Value-at-Risk - Articles - Scientific Research Publishing

Likelihood and Quadratic Distance Methods for the Generalized Asymmetric Laplace Distribution for Financial Data (Articles)

Andrew Luong

Open Journal of Statistics Vol.7 No.2, April 30, 2017

DOI: 10.4236/ojs.2017.72025 1,615 Downloads 3,371 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 5,021 Downloads 9,895 Views Citations
VaR-Optimal Risk Management in Regime-Switching Jump-Diffusion Models (Articles)

Alessandro Ramponi

Journal of Mathematical Finance Vol.3 No.1, February 28, 2013

DOI: 10.4236/jmf.2013.31009 5,846 Downloads 10,389 Views Citations
Optimal Investment and Proportional Reinsurance with Risk Constraint (Articles)

Jingzhen Liu, Ka Fai Cedric Yiu, Ryan C. Loxton, Kok Lay Teo

Journal of Mathematical Finance Vol.3 No.4, October 17, 2013

DOI: 10.4236/jmf.2013.34046 4,425 Downloads 8,215 Views Citations
Value at Risk (VaR) Historical Approach: Could It Be More Historical and Representative of the Real Financial Risk Environment? (Articles)

Evangelos Vasileiou

Theoretical Economics Letters Vol.7 No.4, June 19, 2017

DOI: 10.4236/tel.2017.74065 2,424 Downloads 9,229 Views Citations
Value-at-Risk Based on Time-Varying Risk Tolerance Level (Articles)

Debasish Majumder

Theoretical Economics Letters Vol.8 No.1, January 29, 2018

DOI: 10.4236/tel.2018.81007 988 Downloads 2,381 Views Citations
This article belongs to the Special Issue on Financial Economics
Currency Portfolio Risk Measurement with Generalized Autoregressive Conditional Heteroscedastic-Extreme Value Theory-Copula Model (Articles)

Cyprian O. Omari, Peter N. Mwita, Antony W. Gichuhi

Journal of Mathematical Finance Vol.8 No.2, May 31, 2018

DOI: 10.4236/jmf.2018.82029 1,420 Downloads 3,478 Views Citations
Forecasting and Backtesting of VaR in International Dry Bulk Shipping Market under Skewed Distributions (Articles)

Qiannan Du

American Journal of Industrial and Business Management Vol.9 No.5, May 22, 2019

DOI: 10.4236/ajibm.2019.95079 649 Downloads 2,042 Views Citations
Correlation Risk in the Context of Market Turbulences during the COVID-19 Pandemic and BCBS Stress Testing Principles (Articles)

Fidelio Tata

Journal of Mathematical Finance Vol.10 No.4, November 4, 2020

DOI: 10.4236/jmf.2020.104036 658 Downloads 2,804 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 618 Downloads 2,840 Views Citations
Modelling and Forecasting of Crude Oil Price Volatility Comparative Analysis of Volatility Models (Articles)

Faith Wacuka Ng’ang’a, Meleah Oleche

Journal of Financial Risk Management Vol.11 No.1, March 15, 2022

DOI: 10.4236/jfrm.2022.111008 737 Downloads 6,546 Views Citations
Risk Budgeting: A Tactical Asset Allocation Approach for Retirement Reserve Funds in Morocco (Articles)

Moulay Slimane Kabiri, Cherif El Msiyah, Otheman Nouisser

Journal of Financial Risk Management Vol.12 No.2, June 29, 2023

DOI: 10.4236/jfrm.2023.122011 381 Downloads 2,143 Views Citations
Term Structure of Defaultable Bonds with Recovery of Market Value (Articles)

Ruidong Wang, Xiyue Tan, Jianping Fu

Journal of Mathematical Finance Vol.15 No.3, August 8, 2025

DOI: 10.4236/jmf.2025.153022 89 Downloads 470 Views Citations
Risk Measure Contextuality by Quantum Weak Value in Quantum Decision Theory (Articles)

Miwaka Yamashita

Journal of Mathematical Finance Vol.16 No.2, April 30, 2026

DOI: 10.4236/jmf.2026.162006 20 Downloads 153 Views Citations
Efficient Density Estimation and Value at Risk Using Fejér-Type Kernel Functions (Articles)

Olga Kosta, Natalia Stepanova

Journal of Mathematical Finance Vol.5 No.5, November 30, 2015

DOI: 10.4236/jmf.2015.55040 5,266 Downloads 7,259 Views Citations
This article belongs to the Special Issue on Density Estimation in Finance
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 2,302 Downloads 8,472 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 1,681 Downloads 4,920 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 415 Downloads 1,790 Views Citations
The Quantification of Model Risk According to the Principle of Relative Entropy with Case Studies (Articles)

Michael Jacobs Jr.

Journal of Financial Risk Management Vol.14 No.2, April 15, 2025

DOI: 10.4236/jfrm.2025.142007 136 Downloads 1,172 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 185 Downloads 973 Views Citations

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