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Journal articles on the topic 'Concept of Value-At-Risk'

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Published: 28 May 2022

Last updated: 31 July 2025

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1

Rogachev, Andrey. "Value‐at‐risk concept by Swiss private banks." Journal of Risk Finance 8, no. 1 (2007): 72–78. http://dx.doi.org/10.1108/15265940710721091.

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Omer, Hadzic, and Bisanovic Smajo. "Risk assessment for ancillary services." International Journal of Electrical and Computer Engineering (IJECE) 9, no. 3 (2019): 1561–68. https://doi.org/10.11591/ijece.v9i3.pp1561-1568.

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The power trading and ancillary services provision comprise technical and financial risks and therefore require a structured risk management. Focus in this paper is on financial risk management that is important for the system operator faces when providing and using ancillary services for balancing of power system. Risk on ancillary services portfolio is modeled through value at risk and conditional value at risk measures. The application of these risk measures in power system is given in detail to show how to using the risk concept in practice. Conditional value at risk optimization is analys

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3

Broll, Udo, and Andreas Förster. "Market risk, value-at-risk and exponential weighting." Economics and Business Review 8, no. 2 (2022): 80–91. http://dx.doi.org/10.18559/ebr.2022.2.5.

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Banks and financial intermediaries are exposed to market risk. The aim of the paper is to explore the implications of legal requirements on market risk valuation. The focus is on the calculation of the permissible weighting factor of the concept of value-at-risk (VaR). When measuring market risk, banks and financial intermediaries may deviate from equally weighting historical data in their value-at-risk calculation and instead use an exponential time series weighting. The use of exponential weighting in the value-at-risk calculation is very popular because it takes into account changes in mark

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Syueke, Nyu. "Creation of criteria for economic security of an enterprise based on the risk accounting methodology Value at Risk." Bulletin of scientific research results 2024, no. 4 (2024): 163–72. https://doi.org/10.20295/2223-9987-2024-04-163-172.

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Purpose: to demonstrate the application of the VaR risk analysis methodology when such risks arise. Methods: statistical models based on modeling of economic processes of the enterprise. Results: in accordance with the conducted research, it was revealed that in modern conditions, the economic security threats to food industry enterprises are increasing. It was revealed that the directions of emergence of new threats and problems coincide with the creation of economic security criteria based on modern research economic and statistical tools, one of which is the Value at Risk (VaR) method — val

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5

Tamara, Dewi, and Grigory Ryabtsev. "VALUE-AT-RISK (VAR) APPLICATION AT HYPOTHETICAL PORTFOLIOS IN JAKARTA ISLAMIC INDEX." Journal of Applied Finance & Accounting 3, no. 2 (2011): 153–80. http://dx.doi.org/10.21512/jafa.v3i2.168.

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The paper is an exploratory study to apply the method of historical simulation based on the concept of Value at Risk on hypothetical portfolios on Jakarta Islamic Index (JII). Value at Risk is a tool to measure a portfolio’s exposure to market risk. We construct four portfolios based on the frequencies of the companies in Jakarta Islamic Index on the period of 1 January 2008 to 2 August 2010. The portfolio A has 12 companies, Portfolio B has 9 companies, portfolio C has 6 companies and portfolio D has 4 companies. We put the initial investment equivalent to USD 100 and use the rate of 1 USD=Rp

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Mohd Amin, Farah Azaliney, Nur Qamarina Ghazali, Nursahira Zainalbidin, and Nur Najwa Alia Kamarudin. "A comparative analysis of Islamic unit trust portfolio using value at risk methodologies." Journal of International Business, Economics and Entrepreneurship 5, no. 2 (2020): 12. http://dx.doi.org/10.24191/jibe.v5i2.14228.

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Islamic unit trust is a sunrise industry in the Malaysian capital market over the last decades to fulfill the demand from its Muslim investors. Muslim investors are only willing to invest their capital if the investment does not conflict with their religious beliefs, namely Islam. Previously, most of the studies focused to evaluate the performance of unit trust funds relative to the market as a whole. Meanwhile, it is also important for investors to accurately measure their downside risk because it is closely related to their future losses. Thus, Value at Risk (VaR) concept was introduced to c

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Nur Rohman, Muhammad, and Albert Eddy Husin. "IMPLEMENTATION OF VALUE FOR MONEY AT RISK ANALYSIS MODEL FOR GREEN BATCHING PLANT COST PERFORMANCE BASED ON NRMCA ASSESSMENT." Journal of Mechanical Engineering and Applied Technology 2, no. 2 (2024): 51–58. https://doi.org/10.32497/jmeat.v2i2.5633.

