در معرض خطر; Bayesian testing; Hypothesis testing; Bayes factor; Variational Bayes; Value-at-Risk; Quantile forecasting;
Confidence intervals for ARMA-GARCH Value-at-Risk: The case of heavy tails and skewness
Keywords: ارزش در معرض خطر; Value-at-Risk; ARMA-GARCH; Quasi-maximum likelihood; Subsample bootstrap;
Evaluating Value-at-Risk forecasts: A new set of multivariate backtests
Keywords: ارزش در معرض خطر; Model risk; Multivariate backtesting; Value-at-Risk; Systemic risk; C52; C53; C58;
Risk concentration based on Expectiles for extreme risks under FGM copula
Keywords: ارزش در معرض خطر; Expectiles; FGM copula; Regular variation; Second-order regular variation; Value-at-Risk;
Are the KOSPI 200 implied volatilities useful in value-at-risk models?
Keywords: ارزش در معرض خطر; Value-at-risk; Implied volatility; Market risk; VKOSPI; KOSPI 200 options; G15; G17; G19;
Quantifying the risk using copulae with nonparametric marginals
Keywords: ارزش در معرض خطر; Extreme value copula; Tail dependence; Sarmanov copula; Nonparametric marginals; Value-at-risk;
Co-movements of GCC emerging stock markets: New evidence from wavelet coherence analysis
Keywords: ارزش در معرض خطر; Co-movement; Wavelet coherence; Stock markets; Value-at-risk; C40; E32; G15; F30;
A new set of improved Value-at-Risk backtests
Keywords: ارزش در معرض خطر; Value-at-Risk; Backtesting; Monte Carlo simulation; C52; C53; C58;
Bayesian estimation of smoothly mixing time-varying parameter GARCH models
Keywords: ارزش در معرض خطر; Forecasting; Markov chain Monte Carlo method; Smooth transition; Structure breaks; Value-at-Risk; Time-varying GARCH model;
On the distribution of sums of random variables with copula-induced dependence
Keywords: ارزش در معرض خطر; 62E15; 62E17; 62Hxx; (G)AEP algorithm; Aggregation of risk; Copula; Dependence; Expected shortfall; Path integration; Sums of random variables; Value-at-risk;
Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates
Keywords: ارزش در معرض خطر; 60E05; 91B30; Complete mixability; Worst-dependence scenarios; Value-at-Risk; Expected Shortfall; Basel III;
Newsvendor problem with random shortage cost under a risk criterion
Keywords: ارزش در معرض خطر; Conditional value-at-risk; Value-at-risk; Newsvendor problem; Risk aversion; Random shortage cost;