Peak-Over-Threshold POT and Value-at-Risk VaR - Articles

Using Conditional Extreme Value Theory to Estimate Value-at-Risk for Daily Currency Exchange Rates (Articles)

Cyprian O. Omari, Peter N. Mwita, Antony G. Waititu

Journal of Mathematical Finance Vol.7 No.4, November 2, 2017

DOI: 10.4236/jmf.2017.74045 2,431 Downloads 8,970 Views Citations
Optimal Threshold Determination for the Maximum Product of Spacing Methodology with Ties for Extreme Events (Articles)

Peter Murage, Joseph Mung’atu, Everlyne Odero

Open Journal of Modelling and Simulation Vol.7 No.3, June 4, 2019

DOI: 10.4236/ojmsi.2019.73008 990 Downloads 2,555 Views Citations
Modeling Bank of Kigali Stock Risks in Rwanda Stock Exchange Using Extreme Value Distribution (Articles)

Katu Daniel Edem, Marcel Ndengo

Journal of Financial Risk Management Vol.10 No.3, August 3, 2021

DOI: 10.4236/jfrm.2021.103013 448 Downloads 1,881 Views Citations
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 2,081 Downloads 5,033 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 1,023 Downloads 2,605 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 517 Downloads 1,479 Views Citations
Animal Feed Business Risk Assessment Quantification COVID-19 and Supply Chains Disruptions Losses (Articles)

Kheiry Hassan M. Ishag

Journal of Mathematical Finance Vol.14 No.3, August 14, 2024

DOI: 10.4236/jmf.2024.143019 217 Downloads 1,075 Views Citations
Application of Multifractional Brownian Motion to Modeling Volatility and Risk in Financial Markets (Articles)

Bou Diop

Journal of Applied Mathematics and Physics Vol.13 No.11, November 17, 2025

DOI: 10.4236/jamp.2025.1311216 71 Downloads 533 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 8,391 Downloads 14,995 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 7,712 Downloads 12,359 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 4,338 Downloads 5,796 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 2,322 Downloads 6,097 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 936 Downloads 2,230 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 999 Downloads 2,704 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 1,927 Downloads 5,161 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 301 Downloads 1,295 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 5,386 Downloads 7,749 Views Citations
General Markowitz Optimization Problems (Articles)

George Stoica

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

DOI: 10.4236/am.2012.312A281 7,086 Downloads 10,145 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 5,274 Downloads 8,567 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 4,035 Downloads 5,119 Views Citations

First <12 3 ...>Last

	[email protected]
	+86 18163351462 (WhatsApp)
	1655362766
	SCIRP WeChat

All	Title	Abstract	Keywords
DOI	Author	Journal	Affiliation
ISSN	Subject

	[email protected]
	+86 18163351462(WhatsApp)
	1655362766

	Paper Publishing WeChat

Browse Subjects

Publish with us

Home

About SCIRP

Service

Policies