Conditional Value at Risk - Articles - Scientific Research Publishing

Strong Consistency of CVaR Optimal Estimator (Articles)

Xiaolin Li

Open Journal of Statistics Vol.8 No.3，May 28, 2018

DOI: 10.4236/ojs.2018.83027 749 Downloads 1,727 Views Citations
Valuation and Risk Assessment of a Portfolio of Variable Annuities: A Vector Autoregression Approach (Articles)

Albina Orlando, Gary Parker

Journal of Mathematical Finance Vol.8 No.2，May 9, 2018

DOI: 10.4236/jmf.2018.82023 838 Downloads 2,013 Views Citations
A Comparative Study of Mean-Variance and Mean Gini Portfolio Selection Using VaR and CVaR (Articles)

Jamal Agouram, Ghizlane Lakhnati

Journal of Financial Risk Management Vol.4 No.2，May 25, 2015

DOI: 10.4236/jfrm.2015.42007 5,169 Downloads 7,063 Views Citations
Conditional Value-at-Risk for Random Immediate Reward Variables in Markov Decision Processes (Articles)

Masayuki Kageyama, Takayuki Fujii, Koji Kanefuji, Hiroe Tsubaki

American Journal of Computational Mathematics Vol.1 No.3，September 19, 2011

DOI: 10.4236/ajcm.2011.13021 4,730 Downloads 9,338 Views Citations
Analysis of Risk Measures in Portfolio Optimization for the Uganda Securities Exchange (Articles)

Criscent Birungi, Lucy Muthoni

Journal of Financial Risk Management Vol.10 No.2，June 7, 2021

DOI: 10.4236/jfrm.2021.102008 497 Downloads 2,345 Views Citations
Forecasting Value-at-Risk of Financial Markets under the Global Pandemic of COVID-19 Using Conditional Extreme Value Theory (Articles)

Cyprian Omari, Simon Mundia, Immaculate Ngina

Journal of Mathematical Finance Vol.10 No.4，October 22, 2020

DOI: 10.4236/jmf.2020.104034 1,402 Downloads 3,992 Views Citations
Crisis, Value at Risk and Conditional Extreme Value Theory via the NIG + Jump Model (Articles)

Samuel Y. M. Ze-To

Journal of Mathematical Finance Vol.2 No.3，August 31, 2012

DOI: 10.4236/jmf.2012.23025 7,514 Downloads 11,688 Views Citations
Efficient Estimation of Distributional Tail Shape and the Extremal Index with Applications to Risk Management (Articles)

Travis R. A. Sapp

Journal of Mathematical Finance Vol.6 No.4，November 9, 2016

DOI: 10.4236/jmf.2016.64046 1,580 Downloads 3,008 Views Citations
This article belongs to the Special Issue on Portfolio Theory and Risk Management
Tail Quantile Estimation of Heteroskedastic Intraday Increases in Peak Electricity Demand (Articles)

Caston Sigauke, Andréhette Verster, Delson Chikobvu

Open Journal of Statistics Vol.2 No.4，October 31, 2012

DOI: 10.4236/ojs.2012.24054 3,032 Downloads 5,176 Views Citations
Stability and Regularization Method for Inverse Initial Value Problem of Biparabolic Equation (Articles)

Hongwu Zhang, Xiaoju Zhang

Open Access Library Journal Vol.2 No.5，May 14, 2015

DOI: 10.4236/oalib.1101542 1,520 Downloads 2,358 Views Citations
On Value Premium, Part I: The Existence (Articles)

Chi Fung Ling, Simon Gar Man Koo

Journal of Mathematical Finance Vol.1 No.3，November 25, 2011

DOI: 10.4236/jmf.2011.13014 4,925 Downloads 9,323 Views Citations
The Relationship between Stock Returns and Volatility in the Seventeen Largest International Stock Markets: A Semi-Parametric Approach (Articles)

Dimitrios Dimitriou, Theodore Simos

Modern Economy Vol.2 No.1，February 24, 2011

DOI: 10.4236/me.2011.21001 7,596 Downloads 13,998 Views Citations
Nelson-Aalen and Kaplan-Meier Estimators in Competing Risks (Articles)

Didier Alain Njamen-Njomen, Joseph Ngatchou-Wandji

Applied Mathematics Vol.5 No.4，March 18, 2014

DOI: 10.4236/am.2014.54073 6,703 Downloads 9,763 Views Citations
The Predictive Performance of Extreme Value Analysis Based-Models in Forecasting the Volatility of Cryptocurrencies (Articles)

Cyprian Omari, Anthony Ngunyi

Journal of Mathematical Finance Vol.11 No.3，August 5, 2021

DOI: 10.4236/jmf.2021.113025 350 Downloads 1,593 Views Citations
Risk Migration In Supply Chain Inventory Financing Service (Articles)

Zheng Qin, Xiaochao Ding

Journal of Service Science and Management Vol.4 No.2，June 16, 2011

DOI: 10.4236/jssm.2011.42026 8,104 Downloads 14,359 Views Citations
New Approach to Density Estimation and Application to Value-at-Risk (Articles)

Kian-Guan Lim, Hao Cheng, Nelson K. L. Yap

Journal of Mathematical Finance Vol.5 No.5，November 26, 2015

DOI: 10.4236/jmf.2015.55036 4,160 Downloads 5,247 Views Citations
This article belongs to the Special Issue on Density Estimation in Finance
The Stochastic Volatility Model, Regime Switching and Value-at-Risk (VaR) in International Equity Markets (Articles)

Ata Assaf

Journal of Mathematical Finance Vol.7 No.2，May 31, 2017

DOI: 10.4236/jmf.2017.72026 2,024 Downloads 4,904 Views Citations
Forecasting Value-at-Risk (VaR) in the Major Asian Economies (Articles)

Faisal Nazir Zargar, Dilip Kumar

Theoretical Economics Letters Vol.8 No.9，June 12, 2018

DOI: 10.4236/tel.2018.89100 865 Downloads 2,081 Views Citations
This article belongs to the Special Issue on Financial Modeling
Modelling Volatility Dynamics of Cryptocurrencies Using GARCH Models (Articles)

Anthony Ngunyi, Simon Mundia, Cyprian Omari

Journal of Mathematical Finance Vol.9 No.4，October 17, 2019

DOI: 10.4236/jmf.2019.94030 1,503 Downloads 3,995 Views Citations
Stop-Loss Reinsurance Threshold for Dependent Risks (Articles)

Agnella Nemuo Mandia, Patrick Guge Oloo Weke, Joseph Kyalo Mung’atu

Journal of Mathematical Finance Vol.13 No.3，August 11, 2023

DOI: 10.4236/jmf.2023.133019 159 Downloads 752 Views Citations

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