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The current green concept trend in Indonesia is contributing to the advancement of sustainability across all industries, including the construction materials sector. The concrete business is crucial because it provides the fundamental components for concrete, which is a critical role it performs in the building process. Throughout the production process, ready-mix concrete has a very negative effect on the environment. Planning and constructing a green concept will be 10-20% more expensive than conventional development. Researchers will use the value for money (VfM)-at-risk analysis model tech

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Vila Verde, Vitor M. R., João F. S. Gomes Peres, and Bernardino A. A. Costa. "Value of the Head-at-Risk Concept in Assessing the Prognosis in Legg-Calvé -Perthes Disease." Journal of Pediatric Orthopaedics 5, no. 4 (1985): 422–27. http://dx.doi.org/10.1097/01241398-198507000-00006.

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9

Husin, Albert Eddy, and Muhammad Nur Rohman. "Value for Money-at-Risk Analysis Model for Green Batching Plant Benefit based National Ready Mix Co Association (NRMCA) Method." ASTONJADRO 14, no. 2 (2025): 376–92. https://doi.org/10.32832/astonjadro.v14i2.17051.

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The current green concept trend in Indonesia is contributing to the advancement of sustainability across all industries, including the construction materials sector. The concrete business is crucial because it provides the fundamental components for concrete, which is a critical role it performs in the building process. Throughout the production process, ready-mix concrete has a very negative effect on the environment. Planning and constructing a green concept will be 10-20% more expensive than conventional development. Researchers will use the value for money (VfM)-at-risk analysis model tech

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10

Astuti, Putri Endah, and Tri Gunarsih. "VALUE-AT-RISK ANALYSIS IN RISK MEASUREMENT AND FORMATION OF OPTIMAL PORTFOLIO IN BANKING SHARE." JBTI : Jurnal Bisnis : Teori dan Implementasi 12, no. 2 (2021): 103–14. http://dx.doi.org/10.18196/jbti.v12i2.12263.

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This study analyzes the application of Value at Risk (VaR) in estimating the risk of investment in banking stocks and the formation of an optimal portfolio using the Mean-VaR method based on the Markowitz approach. Many studies show that market data are often abnormal and make the assumption of normality considered irrelevant. This is the background of research on VaR using the historical simulation method, which is a method that moves away from the concept of normality. In addition, the crisis due to the Covid-19 pandemic makes the market difficult to predict. The period used in this study is

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Arumningtyas, Felinda, Alan Prahutama, and Puspita Kartikasari. "Value-At-Risk Analysis Using ARIMAX-GARCHX Approach For Estimating Risk Of Bank Central Asia Stock Returns." Jurnal Varian 5, no. 1 (2021): 71–80. http://dx.doi.org/10.30812/varian.v5i1.1474.

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Before buying a stock, an investor must estimate the risk which will be received. VaR is one of the methods that can be used to measure the level of risk. Most stock returns have a high fluctuation, so the variant is heteroscedastic, which is thought to be caused by exogenous variables. The time series model used to model data that is not only influenced by the previous period but is also influenced by exogenous variables is ARIMAX. In contrast, the GARCHX model is used to obtain a more optimal stock return data model with heteroscedasticity cases and is influenced by exogenous variables. This

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Kulińska, Ewa. "Model of Axiological Dimension Risk Management." Foundations of Management 8, no. 1 (2016): 211–26. http://dx.doi.org/10.1515/fman-2016-0017.

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Abstract It was on the basis of the obtained results that identify the key prerequisites for the integration of the management of logistics processes, management of the value creation process, and risk management that the methodological basis for the construction of the axiological dimension of the risk management (ADRM) model of logistics processes was determined. By taking into account the contribution of individual concepts to the new research area, its essence was defined as an integrated, structured instrumentation aimed at the identification and implementation of logistics processes supp

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Setiani, Setiani, Di Asih I. Maruddani, and Dwi Ispriyanti. "VALUE AT RISK (VAR) METODE DELTA-NORMAL BERDASARKAN DURASI UNTUK UKURAN RISIKO OBLIGASI PEMERINTAH." Jurnal Gaussian 10, no. 3 (2021): 455–65. http://dx.doi.org/10.14710/j.gauss.v10i3.32806.

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A bond is one of invesment instrument that is basically a debt instrument. In investing, beside getting profit there is also the risk of loss. The risk of loss is unavoidable but it can be manageable. The concept of a portfolio in investing is to minimize risk. Value at Risk (VaR) is a method used to measure risk where VaR states the estimated amount of the maximum loss that will be obtained at a certain level of confidence during a certain period in normal market conditions. In this article the risk of bonds FR0053, FR0056, FR0059, FR0061 and portfolio combinations calculated with VaR value o

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WAHARIKA, INTAN AWYA, KOMANG DHARMAWAN, and NI MADE ASIH. "MENAKSIR VALUE AT RISK (VAR) PORTOFOLIO PADA INDEKS SAHAM DENGAN METODE PENDUGA VOLATILITAS GARCH." E-Jurnal Matematika 2, no. 1 (2013): 14. http://dx.doi.org/10.24843/mtk.2013.v02.i01.p022.

