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Un análisis del riesgo de interés de balance de largo plazo de la banca peruana a través del Value at Risk y el Conditional Value at Risk
(Universidad Nacional de IngenieríaPE, 2023)
Nonparametric tail risk, macroeconomics and stock returns: predictability and risk premia
(2015-02-12)
This paper proposes a new novel to calculate tail risks incorporating risk-neutral information without dependence on options data. Proceeding via a non parametric approach we derive a stochastic discount factor that correctly ...
Var Planning Problem Considering Conditional Value-at-Risk Assessment
(Ieee, 2014-01-01)
This paper presents the reactive power planning solution under risk assessment through the CVaR (Conditional-Value-at-Risk) using stochastic programming. Load uncertainty is modeled by distribution function. Uncertainty ...
Var planning problem considering conditional value-at-risk assessment
(2014-01-01)
This paper presents the reactive power planning solution under risk assessment through the CVaR (Conditional-Value-at-Risk) using stochastic programming. Load uncertainty is modeled by distribution function. Uncertainty ...
Value at risk forecasts by extreme value models in a conditional duration framework
(NORTH HOLLAND, 2013)
Quantificação de risco em finanças: BitCoin sob a avaliação do Value at Risk
(Pós-Graduação em EconomiaUFS, 2019)
Distribución hiperbólica generalizada: una aplicación en la selección de portafolios y en la cuantificación de medidas de riesgo de mercado
(Universidad del RosarioMaestría en Finanzas CuantitativasFacultad de Economía, 2014)
In this paper, the Generalized Hyperbolic Distribution is used in the portfolio selection with higher moments. Thereafter a comparative scheme is showed to determinate the advance with regard to Markowitz Portfolio Selection.