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Risks, ISSN 2227-9091, 12/2018, Volume 6, Issue 4, p. 142
In both financial theory and practice, Value-at-risk (VaR) has become the predominant risk measure in the last two decades. Nevertheless, there is a lively and... 
Wang distortion | Expectile Var | Glue Var | VaR | Expected shortfall | Lambda VaR | Range VaR | Entropic VaR | Median shortfall | Risk measures based on benchmark loss distributions | expectile VaR | median shortfall | lambda VaR | risk measures based on benchmark loss distributions | expected shortfall | glue VaR | entropic VaR | range VaR
Journal Article
Journal of Economic Dynamics and Control, ISSN 0165-1889, 09/2014, Volume 46, pp. 1 - 29
“Constant proportion portfolio insurance” is a popular technique among portfolio insurance strategies: the risky part of a portfolio is reallocated with... 
CPPI | Expectile | Dynamic quantile model | Quantile regression | Expected shortfall | INSURANCE | RISK | ASSET PRICES | POLICIES | CHOICE | REGRESSION QUANTILES | MODELS | INVESTMENT | ECONOMICS | Economics and Finance | Humanities and Social Sciences
Journal Article
中国管理科学, ISSN 1003-207X, 2014, Volume 22, Issue 9, pp. 1 - 9
甄别和确定风险因素的贡献是资产或资产组合风险管理的重要研究内容。近十年,下端风险越来越受到关注,在险价值(Value at Risk,VaR)和预期不足(Expected... 
Expectile | 线性异方差 | 非对称最小二乘 | 下端风险度量
Journal Article
Communications in Statistics - Theory and Methods, ISSN 0361-0926, 02/2020, Volume 49, Issue 4, pp. 827 - 844
Modeling excesses over a high threshold and estimating extreme tail risk are two utmost studies in the extreme value literature. Traditional techniques are... 
value at risk (VaR) | expectiles | extreme values | peaks-over-threshold | Threshold | peaksover-threshold | QUANTILE ESTIMATION | STATISTICAL-INFERENCE | STATISTICS & PROBABILITY | OF-FIT TESTS | SELECTION | PARAMETER | MOMENTS | Parameter estimation | Stock exchanges | Computer simulation | Extreme values
Journal Article
运筹与管理, ISSN 1007-3221, 2018, Volume 27, Issue 1, pp. 185 - 199
Journal Article
Acta Universitatis Lodziensis. Folia Oeconomica, ISSN 0208-6018, 2018, Volume 5, Issue 338, pp. 213 - 227
In the presented research, we attempt to examine special investment risk measurement. We use quantile regression as a model by describing more general... 
Economy | Investments | Risk assessment | expectile | least asymmetrically weighted squares | CVaR | VaR | quantile
Journal Article
Risks, ISSN 2227-9091, 06/2018, Volume 6, Issue 2, p. 61
This article reviews two leading measures of financial risk and an emerging alternative. Embraced by the Basel accords, value-at-risk and expected shortfall... 
Expectiles | VaR | Coherence | Expected shortfall | Gain/loss ratios | Robustness | Basel accords | Backtesting | Elicitability | Risk measures | Value-at-risk | Portfolio performance | Regulation of financial institutions | Economic models | Random variables | Economic statistics | Banking | expectiles | coherence | backtesting | robustness | expected shortfall | elicitability | value-at-risk | risk measures | gain/loss ratios
Journal Article
中国管理科学, ISSN 1003-207X, 2013, Volume 21, Issue 6, pp. 22 - 29
Journal Article
Revue économique, ISSN 0035-2764, 2010, Volume 61, Issue 3, pp. 635 - 643
RésuméNous proposons dans cet article, à partir des approches de Taylor [2008] et de Gouriéroux et Jasiak [2008], d'agréger différents modèles de quantiles et... 
Comportements, marchés et politiques | Economics and Finance | Humanities and Social Sciences
Journal Article
在金融市場裡,風險是造成投資者的資產價格波動的主要原因之一,因此如何正確地衡量風險為一重要的研究議題。文獻上,一種常用來衡量風險的方法稱為風險值(value at risk),依照Jorion(2000)... 
條件期望值 | Expectile | 風險值 | Coherent measures of risk | Expected Shortfall | 分量值 | VaR | Expectile 值 | 一致性風險測度 | Quantile
Dissertation
Journal of Econometrics, ISSN 0304-4076, 2009, Volume 150, Issue 2, pp. 261 - 270
In this paper we propose a downside risk measure, the expectile-based Value at Risk (EVaR), which is more sensitive to the magnitude of extreme losses than the... 
