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Affiliation
ISSN
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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
1,320
Downloads
4,796
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
635
Downloads
1,606
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
193
Downloads
1,003
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
1,804
Downloads
4,212
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
768
Downloads
1,862
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
237
Downloads
757
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
7,941
Downloads
14,174
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
7,359
Downloads
11,413
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
4,069
Downloads
5,149
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
1,860
Downloads
4,395
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
642
Downloads
1,588
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
774
Downloads
1,856
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
1,255
Downloads
3,545
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
70
Downloads
424
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
5,038
Downloads
6,923
Views
Citations
General Markowitz Optimization Problems
(Articles)
George Stoica
Applied Mathematics
Vol.3 No.12A
,December 31, 2012
DOI:
10.4236/am.2012.312A281
6,653
Downloads
9,833
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
4,944
Downloads
7,656
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
3,806
Downloads
4,520
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
1,490
Downloads
2,759
Views
Citations
This article belongs to the Special Issue on
Portfolio Theory and Risk Management
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
572
Downloads
2,179
Views
Citations
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