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Value at Risk (VaR) is a concept which was used to measure a risk on risk management. VaR explained the worst amount of financial loss in a financial product with the horizon and certain degree of believe. In the calculation of VaR, it was needed a prediction in volality, volality from a series of time which can be homokedasticity (constant) or heterokedasticity (ever changed). Changed volality can be found on the stock and stock index. One of the method which was done in modeling of changed volality was GARCH. In this research, GARCH was used to estimate VaR’s Value from IHSG and LQ45 to be s

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Hadzic, Omer, and Smajo Bisanovic. "Risk assessment for ancillary services." International Journal of Electrical and Computer Engineering (IJECE) 9, no. 3 (2019): 1561. http://dx.doi.org/10.11591/ijece.v9i3.pp1561-1568.

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The power trading and ancillary services provision comprise technical and financial risks and therefore require a structured risk management. Focus in this paper is on financial risk management that is important for the system operator faces when providing and using ancillary services for balancing of power system. Risk on ancillary services portfolio is modeled through value at risk and conditional value at risk measures. The application of these risk measures in power system is given in detail to show how to using the risk concept in practice. Conditional value at risk optimization is analys

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16

Cerović, Julija, Milena Lipovina-Božović, and Saša Vujošević. "A Comparative Analysis of Value at Risk Measurement on Emerging Stock Markets: Case of Montenegro." Business Systems Research Journal 6, no. 1 (2015): 36–55. http://dx.doi.org/10.1515/bsrj-2015-0003.

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Abstract Background: The concept of value at risk gives estimation of the maximum loss of financial position at a given time for a given probability. The motivation for this analysis lies in the desire to devote necessary attention to risks in Montenegro, and to approach to quantifying and managing risk more thoroughly. Objectives: This paper considers adequacy of the most recent approaches for quantifying market risk, especially of methods that are in the basis of extreme value theory, in Montenegrin emerging market before and during the global financial crisis. In particular, the purpose of

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Khoerunnisa, Hana, and Elis Ratna Wulan. "Pendekatan Probabilistik dalam Evaluasi Investasi dan Manajemen Portofolio." Jurnal Ekonomi Dan Statistik Indonesia 4, no. 2 (2025): 96–103. https://doi.org/10.11594/jesi.04.02.04.

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The probabilistic approach in investment evaluation and portfo-lio management has become a crucial tool for measuring and man-aging risk. This article explores various probabilistic concepts and techniques used in finance, including Value at Risk (VaR), Condition-al Value at Risk (CVaR), and stress testing. Additionally, basic proba-bility theory, probability distributions, and random variables are discussed to provide a comprehensive understanding of the appli-cation of probability in investments. The analysis includes the use of probabilistic models to evaluate expected value and investment

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18

Orr, Stuart, and William Sarni. "Does the concept of “creating shared value” hold water?" Journal of Business Strategy 36, no. 3 (2015): 18–29. http://dx.doi.org/10.1108/jbs-10-2013-0098.

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Purpose – This paper aims to challenge corporate theories such as creating shared value (CSV) as to how they account for company water use given that water risk is ultimately not an efficiency challenge. In exploring CSV and the management of shared resources, there are limitations to the value of CSV (as currently framed) as a response strategy to water risks. For almost all businesses, water challenges involve complex social and environmental considerations “beyond efficiency”. Water stewardship is also an evolving framework, yet at its core implies an awareness and willingness to seek colla

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19

Церовић, Јулија. "Концепт параметра вриједности при ризику и контрола ризика у Црној Гори // The concept of value at risk (VaR) and risk regulatory in Montenegro". ACTA ECONOMICA 12, № 21 (2014): 105. http://dx.doi.org/10.7251/ace1421105c.

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Резиме: Концепт вриједности при ризику (Value at risk - VaR) је мјера која се све више користи за оцјену степена изложености ризику учесника на финансијским тржиштима. Циљ овог концепта који је почео да преовладава у свијету управљања ризиком од 1994. године, јесте оцјена максималног губитка финансијске позиције у одређеном временском периоду за дату вјероватноћу. Постоји велики број мјера које квантификују ризик, и циљ рада је да се ове мјере изложе, са посебним акцентом на VaR. Такође, код мјерења финансијског ризика треба имати у виду особине финансијских временских серија, па су стога посе

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Krzakiewicz, Kazimierz, and Szymon Cyfert. "Organizational reputation risk management as a component of the dynamic capabilities management process." Management 19, no. 1 (2015): 6–18. http://dx.doi.org/10.1515/manment-2015-0001.

