Keywords: ارزش در معرض خطر; C01; C58; C22; E44Extreme value theory; Value at Risk; Subprime crisis; German stock market
مقالات ISI ارزش در معرض خطر (ترجمه نشده)
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Keywords: ارزش در معرض خطر; Value at risk; Euro-zone equity markets; Augmented portfolios; Subperiods; G11;
Keywords: ارزش در معرض خطر; Uncertainty quantification; Non-intrusive; Worst-case analysis; Value at Risk; Parallelism; Robust design
Keywords: ارزش در معرض خطر; C10; G22; G32; Value at risk; Tail value at risk; Beta distribution; Heavy-tailed; Multivariate loss models;
Keywords: ارزش در معرض خطر; C15; G21; G24; G28; H81; Credit risk; Loss distribution; Value at risk; Expected tail loss; Stochastic processes;
Keywords: ارزش در معرض خطر; Operational risk; Hedging; Options; Option pricing; Risk management; Risk measures; Value at Risk; Half normal distribution; Quantile; Operational Value at Risk;
Keywords: ارزش در معرض خطر; Risk management; Value at Risk; Market efficiency; Eurozone financial crisis; Pair Copula Construction;
Keywords: ارزش در معرض خطر; Conditional value at risk; Value at risk; Layer reinsurance; Wang's premium principle; Dutch premium principle;
Keywords: ارزش در معرض خطر; C22; G15; G32; Q47; Extreme value theory; Energy market risk; Energy forecasting; Value at Risk; Marked self-exciting point process;
Keywords: ارزش در معرض خطر; Ruin probability; Heavy-tailed claim sizes; Error bounds; Tail asymptotics; Relative errors; Value at risk;
Keywords: ارزش در معرض خطر; C22; C58; F30; Extreme value theory; Autoregressive conditional duration; Value at risk; Self-exciting point process; Conditional intensity;
Keywords: ارزش در معرض خطر; Value at Risk; Multifractality; Binomial multifractal model; Multifractal model of asset return; Financial time series
Measuring the risk-adjusted performance of CO2 emission markets: Evidence from SENDECO2
Keywords: ارزش در معرض خطر; CO2 allowances; Risk-adjusted performance indicators; Value at risk; Sharpe-VaR ratio; Monte Carlo simulation; SENDECO2;
Solvency II, or how to sweep the downside risk under the carpet
Keywords: ارزش در معرض خطر; Solvency II; Group risk; Corporate networks; Risk sharing; Distortion risk measures; Value at risk; Range value at risk;
Optimal investment under VaR-Regulation and Minimum Insurance
Keywords: ارزش در معرض خطر; C61; G11; G18; G31; Value at Risk; Optimal portfolio; Portfolio insurance; Risk management; Solvency II regulation;
Analyzing time-frequency co-movements across gold and oil prices with BRICS stock markets: A VaR based on wavelet approach
Keywords: ارزش در معرض خطر; BRICS; Commodity prices; Co-movement; Wavelet; Value at risk; G14; G15;
Portfolio performance evaluation in Mean-CVaR framework: A comparison with non-parametric methods value at risk in Mean-VaR analysis
Keywords: ارزش در معرض خطر; Portfolio; Data Envelopment Analysis; Negative data; Value at risk; Conditional value at risk; Efficiency;
Medición del valor en riesgo de portafolios de renta fija usando modelos multifactoriales dinámicos de tasas de interés
Keywords: ارزش در معرض خطر; Tasas de interés; Modelos dinámicos; Valor en riesgo; Portafolios de renta fija; Interest rates; Dynamic models; Value at risk; Fixed income portfolios; Taxas de juros; Modelos dinâmicos; Valor em risco; Carteiras de renda fixa; G1; E4; C5; G1; E4; C5;
Design of procedures for rare, new or complex processes: Part 2 - Comparative risk assessment and CEA of the case study
Keywords: ارزش در معرض خطر; BBN; Bayesian Belief Network; CEA; cost effectiveness analysis; GDP; Gross Domestic Product; IDDA; Integrated Dynamic Decision Analysis; LPG; Liquefied Petroleum Gas; SPACCO; Solutore Probabilistico Accoppiato a Calcolo delle COnseguenze (Probabilistic So
Research papersStudy on optimization of the short-term operation of cascade hydropower stations by considering output error
Keywords: ارزش در معرض خطر; Cascade reservoirs; Reservoir optimal operation; Output error; Value at Risk; Genetic algorithm; Extreme value theory;
Fireworks algorithm for mean-VaR/CVaR models
Keywords: ارزش در معرض خطر; Fireworks algorithm; Portfolio optimization; Genetic algorithm; Value at risk;
Forecasting the VaR of crude oil market: Do alternative distributions help?
