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Market risk analysis of energy in vietnam
Ngoc Phu Tran; Thang Cong Nguyen; Duc Hong Vo; McAleer, … - In: Risks : open access journal 7 (2019) 4/112, pp. 1-13
the empirical analysis is on the energy sector, which has been designated as one of the four key industries, together with … and gas industry is a separate energy-related major industry, and it is evaluated separately from energy. The data set is … empirical analysis, namely Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR). The empirical findings indicate that Energy …
Persistent link: https://www.econbiz.de/10012127865
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Imbalance market real options and the valuation of storage in future energy systems
Moriarty, John; Palczewski, Jan - In: Risks : open access journal 7 (2019) 2/39, pp. 1-30
paper, we assess the real option value of an arrangement under which an autonomous energy-limited storage unit sells …, where a single incremental balancing reserve action is sold at each exercise. The power used is bought in an energy …
Persistent link: https://www.econbiz.de/10012019299
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Commodity market risk : examining price co-movements in the Pakistan mercantile exchange
Shear, Falik; Bilal, Muhammad; Ashraf, Badar Nadeem; … - In: Risks : open access journal 12 (2024) 6, pp. 1-15
-movements within three key sectors-energy, metals, and agriculture-in the specific context of Pakistan. Utilizing data from 13 January …
Persistent link: https://www.econbiz.de/10014636838
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Money as insurance
Laurila, Hannu - In: Risks : open access journal 10 (2022) 12, pp. 1-13
cost of market deposits and increasing the cost of using cash as insurance against external uncertainty. …
Persistent link: https://www.econbiz.de/10014230960
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Influence of financial variables on the development of rural communes of Eastern Poland in 2009-2018
Pawlik, Andrzej; Dziekański, Paweł; Przybytniowski, … - In: Risks : open access journal 9 (2021) 8, pp. 1-22
Communes are a place of both economic activity and creation development. They have autonomy in making decisions in the fields of financial, human, and material resources. This research was carried out with the use of a synthetic measure. The aim was to show the impact of financial variables on...
Persistent link: https://www.econbiz.de/10012612388
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Custom v. standardized risk models
Kakushadze, Zura; Liew, Jim Kyung-Soo - In: Risks : open access journal 3 (2015) 2, pp. 112-138
We discuss when and why custom multi-factor risk models are warranted and give source code for computing some risk factors. Pension/mutual funds do not require customization but standardization. However, using standardized risk models in quant trading with much shorter holding horizons is...
Persistent link: https://www.econbiz.de/10011299524
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Best-estimates in bond markets with reinvestment risk
MacKay, Anne; Wüthrich, Mario V. - In: Risks : open access journal 3 (2015) 3, pp. 250-276
The concept of best-estimate, prescribed by regulators to value insurance liabilities for accounting and solvency purposes, has recently been discussed extensively in the industry and related academic literature. To differentiate hedgeable and non-hedgeable risks in a general case, recent...
Persistent link: https://www.econbiz.de/10011300314
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Surrounding risks
Steffensen, Mogens - In: Risks : open access journal 1 (2013) 1, pp. 43-44
incidentally and mercilessly, but the uncertainty of economic consequences can be more or less cleverly distributed by the …
Persistent link: https://www.econbiz.de/10009754658
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Evaluating risk measures and capital allocations based on multi-losses driven by a heavy-tailed background risk : the multivariate Pareto-II model
Asimit, Alexandru V.; Vernic, Raluca; Zitikis, Riċardas - In: Risks : open access journal 1 (2013) 1, pp. 14-33
Evaluating risk measures, premiums, and capital allocation based on dependent multi-losses is a notoriously difficult task. In this paper, we demonstrate how this can be successfully accomplished when losses follow the multivariate Pareto distribution of the second kind, which is an attractive...
Persistent link: https://www.econbiz.de/10009754682
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Optimal deterministic investment strategies for insurers
Bäuerle, Nicole; Rieder, Ulrich - In: Risks : open access journal 1 (2013) 3, pp. 101-118
We consider an insurance company whose risk reserve is given by a Brownian motion with drift and which is able to invest the money into a Black–Scholes financial market. As optimization criteria, we treat mean-variance problems, problems with other risk measures, exponential utility and the...
Persistent link: https://www.econbiz.de/10010199019