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Summary Intangible assets, such as reputation, brand value, strategic position, alliances, knowledge, human capital, play an increasingly important role in shaping the market value of an organization. At the same time, in the literature it is emphasized that the attribute of intangibility translates into an increased risk of destruction or impairment of assets. Thus, the research problem associated with the analysis of organizational reputation risk management as a component of the dynamic capabilities management process should be considered important from the point of view of management scien

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Devitasari, Putri, Di Asih I. Maruddani, and Puspita Kartikasari. "PENGARUH KONVEKSITAS TERHADAP SENSITIVITAS HARGA JUAL DAN DELTA-NORMAL VALUE AT RISK (VAR) PORTOFOLIO OBLIGASI PEMERINTAH MENGGUNAKAN DURASI EKSPONENSIAL." Jurnal Gaussian 11, no. 4 (2022): 532–41. http://dx.doi.org/10.14710/j.gauss.11.4.532-541.

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Bonds are one of the investment instruments issued by the issuer as proof of debt. Bond investment is relatively safe, but it is possible for investors to experience losses. Investors should always consider that trading a bond is always risky. One of the important bond risks is interest risk. The concept of duration can only explain well for small changes in interest rates but cannot explain well for large changes in interest rates. The estimation of the duration concept will have a larger calculation error with the greater changes in market interest rates that occur so it is necessary to add

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Szczepańska, Joanna. "Risk measurement in profitability calculation of non-financial investment." Kwartalnik Nauk o Przedsiębiorstwie 67, no. 1 (2023): 98–114. http://dx.doi.org/10.33119/knop.2023.67.1.6.

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In the paper a model of non-financial investment profitability calculation is presented. It is based on the concept of quantile risk measures and a real option valuation. Application of Monte Carlo simulation allows to receive probability distribution of Net Present Value (NPV) and implement risk measures like Cash Flow at Risk (CFaR), Net Present Value at Risk (NPVaR) or Expected Shortfall (ES) in relation to NPV (ES (NPV)). The main contribution of the article is implementation of ES (NPV) that shows the average of worst losses regarding NPV. ES (NPV) informs the investors what the worst res

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Laratmase, Antonia Junianty, Yohanes Jhony Kurniawan, Antonius Anton Lie, Robidi Robidi, Ady Febrisutisyanto, and Antonia Samantha Damara. "The Effectiveness of Teacher Competition Analysis in Improving Insurance Literacy at National Level." Jurnal Manajemen Pendidikan 16, no. 1 (2025): 86–92. https://doi.org/10.21009/jmp.v16i1.55123.

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Background Insurance literacy remains a critical component of financial education, particularly in developing nations where public understanding of insurance principles is often limited. Purpose This study aimed to determine the insurance literacy of teachers who had participated in the competition. Design/method/approach The method used was descriptive qualitative method with data collection techniques through questionnaires. Results The study results were: (1). The teacher insurance knowledge level was already at a high level, well literate, with a score of 240 the interval of 160-240. This

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Pfeifer, Ulrich, and Ruth Horn. "Can there be wrongful life at the end of life? German courts revisit an old problem in a new context." Journal of Medical Ethics 46, no. 5 (2020): 348–50. http://dx.doi.org/10.1136/medethics-2019-105883.

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This article discusses a recent ruling by the German Federal Court concerning medical professional liability due to potentially unlawful clinically assisted nutrition and hydration (CANH) at the end of life. This case raises important ethical and legal questions regarding a third person’s right to judge the value of another person’s life and the concept of ‘wrongful life’. In our brief report, we discuss the concepts of the ‘value of life’ and wrongful life, which were evoked by the court, and how these concepts apply to the present case. We examine whether and to what extent value-of-life jud

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Wollin, Klaus-Michael, Petra Apel, Yvonni Chovolou, et al. "Concept for the Evaluation of Carcinogenic Substances in Population-Based Human Biomonitoring." International Journal of Environmental Research and Public Health 19, no. 12 (2022): 7235. http://dx.doi.org/10.3390/ijerph19127235.

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The Human Biomonitoring (HBM) Commission at the German Environment Agency holds the opinion that for environmental carcinogens for which no exposure levels can be assumed and are harmless to health, health-based guidance values corresponding to the classical definition of the HBM-I or HBM-II value cannot be established. Therefore, only reference values have been derived so far for genotoxic carcinogens from exposure data of the general population or subpopulations. The concept presented here opens up the possibility of performing health risk assessments of carcinogenic substances in human biom

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Saunders, Greg, and Matthew Poole. "Offshore concept field development." APPEA Journal 55, no. 2 (2015): 454. http://dx.doi.org/10.1071/aj14089.

