Matches in SemOpenAlex for { <https://semopenalex.org/work/W3182085194> ?p ?o ?g. }
Showing items 1 to 98 of
98
with 100 items per page.
- W3182085194 endingPage "e07492" @default.
- W3182085194 startingPage "e07492" @default.
- W3182085194 abstract "Risk measure forecast and model have been developed in order to not only provide better forecast but also preserve its (empirical) property especially coherent property. Whilst the widely used risk measure of Value-at-Risk (VaR) has shown its performance and benefit in many applications, it is in fact not a coherent risk measure. Conditional VaR (CoVaR), defined as mean of losses beyond VaR, is one of alternative risk measures that satisfies coherent property. There have been several extensions of CoVaR such as Modified CoVaR (MCoVaR) and Copula CoVaR (CCoVaR). In this paper, we propose another risk measure, called Dependent CoVaR (DCoVaR), for a target loss that depends on another random loss, including model parameter treated as random loss. It is found that our DCoVaR provides better forecast than both MCoVaR and CCoVaR. Numerical simulation is carried out to illustrate the proposed DCoVaR. In addition, we do an empirical study of financial returns data to compute the DCoVaR forecast for heteroscedastic process of GARCH(1,1). The empirical results show that the Gumbel Copula describes the dependence structure of the returns quite nicely and the forecast of DCoVaR using Gumbel Copula is more accurate than that of using Clayton Copula. The DCoVaR is superior than MCoVaR, CCoVaR and CoVaR to comprehend the connection between bivariate losses and to help us exceedingly about how optimum to position our investments and elevate our financial risk protection. In other words, putting on the suggested risk measure will enable us to avoid non-essential extra capital allocation while not neglecting other risks associated with the target risk. Moreover, in actuarial context, DCoVaR can be applied to determine insurance premiums while reducing the risk of insurance company." @default.
- W3182085194 created "2021-07-19" @default.
- W3182085194 creator A5014079067 @default.
- W3182085194 creator A5086256684 @default.
- W3182085194 date "2021-07-01" @default.
- W3182085194 modified "2023-09-24" @default.
- W3182085194 title "Dependent conditional value-at-risk for aggregate risk models" @default.
- W3182085194 cites W2019291268 @default.
- W3182085194 cites W2021923895 @default.
- W3182085194 cites W2087358023 @default.
- W3182085194 cites W2132527237 @default.
- W3182085194 cites W2267959203 @default.
- W3182085194 cites W3012196944 @default.
- W3182085194 cites W3019902101 @default.
- W3182085194 cites W3121825436 @default.
- W3182085194 cites W3122498249 @default.
- W3182085194 cites W2090072804 @default.
- W3182085194 doi "https://doi.org/10.1016/j.heliyon.2021.e07492" @default.
- W3182085194 hasPubMedCentralId "https://www.ncbi.nlm.nih.gov/pmc/articles/8353295" @default.
- W3182085194 hasPubMedId "https://pubmed.ncbi.nlm.nih.gov/34401553" @default.
- W3182085194 hasPublicationYear "2021" @default.
- W3182085194 type Work @default.
- W3182085194 sameAs 3182085194 @default.
- W3182085194 citedByCount "6" @default.
- W3182085194 countsByYear W31820851942021 @default.
- W3182085194 countsByYear W31820851942022 @default.
- W3182085194 countsByYear W31820851942023 @default.
- W3182085194 crossrefType "journal-article" @default.
- W3182085194 hasAuthorship W3182085194A5014079067 @default.
- W3182085194 hasAuthorship W3182085194A5086256684 @default.
- W3182085194 hasBestOaLocation W31820851941 @default.
- W3182085194 hasConcept C101104100 @default.
- W3182085194 hasConcept C10138342 @default.
- W3182085194 hasConcept C105795698 @default.
- W3182085194 hasConcept C137610916 @default.
- W3182085194 hasConcept C147581598 @default.
- W3182085194 hasConcept C148845407 @default.
- W3182085194 hasConcept C149782125 @default.
- W3182085194 hasConcept C162324750 @default.
- W3182085194 hasConcept C17618745 @default.
- W3182085194 hasConcept C23922673 @default.
- W3182085194 hasConcept C2780009758 @default.
- W3182085194 hasConcept C2780821815 @default.
- W3182085194 hasConcept C2781472820 @default.
- W3182085194 hasConcept C32896092 @default.
- W3182085194 hasConcept C33923547 @default.
- W3182085194 hasConcept C41008148 @default.
- W3182085194 hasConcept C5496284 @default.
- W3182085194 hasConcept C64341305 @default.
- W3182085194 hasConcept C77088390 @default.
- W3182085194 hasConcept C91602232 @default.
- W3182085194 hasConcept C94128290 @default.
- W3182085194 hasConceptScore W3182085194C101104100 @default.
- W3182085194 hasConceptScore W3182085194C10138342 @default.
- W3182085194 hasConceptScore W3182085194C105795698 @default.
- W3182085194 hasConceptScore W3182085194C137610916 @default.
- W3182085194 hasConceptScore W3182085194C147581598 @default.
- W3182085194 hasConceptScore W3182085194C148845407 @default.
- W3182085194 hasConceptScore W3182085194C149782125 @default.
- W3182085194 hasConceptScore W3182085194C162324750 @default.
- W3182085194 hasConceptScore W3182085194C17618745 @default.
- W3182085194 hasConceptScore W3182085194C23922673 @default.
- W3182085194 hasConceptScore W3182085194C2780009758 @default.
- W3182085194 hasConceptScore W3182085194C2780821815 @default.
- W3182085194 hasConceptScore W3182085194C2781472820 @default.
- W3182085194 hasConceptScore W3182085194C32896092 @default.
- W3182085194 hasConceptScore W3182085194C33923547 @default.
- W3182085194 hasConceptScore W3182085194C41008148 @default.
- W3182085194 hasConceptScore W3182085194C5496284 @default.
- W3182085194 hasConceptScore W3182085194C64341305 @default.
- W3182085194 hasConceptScore W3182085194C77088390 @default.
- W3182085194 hasConceptScore W3182085194C91602232 @default.
- W3182085194 hasConceptScore W3182085194C94128290 @default.
- W3182085194 hasFunder F4320328515 @default.
- W3182085194 hasFunder F4320329091 @default.
- W3182085194 hasIssue "7" @default.
- W3182085194 hasLocation W31820851941 @default.
- W3182085194 hasLocation W31820851942 @default.
- W3182085194 hasLocation W31820851943 @default.
- W3182085194 hasOpenAccess W3182085194 @default.
- W3182085194 hasPrimaryLocation W31820851941 @default.
- W3182085194 hasRelatedWork W1605553074 @default.
- W3182085194 hasRelatedWork W1787884541 @default.
- W3182085194 hasRelatedWork W2034660787 @default.
- W3182085194 hasRelatedWork W2373130643 @default.
- W3182085194 hasRelatedWork W2991281338 @default.
- W3182085194 hasRelatedWork W3091200142 @default.
- W3182085194 hasRelatedWork W3092093216 @default.
- W3182085194 hasRelatedWork W3121290999 @default.
- W3182085194 hasRelatedWork W3124900793 @default.
- W3182085194 hasRelatedWork W3182085194 @default.
- W3182085194 hasVolume "7" @default.
- W3182085194 isParatext "false" @default.
- W3182085194 isRetracted "false" @default.
- W3182085194 magId "3182085194" @default.
- W3182085194 workType "article" @default.