Estimation of value-at-risk for exchange risk via kernel based nonlinear ensembled multi scale model. In: Sun, F and Zhang, J and Tan, Y and Cao, J (Ed.), Advances in Neural Networks -- ISNN...
With the growing importance of risk control, value at risk becomes increasingly used to measure risk on a specific portfolio on markets over certain period of time. As the emerging market development is noticeable, developing countries in Southeast Asia
Versions Notes Abstract Recently, the introduction of Environmental, Social, and Governance (ESG) scores has become crucial for investment decisions and in minimizing portfolio risk. This study aims to understand the relationship between ESG scores and Value-at-Risk (VaR), computed by using a Vine...
In this chapter, we explore the portfolio selection problem involving uncertainty, in other words: risk. To deal with this uncertainty, we will utilize Value at Risk (VaR) and Conditional Value at Risk (CVaR). Moreover, we present a Robust Optimization m
For a multi-loss function, at a given confidence level, the concepts of the loss value not exceeding a given minimum value at risk(Va R) and the corresponding cumulative expected loss value(i.e., the CVa R loss value) with the corresponding weight value level are introduced first. Then,...
This chapter explains and measures this risk, and also examines its repercussions. All risks, regardless of their nature, lead to fluctuations in the value of a financial security. Therefore, investors use... P Vernimmen,YL Fur,M Dallochio,... - John Wiley & Sons, Inc. 被引量: 0发表:...
The whole point is they will try to get better at it and create value by leveraging JD’s massive distribution platforms. To reiterate in my original JD paper posted several weeks ago, JD Finance’s management team is prioritizing risk management over speculative lending growth. As GMV grows,...
Value at Risk (VaR). VaR quantifies the maximal amount that may be lost in a portfolio over a given period of time, at a certain confidence level. Statistically speaking, the VaR of a portfolio is the quantile of the distribution of that portfolio’s loss over a specified time interval,...
Distribution of Supply Chain Risk Based on Cooperative Games It is shown that the Shapley value of risk distribution under different conditions have different scopes of application. Finally, two methods are put ... X Ji,C Wei,P Chen,... 被引量: 0发表: 0年 Findings from Indian Institute of...
Modelling Asymmetric Dependence Using Copula Functions: An application to Value-at-Risk in the Energy Sector In this paper I have used copula functions to forecast the Value-at-Risk (VaR) of an equally weighted portfolio comprising a small cap stock index and a la... A Bastianin - 《Social...