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Longer titles found: Entropic value at risk (view), Tail value at risk (view)

searching for Value at risk 49 found (164 total)

Carbon tax (8,537 words) [view diff] no match in snippet view article find links to article

A carbon tax is a tax levied on the carbon emissions from producing goods and services. Carbon taxes are intended to make visible the hidden social costs

Exponential distribution (6,647 words) [view diff] exact match in snippet view article find links to article

as a consequence the interquartile range is ln(3)/λ. The conditional value at risk (CVaR) also known as the expected shortfall or superquantile for Exp(λ)

Dennis Weatherstone (342 words) [view diff] no match in snippet view article find links to article

whether it be a loan, advice or a securities offering. JPMorgan invented value-at-risk (VaR) as a tool for measuring exposure to trading losses. The tool emerged

Convex conjugate (2,012 words) [view diff] no match in snippet view article find links to article

In mathematics and mathematical optimization, the convex conjugate of a function is a generalization of the Legendre transformation which applies to non-convex

Markov switching multifractal (1,572 words) [view diff] no match in snippet view article find links to article

Extensions of MSM to multiple assets provide reliable estimates of the value-at-risk in a portfolio of securities. In financial economics, MSM has been used

John F. O. Bilson (379 words) [view diff] case mismatch in snippet view article find links to article

has presented various seminars, covering topics such as "Parsimonious Value at Risk for Fixed Income Portfolios," at the University of Venice, "The Non-Linear

Coastal development hazards (2,390 words) [view diff] exact match in snippet view article find links to article

vulnerability component of the equation increases as there is more value at risk to the hazard. The likelihood component of the equation also increases

XploRe (202 words) [view diff] exact match in snippet view article find links to article

Single index models Generalized linear and additive models (GLM and GAM) Value at risk (VaR) and implied volatilities With the XploRe Quantlet Client users

R. Tyrrell Rockafellar (2,040 words) [view diff] no match in snippet view article find links to article

mathematical properties of risk measures and coining the terms "conditional value-at-risk", in 2000 as well as "superquantile" and "buffered failure probability"

Rathbarry & Glenview Studs Hurdle (162 words) [view diff] case mismatch in snippet view article find links to article

Diamond Cauchois Let's Dance 2017 Renneti De Plotting Shed Tombstone 2016 Value At Risk Marchese Marconi Dedigout 2015 Dedigout Thousand Stars Analifet 2014

Leverage (finance) (2,390 words) [view diff] case mismatch in snippet view article

Financial Practitioners, Risk Books (December 2003) Saita, Francesco, Value at Risk and Bank Capital Management: Risk Adjusted Performances, Capital Management

Unimodality (2,043 words) [view diff] no match in snippet view article find links to article

Bernard, Carole; Kazzi, Rodrigue; Vanduffel, Steven (2020). "Range Value-at-Risk bounds for unimodal distributions under partial information". Insurance:

Deviation risk measure (558 words) [view diff] no match in snippet view article find links to article

) = sup X − inf X {\displaystyle D(X)=\sup X-\inf X} ; Conditional value-at-risk (CVaR) deviation, defined for any α ∈ ( 0 , 1 ) {\displaystyle \alpha

Global Association of Risk Professionals (1,224 words) [view diff] case mismatch in snippet view article find links to article

ISBN 9780415659741. Retrieved 16 October 2020. Philippe, Jorion (9 November 2006). Value at Risk: The New Benchmark for Managing Financial Risk (3rd ed.). McGraw Hill

Buffered probability of exceedance (483 words) [view diff] case mismatch in snippet view article find links to article

is equal to one minus the confidence level at which the Conditional Value at Risk (CVaR) is equal to x {\displaystyle x} . bPOE is similar to the probability

Classic Novices' Hurdle (176 words) [view diff] case mismatch in snippet view article find links to article

Rhythm 2016 Yanworth Shantou Village Champers on Ice 2015 Ordo Ab Chao Value at Risk Vago Collonges 2014 Red Sherlock Rathvinden Aubusson 2013 At Fishers

