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Risk implications of dependence in the commodities : a copula-based analysis

Jain, Prachi; Maitra, Debasish - In: Global finance journal 57 (2023), pp. 1-22

Persistent link: https://www.econbiz.de/10014479135

The supervisor's portfolio: the market price risk of German banks from 2001 to 2003 - Analysis and models for risk aggregation

Memmel, Christoph; Wehn, Carsten - Deutsche Bundesbank - 2005

The Value at Risk of a portfolio differs from the sum of the Values at Risk of the portfolio's components. In this … paper, we analyze the problem of how a single economic risk figure for the Value at Risk of a hypothetical portfolio … portfolio. We assume a reduced-form model and neglect the effects of a potential bankruptcy of one of the banks. We analyze …

Persistent link: https://www.econbiz.de/10005059004

Computing Skills in the Market Risk Management in the G-Sec Portfolio by the Banks in India

Das, Rituparna - Volkswirtschaftliche Fakultät, … - 2009

Market Risk Management Process in India is in an evolving process since the Banks in India are still in an early stage of development in the sense that they are lacking statistical database, equipped MIS and adequate supply of trained personnel. Many a good number of banks are suffering from...

Persistent link: https://www.econbiz.de/10005619936

ESTIMATION OF PORTFOLIO RETURN AND VALUE AT RISK USING A CLASS OF GAUSSIAN MIXTURE DISTRIBUTIONS

Tan, Kangrong; Chu, Meifen - In: The International Journal of Business and Finance Research 6 (2012) 1, pp. 97-107

This paper deals with the estimation of portfolio returns and Value at Risk (VaR), by using a class of Gaussian mixture … portfolio, and to evaluate the VaR. We demonstrate the model theoretically and provide some applications. …

Persistent link: https://www.econbiz.de/10011206126

Tail risk intersection between tech-tokens and tech-stocks

Abdullah, Mohammad; Sarker, Provash Kumer; Abakah, … - In: Global finance journal 61 (2024), pp. 1-27

Persistent link: https://www.econbiz.de/10014635967

A NEW NOTION OF POSSIBILISTIC COVARIANCE

GEORGESCU, IRINA; KINNUNEN, JANI - In: New Mathematics and Natural Computation (NMNC) 09 (2013) 01, pp. 1-11

Possibilistic indicators of fuzzy numbers (expected value, variance, and covariance) are an efficient instrument in the modeling of uncertainty phenomena. Various models of uncertainty phenomena have led to several notions of variance and covariance. In particular, the possibilistic models of...

Persistent link: https://www.econbiz.de/10010661015

PSK Method for Solving Type-1 and Type-3 Fuzzy Transportation Problems

Kumar, P. Senthil - In: International Journal of Fuzzy System Applications (IJFSA) 5 (2016) 4, pp. 121-146

In conventional transportation problem (TP), supplies, demands and costs are always certain. In this paper, the author tried to categories the TP under the mixture of certain and uncertain environment and formulates the problem and utilizes the crisp numbers, triangular fuzzy numbers (TFNs) and...

Persistent link: https://www.econbiz.de/10012044815

A Valid Scheme to Evaluate Fuzzy Definite Integrals by Applying the CADNA Library

Araghi, Mohammad Ali Fariborzi; Noeiaghdam, Samad - In: International Journal of Fuzzy System Applications (IJFSA) 6 (2017) 4, pp. 1-20

The aim of this paper is to estimate the value of a fuzzy integral and to find the optimal step size and nodes via the stochastic arithmetic. For this purpose, the fuzzy Romberg integration rule is considered as an integration rule, then the CESTAC (Controle et Estimation Stochastique des...

Persistent link: https://www.econbiz.de/10012044837

Fuzzy approach for group decision-making in crisis situations

Škoda, Michal; Flegl, Martin; Lozano, Carmen - In: Business: Theory and Practice 22 (2021) 1, pp. 180-189

The importance of correct and clear decisions during a complex and difficult situation is very easy to understand, but not so easy to achieve. Especially in situations where decision-makers must decide under time pressure and uncertainty. For instance, typical crisis situations have such...

Persistent link: https://www.econbiz.de/10012703670

Strategic analysis of forest investments using real option : the fuzzy pay-off model (FPOM)

Milanesi, Gastón S.; Broz, Diego; Tohmé, Fernando; … - In: Fuzzy economic review : the review of the International … 19 (2014) 1, pp. 33-44

Persistent link: https://www.econbiz.de/10010514102