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This extended abstract describes the field development concept selection process for Karoon Gas Australia, as part of the appraisal and commercialisation of an oil resource in offshore Brazil. From an engineering design perspective, the concept selection phase offers the greatest opportunity to create project value. Options must be carefully considered before rigorous investigation to provide a firm foundation for key decisions. The concept selection study and option consideration began with a two-day framing and option identification workshop. Nine key decisions were identified as having sign

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Babanskaya, A. S., K. А. Dzhikiya, and V. M. Minaeva. "Inventory accounting in the concept of the risk-oriented approach." Buhuchet v sel'skom hozjajstve (Accounting in Agriculture), no. 1 (January 23, 2023): 14–24. http://dx.doi.org/10.33920/sel-11-2301-02.

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The article focuses on the risk-based approach in the practice of inventory accounting. The basic types of risks that arise when accounting for inventories and the mechanisms for their leveling are considered. The features of the practice of accounting for inventories in accordance with the Federal Accounting Standard 5/2019 «Reserves» are disclosed, the basics of the formation of reserves for the decline in the value of material assets are considered. The result was practical recommendations on the disclosure in accounting of certain provisions of FSBU 5/2019 and the features of reflecting in

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Yuan, Shixuan. "Comparative Analysis of Risk Measure Model in Financial Time Series." Advances in Economics, Management and Political Sciences 111, no. 1 (2024): 10–19. http://dx.doi.org/10.54254/2754-1169/111/2024ga0128.

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Abstract: With the advent of economic globalization, the severity of financial system losses is increased dramatically. To ensure that financial institutions can bear sufficient risk, numerous risk measure models emerge. This paper studies the effectiveness of different models in measuring risks in different regions. The paper uses three approaches: The parametric approach, the Semi-parametric approach, and the non-parametric approach, and seven different models that belong to these approaches to calculate value at risks and expected shortfalls. One-dimensional asset and one-day forecast are a

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Yuan, Shixuan. "Comparative Analysis of Risk Measure Model in Financial Time Series." Advances in Economics, Management and Political Sciences 107, no. 1 (2024): 94–103. https://doi.org/10.54254/2754-1169/107/2024ga0128.

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Abstract: With the advent of economic globalization, the severity of financial system losses is increased dramatically. To ensure that financial institutions can bear sufficient risk, numerous risk measure models emerge. This paper studies the effectiveness of different models in measuring risks in different regions. The paper uses three approaches: The parametric approach, the Semi-parametric approach, and the non-parametric approach, and seven different models that belong to these approaches to calculate value at risks and expected shortfalls. One-dimensional asset and one-day forecast are a

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de Leeuw, Annemargreet, Ellen Tromp, and Femke de Boer. "Flood resilient landscapes: area-based solutions combine added value for society with flood risk management." Proceedings of IAHS 386 (April 19, 2024): 173–79. http://dx.doi.org/10.5194/piahs-386-173-2024.

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Abstract. Society faces challenges such as caring for sustainable agriculture, clean energy and restoring biodiversity, whilst developing housing and industries. Climate change meanwhile stresses the Dutch water management system, impacts flood risk management and fresh water supply. To ensure making the right decisions, which we will not regret in 100 years, we developed the concept of flood resilient landscapes. The concept of flood resilient landscapes confronts, with a perspective of long term development, desired socio-economic developments with carrying capacity and potential of underlyi

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León, Javier, Justo Puerto, and Begoña Vitoriano. "A Risk-Aversion Approach for the Multiobjective Stochastic Programming Problem." Mathematics 8, no. 11 (2020): 2026. http://dx.doi.org/10.3390/math8112026.

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Multiobjective stochastic programming is a field that is well suited to tackling problems that arise in many fields: energy, financial, emergencies, among others; given that uncertainty and multiple objectives are usually present in such problems. A new concept of solution is proposed in this work, which is especially designed for risk-averse solutions. The proposed concept combines the notions of conditional value-at-risk and ordered weighted averaging operator to find solutions protected against risks due to uncertainty and under-achievement of criteria. A small example is presented in order

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Deniau, Benjamin, Pierre-Olivier Ludes, Pamela Khalifeh-Ballan, et al. "Transpulmonary LOX-1 Levels Are Predictive of Acute Respiratory Distress Syndrome After Cardiac Surgery: A Proof-of-Concept Study." Biomedicines 13, no. 4 (2025): 800. https://doi.org/10.3390/biomedicines13040800.

