Keywords: ارزش در معرض خطر (VaR); C60; Value-at-Risk (vaR); Coherent risk measure; Model uncertainty; Cantelli bound; Distortion function;
مقالات ISI ارزش در معرض خطر (VaR) (ترجمه نشده)
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Keywords: ارزش در معرض خطر (VaR); Generalized Pareto distribution; Value-at-Risk (VaR); Conditional Tail Expectation (CTE); Tail VaR; Peaks over threshold (POT); Weighted nonlinear least squares
Keywords: ارزش در معرض خطر (VaR); Ambiguity aversion; Risk aversion; Value-at-Risk (VaR); Optimal portfolio; Wealth management; C61; G11; G12;
Keywords: ارزش در معرض خطر (VaR); G32; G34; G38Corporate governance; Downside risk; Value-at-risk (VaR); Expected shortfall
Keywords: ارزش در معرض خطر (VaR); C32; Q40; Forward energy prices; Value-at-Risk (VaR); CAViaR approach; Risk spillover; Granger causality;
Keywords: ارزش در معرض خطر (VaR); Dynamic volatilities; Dynamic higher-order moments; Integrated generalized autoregressive score models; Exponentially Weighted Moving Average (EWMA); Value-at-Risk (VaR)
Optimal reinsurance under VaR and TVaR risk measures in the presence of reinsurer's risk limit
Keywords: ارزش در معرض خطر (VaR); Optimal reinsurance; Value-at-risk (VaR); Tail value-at-risk (TVaR); Risk limit; Two-layer reinsurance; Expectation premium principle;
The dynamics of precious metal markets VaR: A GARCHEVT approach
Keywords: ارزش در معرض خطر (VaR); Precious metal; Value-at-Risk (VaR); Risk management; Asymmetric GARCH; Generalized error distribution (GED); Extreme value theory (EVT); Backtesting;
Foster-Hart optimal portfolios
Keywords: ارزش در معرض خطر (VaR); C13; C22; C61; C52; G11; ARMA-GARCH model; Normal tempered stable distribution; Foster-Hart risk; Value-at-Risk (VaR); Average Value-at-Risk (AVaR); Reward risk ratio;
VaR constrained asset pricing with relative performance
Keywords: ارزش در معرض خطر (VaR); G11; G12; Relative performance; Financial institution; Asset pricing; Value-at-Risk (VaR);
Optimal reinsurance with concave ceded loss functions under VaR and CTE risk measures
Keywords: ارزش در معرض خطر (VaR); 60E15; 62P05; Optimal reinsurance; Value-at-risk (VaR); Conditional tail expectation (CTE); Increasing concave function; Quota-share reinsurance; Full reinsurance; Expectation premium principle;
GFC-robust risk management strategies under the Basel Accord
Keywords: ارزش در معرض خطر (VaR); G32; G11; G17; C53; C22; Value-at-Risk (VaR); Daily capital charges; Robust strategy; Basel II Accord; Global financial crisis;
The value of Value-at-Risk: A theoretical approach to the pricing and performance of risk measurement systems
Keywords: ارزش در معرض خطر (VaR); G21; G28Basel accord; Capital adequacy; Risk measurement; Value-at-Risk (VaR); Queuing theory; Erlang formula; Financial institution regulation
Activity-based divergent supply chain planning for competitive advantage in the risky global environment: A DEMATEL-ANP fuzzy goal programming approach
Keywords: ارزش در معرض خطر (VaR); Divergent supply chain (DSC) planning; Activity-based costing and management; Five forces analysis; Value-at-risk (VaR); DEMATEL; Analytic network process (ANP); Fuzzy goal programming (FGP)
Time series analysis for financial market meltdowns
Keywords: ارزش در معرض خطر (VaR); C13; C16; C22; C65; G32; ARMA-GARCH model; α-stable distribution; Tempered stable distribution; Value-at-risk (VaR); Average value-at-risk (AVaR);
Loan pricing under Basel II in an imperfectly competitive banking market
Keywords: ارزش در معرض خطر (VaR); G21; G18; Basel II; Minimum capital requirements; Internal rating based (IRB) approach; Standardized approach; Probabilities of default (PD); Loss given default (LGD); Value-at-Risk (VaR); Unexpected loss (UL); Exposure at default (EAD); Retail customers;
Predicting tail-related risk measures: The consequences of using GARCH filters for non-GARCH data
Keywords: ارزش در معرض خطر (VaR); G12; C32Extreme value theory; Value-at-Risk (VaR); Expected shortfall; GARCH; Markov switching; Jump diffusion; Backtesting
Optimal reinsurance under VaR and CTE risk measures
Keywords: ارزش در معرض خطر (VaR); C02; C61; IM52; IE10; IB90; Value-at-risk (VaR); Conditional tail expectation (CTE); Ceded loss; Retained loss; Increasing convex function; Expectation premium principle; Stop-loss reinsurance; Quota-share reinsurance; Change-loss reinsurance;
Do banks overstate their Value-at-Risk?
Keywords: ارزش در معرض خطر (VaR); G21; G28; G32; Value-at-Risk (VaR); Capital requirement; Backtesting;
Estimating 'Value at Risk' of crude oil price and its spillover effect using the GED-GARCH approach
Keywords: ارزش در معرض خطر (VaR); International crude oil markets; GED-GARCH models; Value-at-Risk (VaR); Granger causality in risk; Risk spillover effect;
Optimal investment for insurers when the stock price follows an exponential Lévy process
Keywords: ارزش در معرض خطر (VaR); primary; 60G51; 62P05; secondary; 91B28; 91B30; Discounted net loss process; Exponential Lévy process; Reserve process; Integrated risk management; Optimal portfolio; Pareto tail approximation; Value-at-Risk (VaR);