Value at Risk | Prudentiality | Expectile | CARE model | Quantile | Asymmetric least squares | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | REGRESSION QUANTILES | RETURNS | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS | VOLATILITY | Asymmetric least squares CARE model Expectile Quantile Prudentiality Value at Risk | Models | Financial markets
Journal Article
Computational Statistics and Data Analysis, ISSN 0167-9473, 02/2016, Volume 94, pp. 1 - 19
This paper considers nonlinear expectile regression models to estimate conditional expected shortfall (ES) and Value-at-Risk (VaR). In the literature, the... 
Value-at-Risk | Expectile regression | Asymptotic normality | Asymmetric least squares regression | Expected shortfall | Consistency | MAXIMUM-LIKELIHOOD-ESTIMATION | GARCH MODELS | COMPUTER SCIENCE, INTERDISCIPLINARY APPLICATIONS | QUANTILES | STATISTICS & PROBABILITY | VOLATILITY
Journal Article
Journal of the Royal Statistical Society: Series B (Statistical Methodology), ISSN 1369-7412, 03/2018, Volume 80, Issue 2, pp. 263 - 292
Summary We use tail expectiles to estimate alternative measures to the value at risk and marginal expected shortfall, which are two instruments of risk... 
Extrapolation | Value at risk | Expectiles | Heavy tails | Asymmetric squared loss | Coherency | Marginal expected shortfall | Extreme values | SHORTFALL | STATISTICS & PROBABILITY | GENERALIZED QUANTILES | INFERENCE | Risk | Quantiles | Risk management | Financing | Statistics | Mathematics
Journal Article
SIAM Journal on Financial Mathematics, ISSN 1945-497X, 2015, Volume 6, Issue 1, pp. 776 - 803
Journal Article
Quantitative Finance, ISSN 1469-7688, 11/2018, Volume 18, Issue 11, pp. 1851 - 1864
We show how to compute the expectiles of the risk-neutral distribution from the prices of European call and put options. Empirical properties of these implicit... 
C53 | C00 | C02 | G31 | Expectiles | VIX index | Implied volatility | Interexpectile difference | BUSINESS, FINANCE | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | RISK MEASURES | UNIT-ROOT | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS | MODEL | INDEX
Journal Article
Insurance Mathematics and Economics, ISSN 0167-6687, 09/2015, Volume 64, pp. 429 - 439
Risk concentration is used as a measurement of diversification benefits in the context of risk aggregation. Expectiles, which are known to possess many good... 
FGM copula | Value-at-Risk | Second-order regular variation | Regular variation | Expectiles | 2ND-ORDER REGULAR VARIATION | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | EXPANSIONS | STATISTICS & PROBABILITY | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS
Journal Article
Applied Mathematics-A Journal of Chinese Universities, ISSN 1005-1031, 6/2019, Volume 34, Issue 2, pp. 205 - 228
Since the financial crisis in 2008, the risk measures which are the core of risk management, have received increasing attention among economists and... 
62M10 | Value at Risk | Expectile | 62-02 | 62G08 | Expected Shortfall | Nonparametric Estimation | Mathematics, general | Tail Dependence | Mathematics | Applications of Mathematics | Network Risk | CONDITIONAL QUANTILE ESTIMATION | REGRESSION | MATHEMATICS, APPLIED | MANAGEMENT | VALUE-AT-RISK | SHORTFALL
Journal Article
財務風險管理是財務金融的一個核心領域, 而風險的衡量更為其中的關鍵。 各式的風險指標經常被廣泛地應用於定價、避險、投資組合的優化、資本的配置, 或投資成效的評估中。 數十年來, 風險的測度與衡量, 一直是財金學界、業界以及管理者最關心的議題。 本論文考慮三個新的衡量系統性市場風險的財務計量方法,... 
Stochastic Temporal Aggregation | 高頻資料 | Non-synchronous Trading | Tail risk | High Frequency | Asymmetric Least Square | 風險管理 | Value at Risk | Outlier | Expectile | 涉險值 | 極值風險 | Market Microstructure | 市場微結構 | 隨機時序加總 | 非同步交易 | Quantile
Dissertation
在金融市場中,資產價格的波動是造成風險的主要因素之ㄧ,投資人在面對此風險時,會評估此風險可能帶來的損失,進而準備相對應的措施。因此,如何正確的衡量下方的風險為一很重要的議題。 文獻上,計算風險值 (VaR) 已逐漸成為預測及控管風險的重要工具, 風險值可以讓管理者 (或投資人)... 
Value at risk | Expectile | CAViaR | Quantile 值 | 風險值 | quantile regression | Expectile 值 | Quantile | 分位迴歸
Dissertation
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