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Background/Objectives: Acute respiratory distress syndrome (ARDS) is a life-threatening condition that frequently complicates high-risk cardiac surgery. We evaluated the circulating levels and transpulmonary gradient of intracellular proteins in patients at risk of developing ARDS after cardiac surgery using large scale-proteomics. Methods: We enrolled sixteen patients undergoing high-risk cardiac surgery, followed by planned ICU admission. Circulating levels of intracellular proteins were measured at the onset of the surgical procedure, at ICU admission (H0), and 24 h (H24) after surgery in b

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Margaryta, BOІKO, BOSOVSKA Myroslava, and OKHRIMENKO Alla. "REFRAMING OF THE TOURIST BRANDING CONCEPT." Herald of Kyiv National University of Trade and Economics 137, no. 3 (2021): 62–80. http://dx.doi.org/10.31617/visnik.knute.2021(137)05.

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Background. The use of innovative tools in various spheres of Ukraine’s tourist system, including in particular its branding, will provide new development opportunities in the context of the global pandemic COVID-19. Analysis of recent research and publications has shown that the problems of formation Ukraine’s national tourism brand require systematic comprehensive research despite scientific interest and practical necessity. The aim of the article is to substantiate the peculiarities of reframing concept (from English reframe – to do over, to change) of tourism branding on the basis of th

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Chun, So Yeon, and Miguel A. Lejeune. "Risk-Based Loan Pricing: Portfolio Optimization Approach with Marginal Risk Contribution." Management Science 66, no. 8 (2020): 3735–53. http://dx.doi.org/10.1287/mnsc.2019.3378.

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We consider a lender (bank) that determines the optimal loan price (interest rate) to offer to prospective borrowers under uncertain borrower response and default risk. A borrower may or may not accept the loan at the price offered, and both the principal loaned and the interest income become uncertain because of the risk of default. We present a risk-based loan pricing optimization framework that explicitly takes into account the marginal risk contribution, the portfolio risk, and a borrower’s acceptance probability. Marginal risk assesses the incremental risk contribution of a prospective lo

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Lu, Wenpeng, Mingchen Wu, and Zejiong Zhou. "Analysis of Financial Investment Strategy of Manufacturing Enterprises under ESG System." Frontiers in Humanities and Social Sciences 2, no. 7 (2022): 1–9. http://dx.doi.org/10.54691/fhss.v2i7.1296.

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At present, China is in the context of achieving the goal of "carbon peaking and carbon neutrality". From the perspectives of ESG responsible investment and value investment, this article aims at the investment efficiency of Chinese manufacturing enterprises. The 2018-2022 listed company market data is tested empirically. An efficient frontier is constructed based on Markowitz's theory, and the KMV model is used to measure the credit risk of a portfolio. The research found that: First, the value investment based on the ESG concept has much higher investment benefits than the CSI 300 Index over

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Arena, Marika, Giovanni Azzone, Enrico Cagno, Amerigo Silvestri, and Paolo Trucco. "A model for operationalizing ERM in project-based operations through dynamic capabilities." International Journal of Energy Sector Management 8, no. 2 (2014): 178–97. http://dx.doi.org/10.1108/ijesm-09-2012-0008.

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Purpose – This paper aims to propose a model, to operationalize the idea of enterprise risk management (ERM), relying on the concept of capabilities. The proposed model, labelled “Spring model”, is specifically tailored to the characteristics of project-based organisations, where risk is to be managed transversally to different organizational levels (enterprise, project portfolio, functions, projects). Design/methodology/approach – A case study methodology is used to exemplify the functioning of the proposed model and display the suitability of the concept of capabilities, as means whereby com

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Liputo, Salahuddin, Lenny Syamsuddin, and Nur Ainny Tuharea. "Relationship between Self-Concept and Couping Mechanism in Adolescent Smokers." International Journal Papier Public Review 3, no. 3 (2022): 27–33. http://dx.doi.org/10.47667/ijppr.v3i3.171.

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This research was conducted at SMPN X Tapa. The purpose of this research was to determine the relationship between self-concept and coping mechanisms in adolescent smokers at SMPN X Tapa. The research method uses an analytical design with a cross sectional approach. Cross sectional survey is a study to study the dynamics of the correlation between risk factors and effects, by approach, observation or data collection all at once (point time approach). The sample of this research was 88 students and the sampling was done by using purposive sampling technique. Purposive sampling is a sampling tec

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Arias-Nicolás, José Pablo, María Isabel Parra, Mario M. Pizarro, and Eva L. Sanjuán. "Bayesian Sensitivity Analysis for VaR and CVaR Employing Distorted Band Priors." Axioms 13, no. 2 (2024): 77. http://dx.doi.org/10.3390/axioms13020077.