Cornish–Fisher expansion (751 words) [view diff] no match in snippet view article find links to article

Martin, Douglas; Arora, Rohit (2017). "Inefficiency and bias of modified value-at-risk and expected shortfall". Journal of Risk. 19 (6): 59–84. doi:10.21314/JOR

List of business and finance abbreviations (2,475 words) [view diff] case mismatch in snippet view article find links to article

UPI – Unified Payment Interface VAD – Value-Added Distributor VaR – Value at Risk VAR – Value-Added Reseller VAT – Value-Added Tax VC – Venture Capital

Options strategy (2,200 words) [view diff] exact match in snippet view article find links to article

side. The short strikes are the same. In terms of CVAR (conditional value at risk), Butterfly is a useful strategy for 0DTEs (same day expiration contracts)

Financial ratio (1,409 words) [view diff] case mismatch in snippet view article find links to article

capital (RAROC) ⁠Expected Return/Economic Capital⁠ ⁠Expected Return/Value at Risk⁠ Return on capital employed (ROCE) ⁠EBIT/Capital Employed⁠ This is similar

Maximo Torero (1,016 words) [view diff] no match in snippet view article find links to article

Feng Yao, and Maximo Torero. Nonparametric Estimation of Conditional Value-at-risk and Expected Shortfall Based on Extreme Value Theory. Econometric Theory

Süleyman Başak (406 words) [view diff] no match in snippet view article find links to article

dealing with financial economics, are Basak, S.; Shapiro, A. (2001). "Value-at-risk-based risk management: Optimal policies and asset prices". Review of

Scenario optimization (1,258 words) [view diff] case mismatch in snippet view article find links to article

can be applied to other risk-measures including CVaR – Conditional Value at Risk – so adding to the flexibility of its use. Fields of application include:

Champion INH Flat Race (360 words) [view diff] case mismatch in snippet view article find links to article

Bacardys 2015 Bellshill Disko Modus 2014 Shaneshill Silver Concorde Value At Risk 2013 The Liquidator Gilt Shadow Apache Stronghold 2012 Champagne Fever

Reinforcement learning (7,662 words) [view diff] exact match in snippet view article find links to article

a risk-measure of the return is optimized, such as the conditional value at risk (CVaR). In addition to mitigating risk, the CVaR objective increases

Ensemble forecasting (3,377 words) [view diff] exact match in snippet view article find links to article

predict the size of forecast changes, with application to weather swap value at risk". Atmospheric Science Letters. 4 (1–4): 15–27. doi:10.1016/S1530-261X(03)00003-3

David Heath (probabilist) (585 words) [view diff] exact match in snippet view article

Eber, and David Heath. "Coherent Measures of Risk1." Risk management: value at risk and beyond (2002): 145. Heath, David, and Martin Schweizer. "Martingales

Marine insurance (4,984 words) [view diff] exact match in snippet view article find links to article

the voluntary sacrifice. They share the expense in proportion to the 'value at risk" in the adventure. Particular average is the term applied to partial

Lisa Goldberg (1,102 words) [view diff] case mismatch in snippet view article find links to article

S2CID 219242393. Goldberg, Lisa R.; Miller, Guy; Weinstein, Jared (2008). "Beyond Value at Risk: Forecasting Portfolio Loss at Multiple Horizons". Journal of Investment

Cultural Property (Japan) (4,999 words) [view diff] exact match in snippet view article

of the law, only Intangible Cultural Properties of especially high value at risk of extinction had been protected. Even by international standards, the

Barış Tan (1,798 words) [view diff] case mismatch in snippet view article find links to article

also investigated the multi-product newsvendor problem while utilizing Value at Risk (VaR) as the risk measure in a newsvendor framework. Tan developed stochastic

Markus Brunnermeier (1,924 words) [view diff] exact match in snippet view article find links to article

one of the first systemic risk measures, the CoVaR, an alternative to value at risk which takes spillover and contagion effects between assets and industries

