Results 91 to 100 of about 692,395 (345)

A Non-parametric Method for Calculating Conditional Stressed Value at Risk

Статистика и экономика, 2017
We consider the Value at Risk (VaR) of a portfolio under stressed conditions. In practice, the stressed VaR (sVaR) is commonly calculated using the data set that includes the stressed period.
Kohei Marumo
doaj   +3 more sources

Credit Risk and Real Capital: An Examination of Swiss Banking Sector Default Risk Using CVaR [PDF]

The global financial crisis (GFC) has placed the creditworthiness of banks under intense scrutiny. In particular, capital adequacy has been called into question.
David E Allen, Robert Powell
core  

Dysfunctional TRIM31 of POMC Neurons Provokes Hypothalamic Injury and Peripheral Metabolic Disorder under Long‐Term Fine Particulate Matter Exposure

Advanced Science, EarlyView.
Particulate matter ≤2.5 µm (PM2.5) elevates risks of neurological and chronic metabolic diseases, but the underlying mechanisms linking PM2.5‐induced central nervous system (CNS) injury to metabolic dysfunction remain unclear. Hypothalamic pro‐opiomelanocortin‐expressing (POMC+) neurons regulate systemic metabolic homeostasis, and tripartite motif ...
Chenxu Ge, Jiamao Lin, Changsheng Yang, Chuanwang Miao, Fengxiang Li, Shuqiang Zhao, Lei Zou, Xuedong Teng, Lina Liu, Tingguang Li, Yan Sun, Qiang Li, Deshuai Lou, Linfeng Hu, Xi Liu, Gang Kuang, Jing Luo, Minxuan Xu, Minghui Chang, Jun Tan, Yanrong Ren, Bochu Wang   +21 more
wiley   +1 more source

Hedging Effectiveness under Conditions of Asymmetry [PDF]

We examine whether hedging effectiveness is affected by asymmetry in the return distribution by applying tail specific metrics to compare the hedging effectiveness of short and long hedgers using crude oil futures contracts.
Jim Hanly, John Cotter
core   +3 more sources

Re-evaluating Hedging Performance [PDF]

Mixed results have been documented for the performance of hedging strategies using futures. This paper reinvestigates this issue using an extensive set of performance evaluation metrics across seven international markets.
Jim Hanly, John Cotter
core  

Nurr1 Orchestrates Claustrum Development and Functionality

Advanced Science, EarlyView.
Nurr1 (Nr4a2) is the master transcription factor to control claustrum morphogenesis and cell fate decision postmitotically by inhibiting intracellular G‐protein signaling. Nurr1 deficiency alters the transcriptomic profiles of subcortical claustral neurons into neocortical insular neurons, resulting in defected claustrum development, impaired axonal ...
Kuo Yan, Andrew G. Newman, Pauline Lange, Susanne Müller, Marco Foddis, Stefan Paul Koch, Philipp Böhm‐Sturm, Maron Mantwill, Carsten Finke, Penghui Deng, Melissa Long, Dietmar Schmitz, Victor Tarabykin   +12 more
wiley   +1 more source

Value-at-Risk da Carteira do Ibovespa: uma análise com o uso de modelos de memória longa Value-at-Risk for Ibovespa: an analysis using long memory models

Gestão & Produção, 2012
O presente estudo propõe uma análise comparativa de dez modelos de volatilidade para o cálculo do Value-at-Risk (VaR) para carteira teórica do Ibovespa, considerando a presença de memória longa na série temporal dos seus retornos diários.
Luiz Eduardo Gaio, Tabajara Pimenta Júnior   +1 more
doaj   +1 more source

Low-Carbon Operation Constrained Two-Stage Stochastic Energy and Reserve Scheduling: A Worst-Case Conditional Value-at-Risk Approach

, 2023
Jiacheng Shen, Mengshi Li, Zhenjia Lin, Tianyao Ji, Qinghua Wu   +4 more
openalex   +1 more source

CAViaR: Conditional Value at Risk by Quantile Regression [PDF]

Value at Risk has become the standard measure of market risk employed by financial institutions for both internal and regulatory purposes. Despite its conceptual simplicity, its measurement is a very challenging statistical problem and none of the ...
Robert F. Engle, Simone Manganelli
core  

Discovery of a Novel and Potent Kir4.1 Inhibitor as a Safe and Rapid‐Onset Antidepressant Agent in Mice

Advanced Science, EarlyView.
The preferred derivative JX3212 demonstrates strong inhibitory activity against Kir4.1 with favorable druggability and shows significant antidepressant efficacy in vivo. Abstract Major depressive disorder is a serious psychiatric disorder for which novel and fast‐acting antidepressants are required.
Sisi Wang, Xiaoyu Zhou, Mengdan Li, Chao Zhang, Haiyan Xu, Jingyi He, Li Zhan, Yueling Gu, Hao Gu, Tianyu Tu, Hanfang Liu, Taotao Lu, Yueming Zheng, Jian Li, Zhaobing Gao, Yixiang Xu   +15 more
wiley   +1 more source