Fossil energy markets have always been known as strategic and important markets. They have a significant impact on the macro economy and financial markets of the world. The nature of these markets are accompanied by sudden shocks and volatility in the prices. Therefore, they must be controlled and forecasted by using appropriate tools. This paper adopts the Generalized Auto Regressive Condition...

Two main axiomatically based risk measures are the coherent risk measure, which assumes subadditivity for random variables, and the insurance risk measure, which assumes additivity for comonotonic random variables. We propose a new, data based, risk measure, called natural risk statistic, that is characterized by a new set of axioms. The new axioms only require subadditivity for comonotonic ran...

Real-life decisions are usually made in the state of uncertainty or risk. In this article we present the risk measuring techniques value at risk (VaR) and tail value at risk (TVaR) under uncertainty. Firstly, we introduce the VaR concept of uncertain variable based on uncertainty theory and examine its fundamental properties. Then, the TVaR concept is evolved and some fundamental properties of ...

Consider a dynamic decision making model under risk with a fixed planning horizon, namely the dynamic capacity control model. The model describes a firm, operating in a monopolistic setting and selling a range of products consuming a single resource. Demand for each product is time-dependent and modeled by a random variable. The firm controls the revenue stream by allowing or denying customer r...

Management of operational risk is of prime importance in riskmanagement for commercial banks, and many theoretical and practical studies of operational risk management have been carried out. Conditional value-at-risk (CVaR) models based on the peak value method of extreme value theory are used here tomeasure operational risk. Loss data for commercial banks are used in an empirical analysis. Tes...

In this paper, we propose a multiscale dependence-based methodology to analyze the dependence structure and to estimate the downside portfolio risk measures in the energy markets. More specifically, under this methodology, we formulate a new bivariate Empirical Mode Decomposition (EMD) copula based approach to analyze and model the multiscale dependence structure in the energy markets. The prop...

The difference between market risk and potential market risk is emphasized and a measure of the latter risk is proposed. Specifically, it is argued that the spectrum of smooth Lyapunov exponents can be utilized in what we call (λ, σ)-analysis, which is a method to monitor the aforementioned risk measures. The reason is that these exponents focus on the stability properties (λ) of the stochastic...