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In the context of robust Bayesian analysis, studies mainly focus on computing the range of some quantities of interest when the prior distribution varies in a class. We use the concept of distorted bands to introduce a family of priors on the shape parameter of the Generalized Pareto distribution. We show how certain properties of the likelihood ratio order allow us to propose novel sensitivity measures for Value at Risk and Conditional Value at Risk, which are the most useful and reliable risk measures. Although we focus on the Generalized Pareto distribution, which is essential in Extreme Va

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Cerovic, Julija, and Vesna Karadzic. "Extreme value theory in emerging markets: Evidence from the Montenegrin stock exchange." Ekonomski anali 60, no. 206 (2015): 87–116. http://dx.doi.org/10.2298/eka1506087c.

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The concept of Value at Risk(VaR) estimates the maximum loss of a financial position at a given time for a given probability. This paper considers the adequacy of the methods that are the basis of extreme value theory in the Montenegrin emerging market before and during the global financial crisis. In particular, the purpose of the paper is to investigate whether the peaks-over-threshold method outperforms the block maxima method in evaluation of Value at Risk in emerging stock markets such as the Montenegrin market. The daily return of the Montenegrin stock market index MONEX20 is analyzed fo

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Pepe, Michael. "Customer Lifetime Value: A Vital Marketing/Financial Concept For Businesses." Journal of Business & Economics Research (JBER) 10, no. 1 (2011): 1. http://dx.doi.org/10.19030/jber.v10i1.6728.

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One of the most important decisions in finance is the investment decision. The investment decision involves the allocation of capital for investment proposals whose benefits are projected to be realized in the future. Investment decisions should be evaluated in terms of their expected risk and return. The investment decision, then, determines the total amount of assets held by the firm, the composition of these assets, and the business-risk complexion of the firm as perceived by suppliers of capital (Van Horne, 2002). Customers have been identified by retailers as one of five critical assets t

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Ernawati, Siti, Katon Muhammad, and Hasyim Asyari. "Redesain Kemasan Keripik Tempe Menggunakan Metode Quality Function Deployment dan Value Engineering." INVENTORY: Industrial Vocational E-Journal On Agroindustry 5, no. 2 (2024): 74. https://doi.org/10.52759/inventory.v5i2.209.

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The existing Gandhes tempeh chips packaging is not air- and water-tight so it is at risk of damage such as not crispy, easily destroyed, and rancid odor. These packaging problems require packaging development in order to improve the function of the packaging. The purpose of this study is to determine packaging attributes based on consumer preferences to increase the value of Ghandes tempeh chips packaging based on the highest value. Improvement is done by integrating Quality Function Deployment and Value engineering techniques with the help of House of Quality, FAST diagram, and concept combin

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Krüger, Michael, Jürgen Haunstetter, Philipp Knödler, and Stefan Zunft. "Slag as an Inventory Material for Heat Storage in a Concentrated Solar Tower Power Plant: Design Studies and Systematic Comparative Assessment." Applied Sciences 9, no. 9 (2019): 1833. http://dx.doi.org/10.3390/app9091833.

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By using metallurgical slag from an electric arc furnace that is otherwise not recycled but deposited as an inventory material in thermal energy storage for concentrated solar power plants, it is possible to make a significant step forward in two transformation processes: energy and raw materials. As this type of slag has not been considered as an inventory material for this purpose, it is important to clarify fundamental questions about this low-cost material and its storage design. In this paper, design studies of slag-based thermal energy storage are carried out. Different slag-specific des

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Быков and A. Bykov. "Social Fire Risk Calculation in Respect to Gas Transportation Facilities." Safety in Technosphere 3, no. 1 (2014): 39–44. http://dx.doi.org/10.12737/2777.

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Approaches to definition of social risk indicators in current regulations applicable to gas transportation facilities are analyzed. It has been shown that these indicators’ evaluation should be undertaken within a framework of fire and accident risks, i.e. objects operate on combustible gas moving under overpressure. It is specified that existing techniques doesn´t contain a concept of social fire risk in general. The remaining existing regulations are not applied to social risk value assessment at gas transmission facilities.

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Perren, Sarah, Cynthia Formosa, Liberato Camilleri, Nachiappan Chockalingam, and Alfred Gatt. "The Thermo-Pressure Concept: A New Model in Diabetic Foot Risk Stratification." Applied Sciences 11, no. 16 (2021): 7473. http://dx.doi.org/10.3390/app11167473.

