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VALUE-AT-RISK: 作品数：56被引量：119H指数：7; 导出分析报告; 相关领域：经济管理更多>>; 相关作者：郭海燕李纲杨辉耀汪寿阳陈学华更多>>; 相关机构：广州大学中国科学院数学与系统科学研究院华中科技大学西安交通大学更多>>; 相关期刊：更多>>; 相关基金：国家自然科学基金广东省自然科学基金上海市教育发展基金会“曙光计划”项目国家社会科学基金更多>>

An evaluation of the adequacy of Lévy and extreme value tail risk estimates: 《Financial Innovation》2024年第1期1405-1430,共26页Sharif Mozumder M.Kabir Hassan M.Humayun Kabir; This study investigates the simplicity and adequacy of tail-based risk measures—value-at-risk(VaR)and expected shortfall(ES)—when applied to tail targeting of the extreme value(EV)model.We implement Lévy-VaR and ES...; 关键词：Lévy-Kintchine-formula VALUE-AT-RISK Expected shortfall Generalized extremevalue

Uncertainty Comparison Between Value-at-Risk and Expected Shortfall: 《Communications in Mathematical Research》2024年第1期102-124,共23页Qing Liu Weimin Liu Liang Peng Gengsheng Qin; Value-at-Risk(VaR)and expected shortfall(ES)are two key risk measures in financial risk management.Comparing these two measures has been a hot debate,and most discussions focus on risk measure properties.This paper us...; 关键词：Α-MIXING asymptotic variance expected shortfall VALUE-AT-RISK

The distribution of COVID-19 mortality: 《Infectious Disease Modelling》2022年第4期856-873,共18页Michele Campolieti Arturo Ramos; supported by the Spanish Ministerio de Ciencia e Innovaciòn(PID 2020-112773 GB-I00);by Gobierno de Aragòn(ADETRE Reference GroupS39_20R).; We estimate the distribution of COVID-19 mortality(measured as daily deaths)from the start of the pandemic until July 31st,2022,for six European countries and the USA.We use the Pareto,the stretched exponential,the lo...; 关键词：COVID-19 Mortality distribution PARETO Stretched exponential Log-normal and log-logistic distributions Mixture distributions Value-at-Risk measures Tail risks

A multicountry comparison of cryptocurrency vs gold: Portfolio optimization through generalized simulated annealing: 《Blockchain(Research and Applications)》2022年第3期23-35,共13页Ankit Som Parthajit Kayal; The authors received no financial support for the research,authorship,and/or publication of this article.; The last few years have seen a paradigm shift in the financial sector with the development of cryptocurrencies as an alternative mode of payment as well as an investment scheme.The aim of this study is two-fold.The fi...; 关键词：Cryptocurrency GOLD VALUE-AT-RISK Portfolio optimization Generalized simulated annealing

An average-value-at-risk criterion for Markov decision processes with unbounded costs: 《Frontiers of Mathematics in China》2022年第4期673-687,共15页Qiuli LIU Wai-Ki CHING Junyu ZHANG Hongchu WANG; supported by the National Natural Science Foundation of China(Grant Nos.61673019,11931018);the Natural Science Foundation of Guangdong Province(Grant Nos.2018A030313738,2021A1515010057);Guangdong Province Key Laboratory of Computational Science at the Sun Yat-sen University(2020B1212060032);IMR and RAE Research Fund,Faculty of Science,HKU.; We study the Markov decision processes under the average-value-at-risk criterion.The state space and the action space are Borel spaces,the costs are admitted to be unbounded from above,and the discount factors are sta...; 关键词：Markov decision processes average-value-at-risk(AVaR) state-action dependent discount factors optimal policy

王氏保费准则下基于保险人与再保险人双方视角下停止–损失再保险的最优自留额研究: 《统计学与应用》2022年第2期323-335,共13页李匡亚李美平; 这篇文章针对保险精算中停止–损失再保险模型,基于王氏保费准则的基础上,将原保险公司与再保险公司双方面临的风险结合起来考虑,以某种风险度量准则为一定的目标,通过数学工具最小化这一目标,讨论并得出相应的最优解。求解之后,假设保...; 关键词：VaR (Value-at-Risk) 王氏保费准则停止–损失再保险自留额凸风险组合

A Value-at-Risk Based Approach for PMU Placement in Distribution Systems: 《Energy Engineering》2022年第2期781-800,共20页Min Liu; The author Min Liu received the grant of the National Natural Science Foundation of China(http://www.nsfc.gov.cn/)(51967004).; With the application of phasor measurement units(PMU)in the distribution system,it is expected that the performance of the distribution system state estimation can be improved obviously with the PMU measurements into ...; 关键词：Distribution system state estimation(DSSE) efficient frontier meter placement phasor measurement units(PMU) value at risk(VaR) weighted least square(WLS)

A note on calculating expected shortfall for discrete time stochastic volatility models: 《Financial Innovation》2021年第1期926-941,共16页Michael Grabchak Eliana Christou; In this paper we consider the problem of estimating expected shortfall(ES)for discrete time stochastic volatility(SV)models.Specifically,we develop Monte Carlo methods to evaluate ES for a variety of commonly used SV ...; 关键词：Expected shortfall Stochastic volatility VALUE-AT-RISK

A Worst-Case Risk Measure by G-VaR被引量：2: 《Acta Mathematicae Applicatae Sinica》2021年第2期421-440,共20页Zi-ting PEI Xi-shun WANG Yu-hong XU Xing-ye YUE; supported by Natural Science Foundation of China and Jiangsu Province(No.11871050,No.11971342,No.11401414,No.BK20140299,No.14KJB110022)。; G-VaR,which is a type of worst-case value-at-risk(VaR),is defined as measuring risk incorporating model uncertainty.Compared with most extant notions of worst-case VaR,G-VaR can be computed using an explicit formula,a...; 关键词：risk measurement worst-case value-at-risk portfolio management G-EXPECTATION

On the volatility of daily stock returns of Total Nigeria Plc: evidence from GARCH models, value-at-risk and backtesting被引量：3: 《Financial Innovation》2020年第1期347-371,共25页Ngozi G.Emenogu Monday Osagie Adenomon Nwaze Obini Nweze; This study investigates the volatility in daily stock returns for Total Nigeria Plc using nine variants of GARCH models:sGARCH,girGARCH,eGARCH,iGARCH,aGARCH,TGARCH,NGARCH,NAGARCH,and AVGARCH along with value at risk e...; 关键词：VOLATILITY Returns Stocks Total petroleum Akaike information criterion(AIC) GARCH Value-at-risk(VaR) BACKTESTING

VALUE-AT-RISK