{"id":"https://openalex.org/W3195997188","doi":"https://doi.org/10.1109/access.2021.3106715","title":"On Optimization of Copula-Based Extended Tail Value-at-Risk and its Application in Energy Risk","display_name":"On Optimization of Copula-Based Extended Tail Value-at-Risk and its Application in Energy Risk","publication_year":2021,"publication_date":"2021-01-01","ids":{"openalex":"https://openalex.org/W3195997188","doi":"https://doi.org/10.1109/access.2021.3106715","mag":"3195997188"},"language":"en","primary_location":{"id":"doi:10.1109/access.2021.3106715","is_oa":true,"landing_page_url":"https://doi.org/10.1109/access.2021.3106715","pdf_url":"https://ieeexplore.ieee.org/ielx7/6287639/6514899/09520355.pdf","source":{"id":"https://openalex.org/S2485537415","display_name":"IEEE Access","issn_l":"2169-3536","issn":["2169-3536"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310319808","host_organization_name":"Institute of Electrical and Electronics Engineers","host_organization_lineage":["https://openalex.org/P4310319808"],"host_organization_lineage_names":["Institute of Electrical and Electronics Engineers"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"IEEE Access","raw_type":"journal-article"},"type":"article","indexed_in":["crossref","doaj"],"open_access":{"is_oa":true,"oa_status":"gold","oa_url":"https://ieeexplore.ieee.org/ielx7/6287639/6514899/09520355.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5086256684","display_name":"Bony Parulian Josaphat","orcid":"https://orcid.org/0000-0002-8379-7400"},"institutions":[{"id":"https://openalex.org/I134635517","display_name":"Bandung Institute of Technology","ror":"https://ror.org/00apj8t60","country_code":"ID","type":"education","lineage":["https://openalex.org/I134635517"]}],"countries":["ID"],"is_corresponding":true,"raw_author_name":"Bony Parulian Josaphat","raw_affiliation_strings":["Statistics Research Division, Institut Teknologi Bandung, Bandung, Indonesia"],"raw_orcid":"https://orcid.org/0000-0002-8379-7400","affiliations":[{"raw_affiliation_string":"Statistics Research Division, Institut Teknologi Bandung, Bandung, Indonesia","institution_ids":["https://openalex.org/I134635517"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5082722688","display_name":"Moch. Fandi Ansori","orcid":"https://orcid.org/0000-0002-4588-3885"},"institutions":[{"id":"https://openalex.org/I134635517","display_name":"Bandung Institute of Technology","ror":"https://ror.org/00apj8t60","country_code":"ID","type":"education","lineage":["https://openalex.org/I134635517"]}],"countries":["ID"],"is_corresponding":false,"raw_author_name":"Moch Fandi Ansori","raw_affiliation_strings":["Industrial and Financial Mathematics Research Division, Institut Teknologi Bandung, Bandung, Indonesia"],"raw_orcid":"https://orcid.org/0000-0002-4588-3885","affiliations":[{"raw_affiliation_string":"Industrial and Financial Mathematics Research Division, Institut Teknologi Bandung, Bandung, Indonesia","institution_ids":["https://openalex.org/I134635517"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5014079067","display_name":"Khreshna Syuhada","orcid":null},"institutions":[{"id":"https://openalex.org/I134635517","display_name":"Bandung Institute of Technology","ror":"https://ror.org/00apj8t60","country_code":"ID","type":"education","lineage":["https://openalex.org/I134635517"]}],"countries":["ID"],"is_corresponding":false,"raw_author_name":"Khreshna Syuhada","raw_affiliation_strings":["Statistics Research Division, Institut Teknologi Bandung, Bandung, Indonesia"],"raw_orcid":"https://orcid.org/0000-0003-3972-1131","affiliations":[{"raw_affiliation_string":"Statistics Research Division, Institut Teknologi Bandung, Bandung, Indonesia","institution_ids":["https://openalex.org/I134635517"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5086256684"],"corresponding_institution_ids":["https://openalex.org/I134635517"],"apc_list":{"value":1850,"currency":"USD","value_usd":1850},"apc_paid":{"value":1850,"currency":"USD","value_usd":1850},"fwci":1.2057,"has_fulltext":true,"cited_by_count":4,"citation_normalized_percentile":{"value":0.87641231,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":96},"biblio":{"volume":"9","issue":null,"first_page":"122474","last_page":"122485"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9975000023841858,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9975000023841858,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11801","display_name":"Reservoir Engineering and Simulation Methods","score":0.9916999936103821,"subfield":{"id":"https://openalex.org/subfields/2212","display_name":"Ocean Engineering"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9911999702453613,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/copula","display_name":"Copula (linguistics)","score":0.7010692954063416},{"id":"https://openalex.org/keywords/risk-measure","display_name":"Risk measure","score":0.6189525127410889},{"id":"https://openalex.org/keywords/expected-shortfall","display_name":"Expected shortfall","score":0.6020255088806152},{"id":"https://openalex.org/keywords/particle-swarm-optimization","display_name":"Particle swarm optimization","score":0.5721403956413269},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.5712946057319641},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.535273015499115},{"id":"https://openalex.org/keywords/cvar","display_name":"CVAR","score":0.5172258615493774},{"id":"https://openalex.org/keywords/value-at-risk","display_name":"Value at risk","score":0.4324434697628021},{"id":"https://openalex.org/keywords/optimization-problem","display_name":"Optimization problem","score":0.4245016872882843},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.3778556287288666},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.2706131339073181},{"id":"https://openalex.org/keywords/risk-management","display_name":"Risk management","score":0.23933324217796326}],"concepts":[{"id":"https://openalex.org/C17618745","wikidata":"https://www.wikidata.org/wiki/Q207509","display_name":"Copula (linguistics)","level":2,"score":0.7010692954063416},{"id":"https://openalex.org/C2781472820","wikidata":"https://www.wikidata.org/wiki/Q2154759","display_name":"Risk measure","level":3,"score":0.6189525127410889},{"id":"https://openalex.org/C5496284","wikidata":"https://www.wikidata.org/wiki/Q5420856","display_name":"Expected shortfall","level":3,"score":0.6020255088806152},{"id":"https://openalex.org/C85617194","wikidata":"https://www.wikidata.org/wiki/Q2072794","display_name":"Particle swarm optimization","level":2,"score":0.5721403956413269},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.5712946057319641},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.535273015499115},{"id":"https://openalex.org/C2779922397","wikidata":"https://www.wikidata.org/wiki/Q5014755","display_name":"CVAR","level":4,"score":0.5172258615493774},{"id":"https://openalex.org/C94128290","wikidata":"https://www.wikidata.org/wiki/Q963287","display_name":"Value at risk","level":3,"score":0.4324434697628021},{"id":"https://openalex.org/C137836250","wikidata":"https://www.wikidata.org/wiki/Q984063","display_name":"Optimization problem","level":2,"score":0.4245016872882843},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3778556287288666},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.2706131339073181},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.23933324217796326},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.0},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.0},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.0},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1109/access.2021.3106715","is_oa":true,"landing_page_url":"https://doi.org/10.1109/access.2021.3106715","pdf_url":"https://ieeexplore.ieee.org/ielx7/6287639/6514899/09520355.pdf","source":{"id":"https://openalex.org/S2485537415","display_name":"IEEE Access","issn_l":"2169-3536","issn":["2169-3536"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310319808","host_organization_name":"Institute of Electrical and Electronics Engineers","host_organization_lineage":["https://openalex.org/P4310319808"],"host_organization_lineage_names":["Institute of Electrical and Electronics Engineers"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"IEEE Access","raw_type":"journal-article"},{"id":"pmh:oai:doaj.org/article:36df5484adcb42159c2e4f2ecb71c898","is_oa":true,"landing_page_url":"https://doaj.org/article/36df5484adcb42159c2e4f2ecb71c898","pdf_url":null,"source":{"id":"https://openalex.org/S4306401280","display_name":"DOAJ (DOAJ: Directory of Open Access Journals)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-sa","license_id":"https://openalex.org/licenses/cc-by-sa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"IEEE Access, Vol 9, Pp 122474-122485 (2021)","raw_type":"article"}],"best_oa_location":{"id":"doi:10.1109/access.2021.3106715","is_oa":true,"landing_page_url":"https://doi.org/10.1109/access.2021.3106715","pdf_url":"https://ieeexplore.ieee.org/ielx7/6287639/6514899/09520355.pdf","source":{"id":"https://openalex.org/S2485537415","display_name":"IEEE Access","issn_l":"2169-3536","issn":["2169-3536"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310319808","host_organization_name":"Institute of Electrical and Electronics Engineers","host_organization_lineage":["https://openalex.org/P4310319808"],"host_organization_lineage_names":["Institute of Electrical and Electronics Engineers"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"IEEE Access","raw_type":"journal-article"},"sustainable_development_goals":[{"display_name":"Affordable and clean