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A Worst-Case Risk Measure by G-VaR
G-VaR, which is a type of worst-case value-at-risk (VaR), is defined as measuring risk incorporating model uncertainty. Compared with most extant...
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Predictive Control of Investment Portfolio on the Financial Market with Hidden Regime Switching and MS VAR Model of Returns
AbstractWe consider the problem of managing an investment portfolio in the financial market with switching of regimes taking into account...
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VaR and CTE Based Optimal Reinsurance from a Reinsurer’s Perspective
In this article, we study optimal reinsurance design. By employing the increasing convex functions as the admissible ceded loss functions and the...
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Empirical Analysis of Dynamic Relationship Between Green Economy and Green Finance by VAR Model
With the development of China’s economy, some problems such as ecological imbalance, serious pollution of the environment, low utilization of natural...
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Portfolio Value-at-Risk Approximation for Geometric Brownian Motion
AbstractValue-at-risk (VaR) serves as a measure for assessing the risk associated with individual securities and portfolios. When calculating VaR for...
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Variance Growth, Center-Tightness, and the Central Limit Theorem
We analyze the variance of $$S_N=f_1(X_1,X_2)+\cdots...
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Mathematical Models for Measuring Default Risks
In this chapter, we introduce a popular risk metric VaR for loss, the two primary models, reduced form and structure models, as well as their...
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Standard Error Adaptive Moment Estimation for Mean-Value-at-Risk Portfolio Optimization Problems by Sampling
In this paper, an improvement of the adaptive moment estimation (Adam) method equipped with standard error (SE), namely the AdamSE algorithm, is...
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Design of Efficient Investment Portfolios with a Shortfall Probability as a Measure of Risk
AbstractThe paper presents a constructive description of the set of all efficient (Pareto-optimal) investment portfolios in a new setting, where the...
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Expected Shortfall Regression for Censored Data
Expected shortfall (ES), which conveys information regarding potential exceedances beyond the value-at-risk (VaR), is an important measure to...
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Time-Limited Balanced Truncation for Data Assimilation Problems
Balanced truncation is a well-established model order reduction method which has been applied to a variety of problems. Recently, a connection...
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Extreme Risk Measurement of Carbon Market Considering Multifractal Characteristics
Influenced by the global economy, politics, energy and other factors, the price of carbon market fluctuates sharply. It is of great practical...
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Generalized PELVE and applications to risk measures
The continuing evolution of insurance and banking regulation has raised interest in the calibration of different risk measures associated with...
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3D-VAR for parameterized partial differential equations: a certified reduced basis approach
In this paper, we propose a reduced order approach for 3D variational data assimilation governed by parameterized partial differential equations. In...
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Some Comparisons of Dirichlet, Neumann and Buckling Eigenvalues on Riemannian Manifolds
In this paper, we study some comparisons of Dirichlet, Neumann and buckling eigenvalues on Riemannian manifolds. By introducing a new parameter, we...
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Systemic risk assessment of Lithuanian second-pillar pension funds through connectedness and spillover
Pension funds are an essential part of retirement planning, and their performance and risks play a significant role in ensuring financial stability...
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Quantile Regression Forest for Value-at-Risk Forecasting Via Mixed-Frequency Data
In this paper we introduce the use of mixed-frequency variables in a quantile regression framework to compute high-frequency conditional quantiles by...
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The Impact of Oil Shocks on Systemic Risk of the Commodity Markets
This study examines the influence of oil shocks on systemic risk spillover among the commodity markets. Specifically, this paper uses the DCC-GARCH...