Value-at-Risk - Articles - Scientific Research Publishing

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 8,073 Downloads 14,307 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 7,468 Downloads 11,596 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 4,137 Downloads 5,204 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 1,984 Downloads 4,794 Views Citations
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 713 Downloads 1,671 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 831 Downloads 1,992 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 1,414 Downloads 3,804 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 127 Downloads 696 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 5,129 Downloads 6,989 Views Citations
General Markowitz Optimization Problems (Articles)

George Stoica

Applied Mathematics Vol.3 No.12A，December 31, 2012

DOI: 10.4236/am.2012.312A281 6,842 Downloads 9,435 Views Citations
This article belongs to the Special Issue on Probability and Its Applications
An Application of Bayesian Inference on the Modeling and Estimation of Operational Risk Using Banking Loss Data (Articles)

Kashfia N. Rahman, Dennis A. Black, Gary C. McDonald

Applied Mathematics Vol.5 No.6，April 2, 2014

DOI: 10.4236/am.2014.56082 5,028 Downloads 7,727 Views Citations
On Historical Value at Risk under Distribution Uncertainty (Articles)

Atsushi Iizuka, Yumiharu Nakano

Journal of Mathematical Finance Vol.5 No.2，April 10, 2015

DOI: 10.4236/jmf.2015.52010 3,862 Downloads 4,633 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 1,553 Downloads 2,914 Views Citations
This article belongs to the Special Issue on Portfolio Theory and Risk Management
Does the VaR Measurement Using Monte-Carlo Simulation Work in China?—Evidence from Chinese Listed Banks (Articles)

Dehong Wang, Jianbo Song, Yongzhao Lin

Journal of Financial Risk Management Vol.6 No.1，March 15, 2017

DOI: 10.4236/jfrm.2017.61006 1,874 Downloads 4,251 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 812 Downloads 1,958 Views Citations
Value at Risk Models in Indian Markets: A Predictive Ability Evaluation Study (Articles)

Kushagra Goel, Sunny Oswal

Theoretical Economics Letters Vol.9 No.8，December 9, 2019

DOI: 10.4236/tel.2019.98177 672 Downloads 2,494 Views Citations
I Was Learning Economics at the Cost of the Economy (Articles)

Majumder Debasish

Theoretical Economics Letters Vol.11 No.3，June 29, 2021

DOI: 10.4236/tel.2021.113041 320 Downloads 951 Views Citations
Estimation of Conditional Weighted Expected Shortfall under Adjusted Extreme Quantile Autoregression (Articles)

Martin M. Kithinji, Peter N. Mwita, Ananda O. Kube

Journal of Mathematical Finance Vol.11 No.3，July 14, 2021

DOI: 10.4236/jmf.2021.113021 216 Downloads 852 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 308 Downloads 1,434 Views Citations
Management of a Complex Portfolio of Assets with Stochastic Drifts and Volatilities (Articles)

Wendkouni Yaméogo, Korotimi Ouédraogo, Diakarya Barro

Open Journal of Statistics Vol.12 No.6，December 30, 2022

DOI: 10.4236/ojs.2022.126047 150 Downloads 621 Views Citations

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