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Elevated foot pressure and high temperatures have been proposed as predictive factors for diabetic foot ulceration; however, on their own, their predictive value is still questionable. This pilot study hypothesized that combining these two measurements in a thermo-pressure model could result in a more reliable risk assessment tool for providing risk categorization aimed to determine whether there is a correlation between foot plantar pressure and temperature in patients living with diabetes mellitus (DM) when compared with healthy individuals following a 15 min walk. Foot pressure and thermogr

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Bogataya, Irina, Elena Evstafyeva, Denis Lavrov, Ekaterina Korsakova, Natalya Mukhanova, and Svetlana Solyannikova. "Disclosure of Information in Risk Reporting in the Context of the Sustainable Development Concept." Sustainability 14, no. 4 (2022): 2300. http://dx.doi.org/10.3390/su14042300.

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In the context of the global financial crisis and pandemic, issues related to risk management are of paramount importance, which requires the creation of an effective risk management system and disclosure of information regarding risks in the reporting of commercial organizations, focused on the information needs of stakeholders. This article is aimed at studying the existing practice of disclosing information regarding risks in the financial and non-financial statements of Russian companies. The study is based on the analysis of the current practice of disclosure of information regarding risk

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Eshaghieh Firoozabadi, Pedram, Sara Nazif, Seyed Abbas Hosseini, and Jafar Yazdi. "Developing an algorithm for urban flood management with the aim of reducing damage and costs using the concept of conditional value at risk." Stochastic Environmental Research and Risk Assessment 36, no. 2 (2022): 353–71. http://dx.doi.org/10.1007/s00477-021-02163-1.

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Jarczok, Marc N., Julian Koenig, Arne Wittling, Joachim E. Fischer, and Julian F. Thayer. "First Evaluation of an Index of Low Vagally-Mediated Heart Rate Variability as a Marker of Health Risks in Human Adults: Proof of Concept." Journal of Clinical Medicine 8, no. 11 (2019): 1940. http://dx.doi.org/10.3390/jcm8111940.

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Multiple studies have demonstrated low vagally-mediated heart rate variability (HRV) being associated with a range of risk factors for heart disease and stroke, including inflammation, hyperglycemia, hyperlipidemia, and hypertension. Yet, no cut point exists that indicates elevated risk. In the present study we sought to identify a cut point-value for HRV that is associated with elevated risk across a range of known risk factors. Methods: A total of 9550 working adults from 19 study sites took part in a health assessment that included measures of inflammation, hyperglycemia, hyperlipidemia, an

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Andreasik, Jan. "The Ontology of the Region." Barometr Regionalny. Analizy i Prognozy 18, no. 1 (2022): 67–82. http://dx.doi.org/10.56583/br.723.

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In the paper, the conceptual apparatus (the ontology OntoReg) is presented for designing the Knowledge Based System (KBS ). An original methodology of designing an applied ontology has been developed on the basis of the concept of Roman Ingarden’s individual object as well as the concept of Rudolf Carnap’s constructional systems (Aufbau). According to the procedure of creating an applied ontology, the original ontology of the region (OntoReg) has been developed, with particular emphasis on the characteristics of the region with the distinction of properties at three levels of the constructiona

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Pratama, I. Putu Hery Putra, and Luh Gede Kusuma Dewi. "Konsep Wrddhi Grhiyad Dalam Pengendalian Kredit (Studi Kasus Pada LPD Desa Adat Subamia, Kecamatan Tabanan, Provinsi Bali)." Jurnal Ilmiah Akuntansi dan Humanika 13, no. 1 (2023): 33–43. http://dx.doi.org/10.23887/jiah.v13i1.48895.

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This study aims to determine the application of the wrddhi grhiyad concept that can be used as a work base by the Subamian Traditional Village LPD in credit control, and the effectiveness of the application of the wrddhi grhiyad concept as the value of Hindu local wisdom in credit control at the Subamian Traditional Village LPD. Sources of data used are primary and secondary data. Primary data was obtained from interviews, while secondary data was obtained from the profile of the Subamian Traditional Village LPD, the Subamian Traditional Village LPD credit realization report, the Subamian Trad

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Salem, Moustafa, Walid Emam, Yusra Tashkandy, et al. "A New Lomax Extension: Properties, Risk Analysis, Censored and Complete Goodness-of-Fit Validation Testing under Left-Skewed Insurance, Reliability and Medical Data." Symmetry 15, no. 7 (2023): 1356. http://dx.doi.org/10.3390/sym15071356.

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The idea of symmetry, which is used to describe the shape of a probability distribution, is a key concept in the theory of probability. The use of symmetric and asymmetric distributions is common in statistical inference, decision-making, and probability calculations. This article introduces a novel asymmetric model for assessing risks under a skewed claims dataset. The new distribution is also employed for both censored and uncensored validation testing. Four estimation methods, maximum likelihood, ordinary least squares, L-Moment, and Anderson Darling, were used for the risk assessment and a

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