Value-at-Risk and its conditional allegory, which takes into account the available information about economic environment, form centrepiece of Basel framework for evaluation market risk in banking sector. A new nonparametric estimating this is presented. approach particularly pertinent as traditionally used parametric distributions have been shown to be insufficiently robust flexible most equit...

Risk measure forecast and model have been developed in order to not only provide better but also preserve its (empirical) property especially coherent property. Whilst the widely used risk of Value-at-Risk (VaR) has shown performance benefit many applications, it is fact a measure. Conditional VaR (CoVaR), defined as mean losses beyond VaR, one alternative measures that satisfies There several ...

the purpose of this study is estimate the protection value of gavkhony wetland ecosystem attributes with use of choice experiment approach and conditional logit model. data needed extracted from six different choice experiment questionnaires filled out by 500 random households in isfahan and varzane city. each questionnaire contained 72 hypothetical policies (options), 36 choice sets, 2442 obse...

Quantitative risk management (QRM, for short) is very important investors or financial institutions. This paper discusses portfolio selection in fuzzy environments by means of stochastic and methods. Two measures called hierarchical value-at-risk (HFVaR, conditional (HFCVaR, are proposed. And then models established based on the measure HFCVaR.