-functional climate risk management tools in forecasting, catastrophe modeling, pricing and hedging is thus crucial. By using … dynamic market-consensus hurricane forecasting model. Our model can forecast when and how a hurricane will make landfall, and …

) approach to evaluating the hedging effectiveness of clean energy stocks. The out-of-sample forecast evaluations of the oil risk …-based and climate risk-based clean energy predictive models are explored using Clark and West's model (2007) and a modified … Diebold & Mariano forecast evaluation test for nested and non-nested models, respectively. Findings - The study finds ample …

returns without ruling out normality. This contribution illustrates their usefulness in predicting the downside risk of …

forecasting methods, short and long term risk is thus in this paper forecast. Finally, it shows using daily data, that "risk and …The paper deals with maritime risk, which we consider important, no doubt, for ship-owners acting in volatile markets …. Traditionally, risk is measured by "standard deviation". Other risk measures like "excess kurtosis", "excess skewness", "long …

loss risk. This study uses geometric Brownian motion (GBM) and Value at Risk (VaR; with the Monte Carlo Simulation approach …) on the daily closing price of JKII from 1 August 2020-13 August 2021 to predict the price and loss risk of JKII at 16 … 2.03%. Then, using VaR with a Monte Carlo Simulation approach, the loss risk prediction for 16 August 2021 (one …

This paper demonstrates that existing quantile regression models used for forecasting Value-at-Risk (VaR) and expected … open-faced sandwich (OFS) method is proposed which improves uncertainty quantification in risk forecasts. Simulation and … empirical results highlight the improvements in risk forecasts ensuing from the proposed methods …

Risk estimation or volatility estimation at financial markets, particularly stock exchange markets, is complex issue of … pricing of stocks and better risk management. The aim of this research is to test applicability of simple models like Simple … Moving Average (SMA) and Exponentially Weighted Moving Average (EWMA) to estimate risk. The performance of SMA and EWMA with …

Risk parity methods focused on volatility have gained traction in the last decade. A few extensions have been proposed …, including tail risk parity. The authors show that, at its limits, tail risk parity converges towards the risk parity portfolio … or the tangency portfolio. The authors also introduce a new risk parity measure called ‘outcome risk parity’ which allows …