scholarly journals Strategic Wholesale Pricing for an Incumbent Supplier Facing with a Competitive Counterpart

2014 ◽  
Vol 2014 ◽  
pp. 1-10
Author(s):  
Jianwu Sun
Keyword(s):  
Risk Management ◽  
Value At Risk ◽  
Financial Risk ◽  
Wholesale Price ◽  
Pricing Strategy ◽  
Conditional Value At Risk ◽  
Profit Function ◽  
Financial Risk Management ◽  
Future Loss ◽  
Wholesale Pricing

We introduce a wholesale pricing strategy for an incumbent supplier facing with a competitive counterpart. We propose a profit function which considers both the present loss and future loss from a wholesale price and then study the optimal wholesale prices for different objectives about this profit function for the incumbent supplier. First, we achieve an optimal wholesale price for the incumbent supplier to maximize his expected profit. Then, to reduce the risk originating from the fluctuation in the competitive supplier’s wholesale price, we integrate the conditional value-at-risk (CVaR) measure in financial risk management into this study and derive an optimal wholesale price to maximize CVaR about profit for the incumbent supplier. Besides, the properties of the two optimal wholesale prices are discussed. Finally, some management insights are suggested for the incumbent supplier in a competitive setting.

scholarly journals Risk assessment for ancillary services

2019 ◽  
Vol 9 (3) ◽  
pp. 1561
Author(s):  
Omer Hadzic ◽  
Smajo Bisanovic
Keyword(s):  
At Risk ◽  
Risk Management ◽  
Power System ◽  
Value At Risk ◽  
Financial Risk ◽  
Risk Measures ◽  
Ancillary Services ◽  
Conditional Value At Risk ◽  
Risk Optimization ◽  
System Risk

The power trading and ancillary services provision comprise technical and financial risks and therefore require a structured risk management. Focus in this paper is on financial risk management that is important for the system operator faces when providing and using ancillary services for balancing of power system. Risk on ancillary services portfolio is modeled through value at risk and conditional value at risk measures. The application of these risk measures in power system is given in detail to show how to using the risk concept in practice. Conditional value at risk optimization is analysed in the context of portfolio selection and how to apply this optimization for hedging a portfolio consisting of different types of ancillary services.

scholarly journals Risk Measurement of Futures Portfolio: An Empirical Study Based on PGARCH - EVT - Copula Model

2017 ◽  
Vol 4 (5) ◽  
pp. 45
Author(s):  
Liang Su ◽  
Lan-Ya Ma
Keyword(s):  
Risk Management ◽  
Value At Risk ◽  
Financial Risk ◽  
Financial Time Series ◽  
Simulation Method ◽  
Expected Shortfall ◽  
Risk Measurement ◽  
Copula Model ◽  
Financial Risk Management ◽  
The Right

Financial risk management takes an important part of continuing financial globalization. From the point of financial risk management, financial risk should be controlled at the right level. Considering the characteristics of financial time series, we construct the PGARCH-EVT-Copula model that includes different aspects of statistical features in measuring the risk. With this model, we measure Value at Risk and Expected Shortfall of the futures portfolio and compare them in the risk measurement and testify the reliability with the help of Monte-Carlo simulation method. Finally, we draw a conclusion that at 95% confidence level, Expected Shortfall can better estimate the risk of assets price extreme changing. This paper provides a risk management method for stabilizing the financial market.

scholarly journals Encoded Value-at-Risk: A Predictive Machine for Financial Risk Management

2020 ◽  
Author(s):  
Hamidreza Arian ◽  
Mehrdad Moghimi ◽  
Ehsan Tabatabaei ◽  
shiva zamani
Keyword(s):  
At Risk ◽  
Risk Management ◽  
Value At Risk ◽  
Financial Risk ◽  
Financial Risk Management

scholarly journals Scenario-based risk evaluation

2021 ◽  
Vol 25 (4) ◽  
pp. 725-756
Author(s):  
Ruodu Wang ◽  
Johanna F. Ziegel
Keyword(s):  
Risk Management ◽  
Value At Risk ◽  
Risk Evaluation ◽  
Financial Risk ◽  
Risk Measures ◽  
Banking Regulation ◽  
Expected Shortfall ◽  
Financial Data ◽  
Financial Risk Management ◽  
Representation Result

AbstractRisk measures such as expected shortfall (ES) and value-at-risk (VaR) have been prominent in banking regulation and financial risk management. Motivated by practical considerations in the assessment and management of risks, including tractability, scenario relevance and robustness, we consider theoretical properties of scenario-based risk evaluation. We establish axiomatic characterisations of scenario-based risk measures that are comonotonic-additive or coherent, and we obtain a novel ES-based representation result. We propose several novel scenario-based risk measures, including various versions of Max-ES and Max-VaR, and study their properties. The theory is illustrated with financial data examples.

FINANCIAL RISK MANAGEMENT IN ENTREPRENEURIAL ACTIVITY: CONCEPT, SYSTEM AND PRINCIPLE OF BUILDING

2020 ◽  
Vol 2 (4) ◽  
pp. 62-67
Author(s):  
M. M. KHAYTANOVA ◽  
Keyword(s):  
Risk Management ◽  
Financial Risk ◽  
Entrepreneurial Activity ◽  
Financial Risks ◽  
Study Methods ◽  
Financial Risk Management ◽  
Concept System

The article reveals: theoretical justifications of the concept of “financial risk” in relation to the sphere of entrepreneurship; methods for its identification and processing. Financial risk management is the activity of identification, assessment, control and monitoring of risks. In the course of the study, methods for managing financial risks in entrepreneurial activity and their classification were identified.

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