This paper concentrates on estimating the risk of Title Transfer Facility (TTF) Hub natural gas portfolios by using the GARCH-EVT-copula model. We first use the univariate ARMA-GARCH model to model each natural gas return series. Second, the extreme value distribution (EVT) is fitted to the tails of the residuals to model marginal residual distributions. Third, multivariate Gaussian copula and ...

Many risk measures have been recently introduced which (for discrete random variables) result in Linear Programs (LP). While some LP computable risk measures may be viewed as approximations to the variance (e.g., the mean absolute deviation or the Gini’s mean absolute difference), shortfall or quantile risk measures are recently gaining more popularity in various financial applications. In this...

We introduce options on FTSE100 index in portfolio optimisation with shares in which conditional value at risk (CVaR) is minimised. The option considered here is the one that follows FTSE100 Index Option standards. Price of options are calculated under the risk neutral valuation. The efficient portfolio composed under this addition of options shows that put option will be selected as part of th...

Comprehensive methods must be used for portfolio optimization. For this purpose, financial data of stock companies, inputs and outputs variable, the risk measure and investor’s preferences must be considered. By considering these items, we propose a method for portfolio optimization. In this paper, we used financial data of companies for screening the stock companies. We used Conditional Value ...

The non-normality of financial asset returns has important implications for hedging. In particular, in contrast with the unambiguous effect that minimum-variance hedging has on the standard deviation, it can actually increase the negative skewness and kurtosis of hedge portfolio returns. Thus the reduction in Value at Risk (VaR) and Conditional Value at Risk (CVaR) that minimum-variance hedging...

The offer of a delayed period for payment from suppliers may help retailers to order more but also improve the total supply chain performance. In this paper, we adopt Conditional Value-at-Risk, CVaR, as the performance criterion to examine how supply chain performance is affected through the deferred payment contract. Analytical results are yielded for the newsvendor retailer’s optimal order qu...

By mid 2004, the Basel Committee on Banking Supervision (BCBS) is expected to launch its final recommendations on minimum capital requirements in the banking industry. Although there is the intention to arrive at capital charges which concur with economic intuition, the risk weight formulas proposed by the committee will lack an adequate treatment of concentration risks in credit portfolios. Th...

We study the coordination of supply chains with a risk-neutral supplier and a risk-averse retailer. Different from the downside risk setting, in a conditional value-at-risk (CVaR) framework, we show that the supply chain can be coordinated with the revenue-sharing, buy-back, two-part tariff and quantity flexibility contracts. Furthermore the revenuesharing contracts are still equivalent to the ...

This paper focuses on two main issues that are based on two important concepts: exponential Levy process and minimal entropy martingale measure. First, we intend to obtain   risk measurement such as value-at-risk (VaR) and conditional value-at-risk (CvaR) using Monte-Carlo methodunder minimal entropy martingale measure (MEMM) for exponential Levy process. This Martingale measure is used for the...

The proper description of dynamic information correlation among individual stages is very important for the construction of multi-period risk measure and the selection of optimal investment strategy. To overcome the limitations of existing random frameworks, we initially introduce a ”two-level” structure to describe the dynamic information evolution: the outer-level describes endogenous marcoma...