Managing Rail Logistics Risks Faced by Upper Great Plains Grain Shippers: A Case Study Using Value‐at‐Risk
Sign Up to like & getrecommendations! Published in 2025 at "Agribusiness"
DOI: 10.1002/agr.70029
Abstract: Origin shippers of grains and oilseeds face market price risks and costs related to handling, storage, and transporting crops. A Monte Carlo optimization model, using Material Requirement Planning (MRP), was created to minimize the mean… read more here.
Keywords: value; rail logistics; managing rail; value risk ... See more keywords
Bayesian Forecasting of Value‐at‐Risk and Expected Shortfall in Cryptocurrency Markets: A Nonlinear Semi‐Parametric Framework
Sign Up to like & getrecommendations! Published in 2025 at "Applied Stochastic Models in Business and Industry"
DOI: 10.1002/asmb.2926
Abstract: Cryptocurrencies exhibit high volatility, emphasizing the importance of accurately measuring tail risk in their markets. This research incorporates a threshold‐switching mechanism into Taylor's ES‐CAViaR models that unveil features such as asymmetry and jump phenomena. These… read more here.
Keywords: risk; tail; value risk; forecasting value ... See more keywords
New runs‐based approach to testing value at risk forecasts
Sign Up to like & getrecommendations! Published in 2024 at "Journal of Forecasting"
DOI: 10.1002/for.3115
Abstract: The reformed Basel framework has left value at risk (VaR) as a basic tool of validating risk models. Within this framework, VaR independence tests have been regarded as critical to ensuring stability during periods of… read more here.
Keywords: based approach; risk; runs based; new runs ... See more keywords
Backtesting and estimation error: value-at-risk overviolation rate
Sign Up to like & getrecommendations! Published in 2020 at "Empirical Economics"
DOI: 10.1007/s00181-020-01905-4
Abstract: Financial institutions and regulators use value-at-risk (VaR) and related measures as a tool for financial risk management. It is therefore critical to appropriately assess the quality of VaR forecasts and reporting. The VaR estimation error… read more here.
Keywords: value risk; risk; overviolation; estimation error ... See more keywords
Partially ordered data sets and a new efficient method for calculating multivariate conditional value-at-risk
Sign Up to like & getrecommendations! Published in 2019 at "Annals of Operations Research"
DOI: 10.1007/s10479-019-03366-0
Abstract: Recent studies in Lee and Prekopa (Oper Res Lett 45:19–24, 2017) and Lee (Oper Res Lett 45:1204–1220, 2017) showed that a union of partially ordered orthants in $$R^n$$ can be decomposed only into the largest… read more here.
Keywords: value risk; conditional value; oper res; res lett ... See more keywords
Efficient Simulation of Value-at-Risk Under a Jump Diffusion Model: A New Method for Moderate Deviation Events
Sign Up to like & getrecommendations! Published in 2018 at "Computational Economics"
DOI: 10.1007/s10614-017-9654-z
Abstract: Importance sampling is a powerful variance reduction technique for rare event simulation, and can be applied to evaluate a portfolio’s Value-at-Risk (VaR). By adding a jump term in the geometric Brownian motion, the jump diffusion… read more here.
Keywords: value risk; jump diffusion; jump; simulation ... See more keywords
Performance Evaluation of a Family of GARCH Processes Based on Value at Risk Forecasts: Data Envelopment Analysis Approach
Sign Up to like & getrecommendations! Published in 2024 at "Computational Economics"
DOI: 10.1007/s10614-024-10743-w
Abstract: The aim of this study is to form a detailed comparison of the predicting power of some generalized autoregressive conditional heteroskedasticity processes paired with several parametric distributions in application to Value at Risk evaluation. Selected… read more here.
Keywords: value; data envelopment; value risk; evaluation ... See more keywords
In search of robust methods for multi-currency portfolio construction by value at risk
Sign Up to like & getrecommendations! Published in 2018 at "Asia-Pacific Financial Markets"
DOI: 10.1007/s10690-018-9260-7
Abstract: The main purpose of this paper is to select the most appropriate technique predicting precisely the exchange rate risk from three main approaches, namely, the Historical Simulation approach, the Variance–Covariance approach and the Monte Carlo… read more here.
Keywords: value risk; multi currency; risk; currency portfolio ... See more keywords
A Credibility Framework for Extreme Value-at-Risk
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DOI: 10.1007/s11786-024-00579-w
Abstract: Value-at-risk estimates derived from extreme value data by fitting fat-tailed distributions can be so large that their validity is open to question. In this paper, an objective criterion, and a framework from which it was… read more here.
Keywords: framework extreme; value; credibility framework; extreme value ... See more keywords
About the conditional value at risk of partial sums
Sign Up to like & getrecommendations! Published in 2017 at "Comptes Rendus Mathematique"
DOI: 10.1016/j.crma.2017.10.008
Abstract: Abstract In this note, we give normal approximation results for the conditional value at risk (CVaR) of partial sums of random variables satisfying moment assumptions. These results are based on Berry–Esseen-type bounds for transport costs… read more here.
Keywords: partial sums; value risk; conditional value; risk partial ... See more keywords
Performance Visualization in Industrial Systems for Informed Decision Making
Sign Up to like & getrecommendations! Published in 2018 at "IFAC-PapersOnLine"
DOI: 10.1016/j.ifacol.2018.08.376
Abstract: Abstract Information visualization is a key component of many decision support tools in sciences and engineering. Graph is a visual construct that is widely used to model information for visualization. In this paper, a value-risk… read more here.
Keywords: value risk; visualization; value; performance ... See more keywords