scholarly journals Intraday Conditional Value at Risk: A Periodic Mixed‐Frequency GAS Approach

2020 ◽  
Author(s):  
Bastian Gribisch ◽  
Tobias Eckernkemper
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Conditional Value At Risk ◽  
Mixed Frequency

A Fourier approach to the computation of conditional value-at-risk and optimized certainty equivalents

2014 ◽  
Vol 16 (6) ◽  
pp. 3-29 ◽  
Author(s):  
Samuel Drapeau ◽  
Michael Kupper ◽  
Antonis Papapantoleon
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Conditional Value At Risk ◽  
Certainty Equivalents

Optimizing Critical Spare Parts and Location Based on the Conditional Value-At-Risk Criterion

2014 ◽  
Vol 59 (2) ◽  
pp. 116-135 ◽  
Author(s):  
Stephan A. Trusevych ◽  
Roy H. Kwon ◽  
Andrew K. S. Jardine
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Spare Parts ◽  
Conditional Value At Risk ◽  
Risk Criterion
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