On the Conditional Value-at-Risk probability-dependent utility function

2009 ◽  
Vol 68 (1-2) ◽  
pp. 49-68 ◽  
Author(s):  
Alexandre Street
Keyword(s):  
At Risk ◽  
Utility Function ◽  
Value At Risk ◽  
Conditional Value At Risk ◽  
Risk Probability

scholarly journals MENGUKUR RISIKO SISTEMIK DAN KETERKAITAN FINANSIAL PERBANKAN DI INDONESIA

2014 ◽  
Vol 16 (2) ◽  
pp. 103-125 ◽  
Author(s):  
Sri Ayomi ◽  
Bambang Hermanto
Keyword(s):  
At Risk ◽  
Systemic Risk ◽  
Value At Risk ◽  
Jel Classification ◽  
Conditional Value At Risk ◽  
Probability Of Default ◽  
Insolvency Risk ◽  
Merton Model ◽  
Risk Probability

This paper measures the insolvency risk of bank in Indonesia. We apply Merton model to identify the probability of defaul tover 30 banks during the period of 2002-2013. This paper also identify role of financial linkage a cross banks on transmitting from one bank to another; which enable us to assess if the risk is systemic or not. The results showed the larger total asset of the bank, the larger they contribute to systemic risk. Keywords : Conditional Value at Risk; Probability of Default; systemic risk and financial linkages;Value at Risk. JEL Classification: D81, G21, G33

scholarly journals SYSTEMIC RISK AND FINANCIAL LINKAGES MEASUREMENT IN THE INDONESIAN BANKING

2014 ◽  
Vol 16 (2) ◽  
pp. 91-114
Author(s):  
Sri Ayomi ◽  
Bambang Hermanto
Keyword(s):  
At Risk ◽  
Systemic Risk ◽  
Value At Risk ◽  
Total Asset ◽  
Conditional Value At Risk ◽  
Probability Of Default ◽  
Insolvency Risk ◽  
Merton Model ◽  
Risk Probability

This paper measures the insolvency risk of bank in Indonesia. We apply Merton model to identify the probability of defaul tover 30 banks during the period of 2002-2013. This paper also identify role of financial linkage a cross banks on transmitting from one bank to another; which enable us to assess if the risk is systemic or not. The results showed the larger total asset of the bank, the larger they contribute to systemic risk. Keywords : Conditional Value at Risk; Probability of Default; systemic risk and financial linkages;Value at Risk.JEL Classification: D81, G21, G33

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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