energy","score":0.800000011920929,"id":"https://metadata.un.org/sdg/7"}],"awards":[],"funders":[{"id":"https://openalex.org/F4320328515","display_name":"Lembaga Pengelola Dana Pendidikan","ror":null},{"id":"https://openalex.org/F4320329091","display_name":"Institut Teknologi Bandung","ror":"https://ror.org/00apj8t60"}],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W3195997188.pdf","grobid_xml":"https://content.openalex.org/works/W3195997188.grobid-xml"},"referenced_works_count":37,"referenced_works":["https://openalex.org/W1560449547","https://openalex.org/W1909989095","https://openalex.org/W1947097685","https://openalex.org/W1972398362","https://openalex.org/W2019291268","https://openalex.org/W2041486505","https://openalex.org/W2115486098","https://openalex.org/W2152195021","https://openalex.org/W2165299997","https://openalex.org/W2190990875","https://openalex.org/W2343133957","https://openalex.org/W2399693004","https://openalex.org/W2543580944","https://openalex.org/W2591206341","https://openalex.org/W2619462530","https://openalex.org/W2766026215","https://openalex.org/W2808634712","https://openalex.org/W2914642823","https://openalex.org/W2965954302","https://openalex.org/W2972093761","https://openalex.org/W2972333064","https://openalex.org/W2973614280","https://openalex.org/W2995622764","https://openalex.org/W3020974324","https://openalex.org/W3033719613","https://openalex.org/W3035073510","https://openalex.org/W3121825436","https://openalex.org/W3122801680","https://openalex.org/W3182085194","https://openalex.org/W4236377596","https://openalex.org/W4246715751","https://openalex.org/W4285143438","https://openalex.org/W4301909677","https://openalex.org/W6633274287","https://openalex.org/W6677369644","https://openalex.org/W6759288259","https://openalex.org/W6839659456"],"related_works":["https://openalex.org/W1106997938","https://openalex.org/W2232143283","https://openalex.org/W1647779468","https://openalex.org/W2783733712","https://openalex.org/W799577184","https://openalex.org/W2002736235","https://openalex.org/W2374661407","https://openalex.org/W2499931925","https://openalex.org/W2031780815","https://openalex.org/W2594064876"],"abstract_inverted_index":{"In":[0],"this":[1],"paper,":[2],"we":[3,33,139,229],"study":[4],"a":[5,11,28,35],"novel":[6],"risk":[7,102,106,171,181],"measure,":[8],"which":[9,26,51,68,204],"is":[10,20,27,52,111,235],"copula-based":[12],"extension":[13],"of":[14,30,40,76,81,95,162,169,172,182,194,225],"tail":[15,23,38,42,57,88],"value-at-risk":[16,24],"(TVaR).":[17],"This":[18,117,157],"measure":[19],"called":[21,53],"dependent":[22,55],"(DTVaR),":[25],"generalization":[29],"TVaR.":[31],"Moreover,":[32],"describe":[34],"second":[36],"conditional":[37,56,87],"moment":[39],"the":[41,45,48,54,77,96,167,192,195,207,223,226,232,239],"distribution":[43],"with":[44,104,179],"center":[46],"being":[47],"DTVaR":[49,61,97,124,163,168,218],"itself,":[50],"variance":[58,89],"(DCTV).":[59],"Both":[60],"and":[62,86,98,133,142,147,209],"DCTV":[63,99,146],"contain":[64],"two":[65,127,151],"contraction":[66,152],"parameters,":[67],"make":[69],"them":[70],"much":[71],"more":[72,78,236],"flexible":[73],"than":[74,238],"some":[75],"familiar":[79],"measures":[80],"risk,":[82],"such":[83],"as":[84],"TVaR":[85],"(CTV).":[90],"We":[91,189],"derive":[92],"analytical":[93],"formulas":[94],"for":[100,123,215],"exponential":[101],"associated":[103,178],"another":[105],"where":[107],"their":[108],"dependence":[109],"structure":[110],"represented":[112],"by":[113,125,144],"Farlie-Gumbel-Morgenstern":[114],"(FGM)":[115],"copula.":[116],"paper":[118],"proposes":[119],"an":[120,160],"optimization":[121,131,136,164],"method":[122],"applying":[126],"metaheuristic":[128],"algorithms:":[129],"spiral":[130],"(SpO)":[132],"particle":[134],"swarm":[135],"(PSO).":[137],"Furthermore,":[138],"perform":[140],"SpO":[141,208,240],"PSO":[143,210,233],"utilizing":[145],"CTV":[148],"to":[149,202,217,222],"estimate":[150],"parameters":[153],"that":[154,191,206,231],"maximize":[155],"DTVaR.":[156,244],"work":[158],"presents":[159],"application":[161,216],"in":[165,242],"predicting":[166],"energy":[170,180],"New":[173],"York":[174],"Harbor":[175],"(NYH)":[176],"gasoline":[177],"West":[183],"Texas":[184],"Intermediate":[185],"(WTI)":[186],"crude":[187],"oil.":[188],"find":[190,230],"values":[193,224],"objective":[196,227],"function":[197],"using":[198],"both":[199],"algorithms":[200,211],"converge":[201],"zero,":[203],"implies":[205],"are":[212],"very":[213],"suitable":[214,237],"optimization.":[219],"However,":[220],"according":[221],"function,":[228],"algorithm":[234,241],"optimizing":[243]},"counts_by_year":[{"year":2024,"cited_by_count":2},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":1}],"updated_date":"2026-05-06T08:25:59.206177","created_date":"2025-10-10T00:00:00"}