Keywords: ارزش در معرض خطر; C22; C53; GO1; G17; Q43; Q47; Crude oil market; Value at risk; Generalized asymmetric Student-t distribution;
Mean-univariate GARCH VaR portfolio optimization: Actual portfolio approach
Keywords: ارزش در معرض خطر; Portfolio optimization; Actual portfolios; Value at Risk; GARCH; NSGA-II;
Market risk forecasting for high dimensional portfolios via factor copulas with GAS dynamics
Keywords: ارزش در معرض خطر; Dynamic factor copula; GAS; Value at Risk; Expected Shortfall; Forecasting;
TENET: Tail-Event driven NETwork risk
Keywords: ارزش در معرض خطر; G01; G18; G32; G38; C21; C51; C63; Systemic risk; Systemic risk network; Generalized quantile; Quantile single-index regression; Value at risk; CoVaR; Lasso;
Systemic risk in European sovereign debt markets: A CoVaR-copula approach
Keywords: ارزش در معرض خطر; Value at risk; Conditional value at risk; Systemic risk; Copulas; Eurozone debt crisisC58; G01; G23; G32
Estimation of extreme value-at-risk: An EVT approach for quantile GARCH model
Keywords: ارزش در معرض خطر; C1; C5; C14; Extreme value theory; GARCH; Quantile regression; Semiparametric; Value at risk;
Mean–variance approximations to expected utility
Keywords: ارزش در معرض خطر; Mean–variance analysis; Expected utility; Geometric mean; Mean-absolute deviation; Semivariance; Value at risk
Fuzzy possibilistic portfolio selection model with VaR constraint and risk-free investment
Keywords: ارزش در معرض خطر; Fuzzy number; Value at risk; Possibilistic mean; Possibilistic variance; Portfolio;
Optimal reinsurance subject to Vajda condition
Keywords: ارزش در معرض خطر; Cost of capital; Conditional value at risk; Value at risk; Optimal reinsurance; Vajda condition;
Estimation of tail-related risk measures in the Indian stock market: An extreme value approach
Keywords: ارزش در معرض خطر; C15; G1Extreme value theory; Peak over threshold method; GARCH; Value at Risk; Expected shortfall
Forecasting volatility via stock return, range, trading volume and spillover effects: The case of Brazil
Keywords: ارزش در معرض خطر; Vector autoregression; Heterogeneous autoregressive models; Range; Volatility; Trading volume; Value at risk; Leverage effects
Stress testing correlation matrices for risk management
Keywords: ارزش در معرض خطر; Blocking; Optimization; Portfolio management; Value at Risk; Volatility
Measuring the capital charge for operational risk of a bank with the large deviation approach
Keywords: ارزش در معرض خطر; Operational risk; Negatively associated; Extended regular variation; Large deviation approach; Multivariate dependence; Value at risk;
On downside risk predictability through liquidity and trading activity: A dynamic quantile approach
Keywords: ارزش در معرض خطر; Value at risk; Liquidity; Trading activity; Non-linear quantile regression; CAViaR
Extreme market risk and extreme value theory
Keywords: ارزش در معرض خطر; Risk modelling; Value at risk; Expected shortfall; Extreme value theory; GARCH
A detailed comparison of value at risk estimates
Keywords: ارزش در معرض خطر; Value at risk; Parametric model; Extreme value theory model; GARCH model; Risk management
El efecto de la volatilidad del peso mexicano en los rendimientos y riesgo de la Bolsa Mexicana de Valores
Keywords: ارزش در معرض خطر; devaluaciones; crisis financieras; mercados financieros emergentes; medidas VaR; teoría de valores extremosdevaluations; financial crises; emerging financial markets; value at risk; extreme value theory
Gram-Charlier densities: Maximum likelihood versus the method of moments
Keywords: ارزش در معرض خطر; C13; C14; C58; G17; Semi-nonparametric method; Maximum likelihood; Method of moments; Financial returns density; Value at risk;
Risk optimal single-object auctions
Keywords: ارزش در معرض خطر; Auctions; Value at Risk; Risk-averse; Bayesian Nash equilibrium; Subastas; Valor en riesgo; Aversión al riesgo; Equilibrio bayesiano de Nash;
Ensemble forecasting of Value at Risk via Multi Resolution Analysis based methodology in metals markets
Keywords: ارزش در معرض خطر; Wavelet analysis; Multi Resolution Analysis; Nonlinear ensemble algorithm; Value at Risk; Neural network; Time series model
Optimal reinsurance under variance related premium principles
Keywords: ارزش در معرض خطر; Conditional value at risk; Value at risk; Layer reinsurance; Variance premium principle; Standard deviation premium principle;
Analytical calculation of risk measures for variable annuity guaranteed benefits
Keywords: ارزش در معرض خطر; Variable annuity guaranteed benefit; Asian option; Risk measures; Value at risk; Conditional tail expectation; Geometric Brownian motion; Integral of geometric Brownian motion; Hartman-Watson density; Modified Bessel functions;
A dynamical model for forecasting operational losses
Keywords: ارزش در معرض خطر; Operational Risk; Dynamical Systems; Value at Risk; Capital allocation;
Predicting extreme value at risk: Nonparametric quantile regression with refinements from extreme value theory
Keywords: ارزش در معرض خطر; Value at risk; Nonparametric quantile regression; Risk management; Extreme value statistical applications; Monotonization
Are quantile risk measures suitable for risk-transfer decisions?
Keywords: ارزش در معرض خطر; C00, C61; Subject categories: IM51, IM52; Insurance branch category: IB90; Coherent risk measures; Conditional tail expectation; Risk; Risk measures; Optimal reinsurance; Quantile risk measures; Truncated stop loss; Value at Risk;
Ranking the predictive performances of value-at-risk estimation methods
Keywords: ارزش در معرض خطر; Value at risk; Predictive ability test; EGARCH; CAViaR asymmetric
The strictest common relaxation of a family of risk measures
Keywords: ارزش در معرض خطر; D81; Nonconvex risk measures; Value at risk; Best-case operator;
Value-at-risk estimation of crude oil price using MCA based transient risk modeling approach
Keywords: ارزش در معرض خطر; C22; C53; G32; Q47; Value at Risk; Crude oil; Morphological Component Analysis;
Do ETFs provide effective international diversification?
Keywords: ارزش در معرض خطر; C16; G11; G15Bootstrap; Value at Risk; Efficient frontier; Exchange Traded Fund