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Assessing financial stability in turbulent times : a study of generalized autoregressive conditional heteroskedasticity-type Value-at-Risk model performance in Thailand's transport...
Danai Likitratcharoen; Lucksuda Suwannamalik - In: Risks : open access journal 12 (2024) 3, pp. 1-19
The Value-at-Risk (VaR) metric serves as a pivotal tool for quantifying market risk, offering an estimation of … of VaR approaches. This study critically evaluates the efficacy of GARCH-type VaR models within the transportation sector … the Transportation Sector index (TRANS), the Service Industry index (SERVICE), and 17 pertinent stocks within the Stock …
Persistent link: https://www.econbiz.de/10014497424
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Measuring risk of portfolio : GARCH-copula model
Messaoud, Samia Ben; Aloui, Chaker - In: Journal of economic integration 30 (2015) 1, pp. 172-205
Persistent link: https://www.econbiz.de/10011406924
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Risk-based loan pricing : portfolio optimization approach with marginal risk contribution
Chun, So Yeon; Lejeune, Miguel A. - In: Management science : journal of the Institute for … 66 (2020) 8, pp. 3735-3753
Persistent link: https://www.econbiz.de/10012289204
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Risks from investing in open-ended mutual funds : impact of net asset value
Zebrowska-Suchodolska, Dorota - In: Montenegrin journal of economics 19 (2023) 4, pp. 19-29
Persistent link: https://www.econbiz.de/10014427890
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Hedging Conditional Value at Risk with options
Capiński, Maciej - In: European journal of operational research : EJOR 242 (2015) 2, pp. 688-691
Persistent link: https://www.econbiz.de/10010491633
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Optimal allocation of retirement portfolios
Maritato, Kevin; Lane, Morton; Murphy, Matthew; … - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-17
with risk measured by CVaR and additional sophisticated constraints. The cash outflow shortages are penalized in the …
Persistent link: https://www.econbiz.de/10013206042
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Supply chain network design optimization with risk-averse retailer
Golpîra, Hêriş - In: International journal of information systems and supply … 10 (2017) 1, pp. 16-28
Persistent link: https://www.econbiz.de/10011655509
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Analysis of stock markets risk spillover with copula models under the background of Chinese financial opening
Du, Jiangze; Chen, Xizhuo; Gong, Jincheng; Lin, Xiao; … - In: International journal of finance & economics : IJFE 28 (2023) 4, pp. 3997-4019
Persistent link: https://www.econbiz.de/10014429264
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A robust bi-objective uncertain green supply chain network management
Golpîra, Hêriş - In: Serbian journal of management : an international … 11 (2016) 2, pp. 211-222
minimizes the cost of the supply chain while the second objective function minimizes CO2 emission. Conditional Value at Risk …
Persistent link: https://www.econbiz.de/10011637189
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Finanzplanbasierte Messung und Steuerung des Liquiditätsrisikos
Bonn, Rainer - 2006
Persistent link: https://www.econbiz.de/10003323143