Value at Risk VaR - Articles - Scientific Research Publishing

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 5,024 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 1,022 Downloads 2,594 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 515 Downloads 1,471 Views Citations
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 2,404 Downloads 8,816 Views Citations
Financial Risk Measurement for Turkish Insurance Companies Using VaR Models (Articles)

Ismail Yildirim

Journal of Financial Risk Management Vol.4 No.3, September 30, 2015

DOI: 10.4236/jfrm.2015.43013 7,924 Downloads 10,836 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 1,068 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 519 Views Citations
The Researches on Exchange Rate Risk of Chinese Commercial Banks Based on Copula-Garch Model (Articles)

Baoqian Wang, Tingting Cao, Shu Wang

Modern Economy Vol.5 No.5, May 23, 2014

DOI: 10.4236/me.2014.55051 4,890 Downloads 6,972 Views Citations
A Research on the Risk Measure of Chinese Copper Futures Market Based on VaR (Articles)

Hu’e Zhao

Open Journal of Social Sciences Vol.2 No.9, August 26, 2014

DOI: 10.4236/jss.2014.29007 3,678 Downloads 4,664 Views Citations
Forecasting the Impact of Information Security Breaches on Stock Market Returns and VaR Backtest (Articles)

Ilaria Colivicchi, Riccardo Vignaroli

Journal of Mathematical Finance Vol.9 No.3, August 21, 2019

DOI: 10.4236/jmf.2019.93024 1,129 Downloads 3,289 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 7,708 Downloads 12,348 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 934 Downloads 2,220 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 1,806 Downloads 3,851 Views Citations
This article belongs to the Special Issue on Portfolio Theory and Risk Management
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 5,263 Downloads 10,023 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 509 Downloads 2,421 Views Citations
Optimal Reciprocal Reinsurance under GlueVaR Distortion Risk Measures (Articles)

Yuxia Huang, Chuancun Yin

Journal of Mathematical Finance Vol.9 No.1, January 17, 2019

DOI: 10.4236/jmf.2019.91002 1,219 Downloads 2,495 Views Citations
Analysis of Chinese Short-Term International Capital Flow Capital Motivation (Articles)

Feng Qiu

Modern Economy Vol.10 No.3, March 29, 2019

DOI: 10.4236/me.2019.103071 1,071 Downloads 2,344 Views Citations
The Asymmetry of Shanghai Composite Index Volatility—Stochastic Volatility Models Based on GHST Distribution (Articles)

Xu Han, Jihong Kong

Open Journal of Social Sciences Vol.8 No.12, December 28, 2020

DOI: 10.4236/jss.2020.812028 429 Downloads 1,388 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 8,387 Downloads 14,983 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 4,336 Downloads 5,788 Views Citations
This article belongs to the Special Issue on Density Estimation in Finance

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