Laurent-Emmanuel Calvet (992 words) [view diff] no match in snippet view article find links to article

academics and financial practitioners to forecast volatility, compute value-at-risk, and price derivatives. This approach is summarized in the book “Multifractal

Algorithmic trading (10,562 words) [view diff] case mismatch in snippet view article find links to article

Dependence in Risk Management: Properties and Pitfalls." Risk Management: Value at Risk and Beyond, 176-223. [14] Peters, E. E. (1994). "Fractal Market Analysis:

Andrea Beltratti (1,097 words) [view diff] no match in snippet view article find links to article

2006, 131, 151-177 8 (with Claudio Morana); Statistical benefits of value-at-risk with long memory, in Journal of Risk, 2005, 7, 47-73 (with Claudio Morana);

András Prékopa (1,431 words) [view diff] exact match in snippet view article find links to article

1016/S0927-0507(03)10005-9. ISBN 9780444508546. Prékopa, András (2012). "Multivariate value at risk and related topics" (PDF). Annals of Operations Research. 1: 49–69.

Edgeworth series (3,006 words) [view diff] no match in snippet view article find links to article

Martin, Douglas; Arora, Rohit (2017). "Inefficiency and bias of modified value-at-risk and expected shortfall". Journal of Risk. 19 (6): 59–84. doi:10.21314/JOR

J. Doyne Farmer (3,436 words) [view diff] case mismatch in snippet view article find links to article

clustered volatility observed in financial markets. Similarly, the use of Value at Risk, as embodied in Basel II, can lead to a cycle in which leverage and

Risk aggregation (1,221 words) [view diff] exact match in snippet view article find links to article

expected values of cash flow and profit as well as the associated value at risk (VaR) can be derived as a realistic maximum loss that will not be exceeded

Chief risk officer (5,918 words) [view diff] no match in snippet view article find links to article

risk. Risk assessment and quantification processes are not integrated. Value-at-risk models are used to quantify the market risk and credit default models

Reint E. Gropp (944 words) [view diff] no match in snippet view article find links to article

Effects among Financial Institutions: A State-Dependent Sensitivity Value-at-Risk Approach, in: Journal of Financial and Quantitative Analysis 2014 (with

Info-gap decision theory (4,245 words) [view diff] exact match in snippet view article find links to article

Corrected Proof, Available online 28 March 2007. Ben-Haim, Yakov (2005). "Value at risk with Info-gap uncertainty". Journal of Risk Finance. 6 (5): 388–403

Streaming data (2,638 words) [view diff] no match in snippet view article find links to article

allows to track changes in the stock market in real time, computes value-at-risk, and automatically rebalances portfolios based on stock price movements

Pio Chapel (865 words) [view diff] exact match in snippet view article find links to article

Tonette (December 1, 2020). "Repairs put Pampanga chapel's heritage value at risk". INQUIRER.net. Retrieved February 18, 2023. Media related to Pio Chapel

Chris Brooks (academic) (3,184 words) [view diff] exact match in snippet view article

(2005) A comparison of extreme value theory approaches for determining value at risk. Journal of Empirical Finance, 12 (2). pp. 339–352. ISSN 0927-5398 doi:10

Cost-loss model (2,338 words) [view diff] exact match in snippet view article find links to article

predict the size of forecast changes, with application to weather swap value at risk". Atmospheric Sci. Lett. 4 (1–4): 15–27. doi:10.1016/S1530-261X(03)00003-3

Regulation S-K (5,679 words) [view diff] no match in snippet view article find links to article

fair values, or cash flows of market risk sensitive instruments; or Value-at-risk disclosures of the potential loss in future earnings, fair values, or

Deep backward stochastic differential equation method (4,113 words) [view diff] no match in snippet view article find links to article

efficiently. Risk Measurement: Calculating risk measures such as Conditional Value-at-Risk (CVaR) and Expected shortfall (ES). These risk measures are crucial

Copenhagen Consensus (3,745 words) [view diff] no match in snippet view article find links to article

addressing climate change (optimal carbon tax, the Kyoto Protocol and value-at-risk carbon tax), which the panel judged to be least cost-efficient of the