Search Results - subject:"cvar"

The new international regulation of market risk: roles of VaR and CVaR in model validation

Hassani, Samir Saissi; Dionne, Georges - 2021

Persistent link: https://www.econbiz.de/10012545817

Quantile-based optimal portfolio selection

Bodnar, Taras; Lindholm, Mathias; Thorsén, Erik; … - In: Computational management science 18 (2021) 3, pp. 299-324

Persistent link: https://www.econbiz.de/10012615134

Word portfolio optimization in the environment of zero interest rate

Demcenko, Darja - In: Mokslo darbai / Vilniaus Universitetas 100 (2021) 1, pp. 156-174

presented. Furthermore, a risk analysis of created portfolios is evaluated in terms of historical VaR and CVaR applying …

Persistent link: https://www.econbiz.de/10012887928

The new international regulation of market risk : roles of VaR and CVaR in model validation

Hassani, Samir Saissi; Dionne, Georges - 2021

Persistent link: https://www.econbiz.de/10012423037

CVaR regression based on the relation between CVaR and mixed-quantile quadrangles

Golodnikov, Alex; Kuzmenko, Viktor; Uryasev, Stan - In: Journal of risk and financial management : JRFM 12 (2019) 3/107, pp. 1-22

A popular risk measure, conditional value-at-risk (CVaR), is called expected shortfall (ES) in financial applications …. The research presented involved developing algorithms for the implementation of linear regression for estimating CVaR as a … function of some factors. Such regression is called CVaR (superquantile) regression. The main statement of this paper is: CVaR …

Persistent link: https://www.econbiz.de/10012025262

Quantifying systemic risk in Morocco's banking system using Euler indicators and extreme dependence

Said, Khalil; El Qalli, Yassine; Fadlallah, Abdellali - In: Cogent business & management 10 (2023) 3, pp. 1-19

This article contributes to the quantification of systemic risk within the Moroccan banking system, focusing on listed banks. We utilize indicators derived from Tail Value at Risk and expectiles risk measures, as introduced by El qalli and Said (2013) (El Qalli & Said, 2023), to measure the...

Persistent link: https://www.econbiz.de/10014505870

Constant correlation model for optimal portfolio formation and expected shortfall risk measurement4Dempirical evidence from Indonesian Stock Marke

Devita, Febrina; Wilandari, Yuciana; Maruddani, Di Asih I - In: Financial studies 27 (2023) 3, pp. 25-39

Stock investment is one option of investment choice with risks. Investors can reduce their risk by combining several stocks and then forming a portfolio. One method to form an optimal portfolio is by using the Constant Correlation Model (CCM) method. The CCM method focuses on the correlation...

Persistent link: https://www.econbiz.de/10014506648

Portfolio optimization using cellwise robust association measures and clustering methods with application to highly volatile markets

Menvouta, Emmanuel Jordy; Serneels, Sven; Verdonck, Tim - In: The Journal of finance and data science : JFDS 9 (2023), pp. 1-13

This paper introduces the minCluster portfolio, which is a portfolio optimization method combining the optimization of downside risk measures, hierarchical clustering and cellwise robustness. Using cellwise robust association measures, the minCluster portfolio is able to retrieve the underlying...

Persistent link: https://www.econbiz.de/10014514018

The impact of correlation on (Range) Value-at-Risk

Bernard, Carole; De Vecchi, Corrado; Vanduffel, Steven - In: Scandinavian actuarial journal 2023 (2023) 6, pp. 531-564

Persistent link: https://www.econbiz.de/10014383858

Some optimisation problems in insurance with a terminal distribution constraint

Colaneri, Katia; Eisenberg, Julia; Salterini, Benedetta - In: Scandinavian actuarial journal 2023 (2023) 7, pp. 655-678

Persistent link: https://www.econbiz.de/10014383890