In this paper we propose a generalization to the popular RiskMetrics approach to Value-at-Risk. In order to model scale-consistent Value-at-Risk (VaR), we propose a model with a time varying scale parameter and error terms that are truncated Lévy distributed. Lévy flights include a method...
Cite this chapter Gerunov, A. (2023). Standard Risk Metrics. In: Risk Analysis for the Digital Age. Studies in Systems, Decision and Control, vol 219. Springer, Cham. https://doi.org/10.1007/978-3-031-18100-9_2 Download citation .RIS .ENW .BIB DOIhttps://doi.org/10.1007/978-3-03...
Investors, traders, and analysts use a variety of technical and fundamentalmetricsto estimate the likelihood that an investment's value will decline, including historical performance andstandard deviationcalculations. Investors oftencompare the potential risks associated with a particular investment to possible...
Finally, in the risk management of derivatives, we applied the risk of financial market metrics var conduct an empirical study of West Germany Fox of the New York Mercantile Exchange, light sweet crude futures data on the method of calculating the oil market var garch based on normal distributio...
465 Accesses 8 Altmetric Explore all metrics Abstract When you are indifferent between two options, it’s rationally permissible to take either. One way to decide between two such options is to flip a fair coin, taking one option if it lands heads and the other if it lands tails. Is it ...
7247 Accesses 5 Citations 13 Altmetric Metrics details Abstract Various polygenic risk scores (PRS) methods have been proposed to combine the estimated effects of single nucleotide polymorphisms (SNPs) to predict genetic risks for common diseases, using data collected from genome-wide association studies...
Decision makers (DMs) who are involved in urban planning are often required to allocate finite resources (say, money) to improve outdoor thermal comfort (OTC) levels in a region (e.g., city, canton, country). In this paper, for the first time, we address
Range value at risk (RVaR) is a quantile-based risk measure with two parameters. As special examples, the value at risk (VaR) and the expected shortfall (ES), two well-known but competing regulatory risk measures, are both members of the RVaR family. The estimation of RVaR is a critic...
There are plenty of financial metrics investors can use to help them on their journey. EAR, VAR, and EVE are three that will provide an investor with different angles on valuation that can help in decision-making.
CreditMetrics and Its Use for the Calculation of Credit Risk, 2nd International Conference on Economics and Social Science (ICESS 2014) Information Engineering Research Institute, Advances in Education Research, 61 (2014), pp. 124-129 Google Scholar Šaárová, 2010 M. Šaárová Řízení úv...