Results 51 to 60 of about 46,274,052 (301)

Measuring financial risk : comparison of alternative procedures to estimate VaR and ES [PDF]

, 2008
We review several procedures for estimating and backtesting two of the most important measures of risk, the Value at Risk (VaR) and the Expected Shortfall (ES). The alternative estimators differ in the way the specify and estimate the conditional mean
Ruiz Ortega, Esther, Nieto, María Rosa, Ruiz, Esther   +2 more
core   +1 more source

Duration and Labor Resource Optimization for Construction Projects—A Conditional-Value-at-Risk-Based Analysis

Buildings
The complexity and uncertainty of construction projects contribute to low efficiency in the construction industry. This research applied the Takt-time planning method to optimize the construction working process, and proposed a risk control framework ...
Fan Ding, Min Liu, Simon M. Hsiang, Peng Hu, Yuxiang Zhang, Kewang Jiang   +5 more
doaj   +1 more source

Computational aspects of minimizing conditional value-at-risk [PDF]

Computational Management Science, 2006
We consider optimization problems for minimizing conditional value-at-risk (CVaR) from a computational point of view, with an emphasis on financial applications. As a general solution approach, we suggest to reformulate these CVaR optimization problems as two-stage recourse problems of stochastic programming. Specializing the L-shaped method leads to a
Mayer, János, Künzi-Bay, Alexandra
openaire   +3 more sources

Deep Learning Pose Estimation for Phenotyping of Co‐Occurring Hyperkinetic Movement Disorders

Annals of Clinical and Translational Neurology, EarlyView.
ABSTRACT Objective To explore whether routine outpatient video combined with deep learning‐based pose estimation and clinically interpretable kinematic features can support multi‐label phenotyping of co‐occurring hyperkinetic movement disorders (HMDs).
Laura Cif, Diane Demailly, Gabriella A. Horvàth, Juan Dario Ortigoza Escobar, Nathalie Dorison, Mayté Castro Jiménez, Cécile A. Hubsch, Thomas Wirth, Gun‐Marie Hariz, Sophie Huby, Morgan Dornadic, Zohra Souei, Muhammad Mushhood Ur Rehman, Simone Hemm, Mehdi Boulaymen, Eduardo M. Moraud, Jocelyne Bloch, Xavier Vasques   +17 more
wiley   +1 more source

Using CAViaR models with implied volatility for value-at-risk estimation [PDF]

, 2013
This paper proposes VaR estimation methods that are a synthesis of conditional autoregressive value at risk (CAViaR) time series models and implied volatility.
Jeon, Jooyoung, Taylor, James
core   +1 more source

Subjective Cognitive Concerns and Cognitive Trajectories in Parkinson's Disease: Biomarker Impact

Annals of Clinical and Translational Neurology, EarlyView.
ABSTRACT Objective To examine the relationship of subjective cognitive concerns (SCC) with biomarkers of Alzheimer's disease (AD), neurodegeneration, and Parkinson's disease (PD) and domain‐specific cognitive trajectories among cognitively unimpaired persons with de novo PD. Method Cognitively unimpaired participants with SCC (n = 294) and without SCC (
Francesca V. Lopez, Fareshte Erani, Katherine J. Bangen, David G. Coughlin, Douglas Galasko, Kelsey R. Thomas   +5 more
wiley   +1 more source

Cryptocurrency Market Maturation and Evolving Risk Profiles: A Comparative Analysis of Bitcoin and Ethereum Tail Risk Dynamics

FinTech
This paper examines the market maturation hypothesis in cryptocurrency markets through a three-stage analysis of the evolution of tail risk in Bitcoin (BTC) and Ethereum (ETH).
Oksana Liashenko, Bogdan Adamyk, Oksana Adamyk   +2 more
doaj   +1 more source

On the Generalization and Robustness in Conditional Value-at-Risk

CoRR
Conditional Value-at-Risk (CVaR) is a widely used risk-sensitive objective for learning under rare but high-impact losses, yet its statistical behavior under heavy-tailed data remains poorly understood. Unlike expectation-based risk, CVaR depends on an endogenous, data-dependent quantile, which couples tail averaging with threshold estimation and ...
Dinesh Karthik Mulumudi, Piyushi Manupriya, Gholamali Aminian, Anant Raj   +3 more
openaire   +2 more sources

Anticoagulation Treatment Response Among Phenotypic ESUS Clusters: Evidence From CASPR

Annals of Clinical and Translational Neurology, EarlyView.
ABSTRACT Objective To evaluate treatment effect heterogeneity across phenotypic clusters of patients with cryptogenic embolic stroke using causal inference methods. Methods From a retrospective, multicenter cohort of patients with cryptogenic embolic stroke, we estimated the treatment effect of anticoagulation versus antiplatelet therapy in patients ...
Elena Badillo Goicoechea, Patrick Ellsworth, James E. Siegler, James R. Brorson, Christina M. Lineback, Frank G. Conyers, Deborah Kerrigan, Kelsey Eklund, Shadi Yaghi, Farid Khasiyev, Emiliya Melkumova, Collin J. Culbertson, Marissa D'Souza, Dinesh V. Jillella, Patrick Glover, Hassan Aboul‐Nour, Fadi Nahab, Mahan Shahrivari, Simona Nedelcu, David S. Liebeskind, Matthew M. Smith, Aaron Rothstein, Anna Bowman, Alicia Zha, Narendra Kala, Ahmad Abu Qdais, Sami Al Kasab, Mudassir Farooqui, Diana Rojas‐Soto, Yasmin Aziz, Franziska Herpich, Jean‐Philippe Daniel, Sean L. Thompson, Vivek Patel, Thanh N. Nguyen, Siddharth Sehgal, Wenzheng Yu, Wayneho Kam, Russel Van Coevering, Oana M. Dumitrascu, Muhammad Alvi, Balaji Krishnaiah, Setareh Salehi Omran, Guillermo Linares, Eesha Singh, Hamid Ali, Mary Penckofer, Jesse M. Thon, Shani Mannion, Dalia Chahien, Lucia Chen, Fawad Talat, Mehdi Abbasi, Richa Sharma   +53 more
wiley   +1 more source

A Hybrid EGARCH–Informer Model with Consistent Risk Calibration for Volatility and CVaR Forecasting

Mathematics
This study proposes a hybrid EGARCH-Informer framework for forecasting volatility and calibrating tail risk in financial time series. The econometric layer (EGARCH) captures asymmetric and persistent volatility dynamics, while the attention layer ...
Ming Che Lee
doaj   +1 more source