Forecasting Value at Risk and Conditional Value at Risk using Option Market Data

SSRN Electronic Journal ◽

10.2139/ssrn.3690471 ◽

2020 ◽

Author(s):

Annalisa Molino ◽

Carlo Sala

Keyword(s):

At Risk ◽

Value At Risk ◽

Conditional Value At Risk ◽

Market Data ◽

Option Market

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Forecasting Value at Risk and Conditional Value at Risk using Option Market Data

Journal of Forecasting ◽

10.1002/for.2756 ◽

2020 ◽

Author(s):

Annalisa Molino ◽

Carlo Sala

Keyword(s):

At Risk ◽

Value At Risk ◽

Conditional Value At Risk ◽

Market Data ◽

Option Market

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

The Journal of Risk ◽

10.21314/jor.2014.281 ◽

2014 ◽

Vol 16 (6) ◽

pp. 3-29 ◽

Cited By ~ 10

Author(s):

Samuel Drapeau ◽

Michael Kupper ◽

Antonis Papapantoleon

Keyword(s):

At Risk ◽

Value At Risk ◽

Conditional Value At Risk ◽

Certainty Equivalents

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Intraday Conditional Value at Risk: A Periodic Mixed-Frequency GAS Approach

SSRN Electronic Journal ◽

10.2139/ssrn.3713896 ◽

2019 ◽

Author(s):

Bastian Gribisch ◽

Tobias Eckernkemper

Keyword(s):

At Risk ◽

Value At Risk ◽

Conditional Value At Risk ◽

Mixed Frequency

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A conditional value-at-risk based planning model for integrated energy system with energy storage and renewables

Applied Energy ◽

10.1016/j.apenergy.2021.116971 ◽

2021 ◽

Vol 294 ◽

pp. 116971

Author(s):

Ang Xuan ◽

Xinwei Shen ◽

Qinglai Guo ◽

Hongbin Sun

Keyword(s):

At Risk ◽

Energy Storage ◽

Value At Risk ◽

Energy System ◽

Conditional Value At Risk ◽

Planning Model ◽

Integrated Energy System

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Reserve-energy joint optimal scheduling based on Conditional Value-at-Risk for Islanded Microgrids

2020 IEEE Sustainable Power and Energy Conference (iSPEC) ◽

10.1109/ispec50848.2020.9351024 ◽

2020 ◽

Author(s):

Siliang Liu ◽

Zehuai Liu ◽

Qinhao Li ◽

Wenyang Deng ◽

Lai Zhou

Keyword(s):

At Risk ◽

Value At Risk ◽

Optimal Scheduling ◽

Conditional Value At Risk

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The optimal hourly electricity price considering wind electricity uncertainty based on conditional value at risk

International Journal of Green Energy ◽

10.1080/15435075.2020.1865372 ◽

2021 ◽

pp. 1-13

Author(s):

Haike Qiao ◽

Zijun Zhang ◽

Qin Su

Keyword(s):

At Risk ◽

Value At Risk ◽

Electricity Price ◽

Conditional Value At Risk

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Risk-Averse Network Design with Behavioral Conditional Value-at-Risk for Hazardous Materials Transportation

Transportation Science ◽

10.1287/trsc.2019.0925 ◽

2019 ◽

Cited By ~ 1

Author(s):

Liu Su ◽

Changhyun Kwon

Keyword(s):

At Risk ◽

Network Design ◽

Value At Risk ◽

Hazardous Materials ◽

Conditional Value At Risk ◽

Risk Averse ◽

Hazardous Materials Transportation

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Tradeoff between expected reward and conditional value-at-risk criterion in newsvendor models

2007 IEEE International Conference on Industrial Engineering and Engineering Management ◽

10.1109/ieem.2007.4419453 ◽

2007 ◽

Author(s):

Minghui Xu ◽

Frank Y Chen

Keyword(s):

At Risk ◽

Value At Risk ◽

Conditional Value At Risk ◽

Risk Criterion

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

The Engineering Economist ◽

10.1080/0013791x.2013.876795 ◽

2014 ◽

Vol 59 (2) ◽

pp. 116-135 ◽

Cited By ~ 2

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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A primal-dual aggregation algorithm for minimizing conditional value-at-risk in linear programs

Computational Optimization and Applications ◽

10.1007/s10589-014-9692-6 ◽

2014 ◽

Vol 59 (3) ◽

pp. 617-638 ◽

Cited By ~ 21

Author(s):

Daniel Espinoza ◽

Eduardo Moreno

Keyword(s):

At Risk ◽

Value At Risk ◽

Conditional Value At Risk ◽

Linear Programs ◽

Primal Dual

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