Vegetable market risk measurement and evaluation based on VaR method—a case study of a vegetable wholesale market in Beijing

2013 ◽  
pp. 569-576
Keyword(s):  
Market Risk ◽  
Risk Measurement ◽  
Wholesale Market ◽  
Measurement And Evaluation

scholarly journals MEASURING MODEL RISK IN FINANCIAL RISK MANAGEMENT AND PRICING

2020 ◽  
Vol 23 (02) ◽  
pp. 2050012 ◽  
Author(s):  
VALERIANE JOKHADZE ◽  
WOLFGANG M. SCHMIDT
Keyword(s):  
Probability Distribution ◽  
Financial Risk ◽  
Reference Model ◽  
Risk Measures ◽  
Model Space ◽  
Market Risk ◽  
Risk Measurement ◽  
Model Risk ◽  
Financial Risk Management

Risk measurement and pricing of financial positions are based on modeling assumptions, which are common assumptions on the probability distribution of the position’s outcomes. We associate a model with a probability measure and investigate model risk by considering a model space. First, we incorporate model risk into market risk measures by introducing model weighted and superposed market risk measures. Second, we quantify model risk itself and propose axioms for model risk measures. We introduce superposed model risk measures that quantify model risk relative to a reference model, which is the financial institution’s model of choice. Several risk measures that we propose require a probability distribution on the model space, which can be obtained from data by applying Bayesian analysis. Examples and a case study illustrate our approaches.

scholarly journals Prosumer Community Portfolio Optimization via Aggregator: The Case of the Iberian Electricity Market and Portuguese Retail Market

Energies ◽  
2021 ◽  
Vol 14 (13) ◽  
pp. 3747
Author(s):  
Ricardo Faia ◽  
Tiago Pinto ◽  
Zita Vale ◽  
Juan Manuel Corchado
Keyword(s):  
Portfolio Optimization ◽  
Electricity Markets ◽  
Electricity Market ◽  
Retail Market ◽  
Wholesale Market ◽  
Generation Capacity ◽  
Wholesale Electricity Market ◽  
Portfolio Optimization Model ◽  
Photovoltaic Generators

The participation of household prosumers in wholesale electricity markets is very limited, considering the minimum participation limit imposed by most market participation rules. The generation capacity of households has been increasing since the installation of distributed generation from renewable sources in their facilities brings advantages for themselves and the system. Due to the growth of self-consumption, network operators have been putting aside the purchase of electricity from households, and there has been a reduction in the price of these transactions. This paper proposes an innovative model that uses the aggregation of households to reach the minimum limits of electricity volume needed to participate in the wholesale market. In this way, the Aggregator represents the community of households in market sales and purchases. An electricity transactions portfolio optimization model is proposed to enable the Aggregator reaching the decisions on which markets to participate to maximize the market negotiation outcomes, considering the day-ahead market, intra-day market, and retail market. A case study is presented, considering the Iberian wholesale electricity market and the Portuguese retail market. A community of 50 prosumers equipped with photovoltaic generators and individual storage systems is used to carry out the experiments. A cost reduction of 6–11% is achieved when the community of households buys and sells electricity in the wholesale market through the Aggregator.

scholarly journals MANAJEMEN RISIKO PEMBIAYAAN MUSYARAKAH MUTANAQISAH DI BANK MUAMALAT INDONESIA KC MAS MANSYUR SURABAYA

2020 ◽  
Vol 6 (1) ◽  
pp. 188
Author(s):  
Gea Papurane Langi ◽  
Imron Mawardi
Keyword(s):  
Risk Management ◽  
Research Method ◽  
Market Risk ◽  
Qualitative Approach ◽  
Case Study Method ◽  
Islamic Bank ◽  
Data Collecting ◽  
Financing Risk ◽  
Branch Office

This research is done to see any risks that happened in Islamic bank, which can damage the bank. While it aims to find out the strategy used by Bank Muamalat Indonesia (BMI) to reduce the risk faced and often happened in the field. The research method uses a qualitative approach with a case study method. Data collecting was done by relating proposed questions and the conclusion made from the result of the interview with Branch Manager (BM), Relation Manager, and Remedial BMI of Branch Office of Mas Mansyur. The result of this research showed that BMI of Mas Mansyur Branch Office had done the process of risk management by identifying risk in the manner of finding out the existing risks which are financing risk; market risk; and ownership risk, measuring and monitoring the risks in the manner of doing measurement to find out and see any reason that causes those risks exist, and controlling and managing the existing risks in Musyarakah Mutanaqisah (MMQ) financing in the manner of ways that have already determined by BMI of Mas Mansyur Branch Office. The last is by monitoring the risks in MMQ financing at BMI of Mas Mansyur Branch Office.Keywords: Risk Management, Risk, Financing, Musyarakah Mutanaqisah, Bank Muamalat Indonesia

I cambiamenti nei sistemi di misurazione e valutazione manageriale nelle aziende ospedaliere universitarie come contesti multi-stakeholder: proposizioni teoriche ed evidenze empiriche

2012 ◽  
pp. 63-86
Author(s):  
Antonio Leotta ◽  
Daniela Ruggeri
Keyword(s):  
Health Professional ◽  
Performance Measurement ◽  
Teaching Hospital ◽  
Theoretical Approach ◽  
Teaching Hospitals ◽  
Evaluation Systems ◽  
Measurement And Evaluation ◽  
Multi Stakeholder ◽  
The Empirical Analysis

Given the growing attention to changes in performance measurement and evaluation systems in healthcare contexts, the present study aims at improving our understanding of such processes within teaching hospitals, examining how managerial and health-professional logics contribute to these changes. In the theoretical part of the study we analyse teaching hospitals as multistakeholder contexts. Particularly, we propose a theoretical approach that represents changes as dialectical phenomena so as to explain how the interaction among influential stakeholders (representing managerial and professional logics) affects changes in performance measurement and evaluation systems. The empirical part of the paper is devoted to a case-study focused on changes in performance measurement and evaluation systems in a Sicilian teaching hospital. The empirical analysis aims at examining the observed changes in the light of the theoretical framework proposed, emphasizing the interactions among the logics that characterize the teaching hospital context.

Synthesis and Conclusion

2019 ◽  
pp. 443-458
Author(s):  
Alan N. Rechtschaffen
Keyword(s):  
Civil War ◽  
Interest Rate ◽  
Liquidity Risk ◽  
Market Risk ◽  
Interest Rate Risk ◽  
Securities And Exchange Commission ◽  
Confederate States Of America ◽  
Rate Risk ◽  
National Bank

This chapter begins with a synthesis of key themes, covering derivatives, debt instruments, and structured notes. It considers the case study Securities and Exchange Commission v. Goldman, Sachs & Co. & Fabrice Tourre. It then describes the Erlanger “cotton” bonds issued by the Confederate States of America to raise money during the Civil War. This is followed by discussions on range notes, internal leverage and market risk, and risks (interest rate risk, liquidity risk, reinvestment risk). The chapter concludes by describing the bulletin issued by the Office of the Comptroller of the Currency on May 22, 2002, to all national bank CEOs and all federal branches and agencies in regard to risky “yield-chasing” strategies that were returning to the markets.

scholarly journals A Computationally more Efficient Distance based VaR Methodology for Real Time Market Risk Measurement

2015 ◽  
Vol 8 (36) ◽  
Author(s):  
Sastry K. R. Jammalamadaka ◽  
K. V. N. M. Ramesh ◽  
J. V. R. Murthy
Keyword(s):  
Real Time ◽  
Market Risk ◽  
Risk Measurement
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