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 ...

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 ...

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 ...

In this paper we consider characterizations of the robust uncertainty sets associated with coherent and distortion risk measures. In this context we show that if we are willing to enforce the coherent or distortion axioms ...

This paper is concerned with evaluating value at risk estimates. It is well known that using only binary variables to do this sacrifices too much information. However, most of the specification tests (also called backtests) ...

In an increasingly competitive economic environment, as in the current global context, risk management becomes essential for the survival of companies and investment portfolio managers. Both companies and managers need to ...

This research proposes a comparative analysis of some conditional volatility models for the calculation of Value-at-Risk (VaR) applied to the main financial series of the crypto-currencies market. Conditional volatility ...