Results 81 to 90 of about 690,474 (299)

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

Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with Conditional Value-at-Risk (CVaR) constraint. [PDF]

Comput Manag Sci, 2023
Staino A, Russo E, Costabile M, Leccadito A.   +3 more
europepmc   +1 more source

Loss of SOCS1 in Donor T Cells Exacerbates Intestinal GVHD by Driving a Chemokine‐Dependent Pro‐Inflammatory Immune Microenvironment

Advanced Science, EarlyView.
T cell‐specific Socs1 knockout leads to inflammatory differentiation of CD8+ T cells, prompting the STAT1/2 complex to drive the activation of Ccl5, Ccr5, and Cxcr3, and promoting the skewing of monocytes toward a pro‐inflammatory M1 macrophage lineage.
Zhigui Wu, Bixia Wang, Xinya Jiang, Fangqing Zhang, Qianqian Huang, Xinyi Wu, Shuang Fan, Qi Zhang, Jingrui Zhou, Jianing Tang, Xiao‐Dong Mo, Yu Wang, Ying‐Jun Chang, Huidong Guo, Xiao‐Jun Huang   +14 more
wiley   +1 more source

Estimation de mesures de risque pour des pluies extrêmes dans la région Cévennes-Vivarais [PDF]

, 2015
International audienceMany risk measures can be found in the literature such as the Value-at-Risk and the Conditional Tail Expectation. In statistical terms, the Value-at-Risk is a upper quantile of the distribution of the variable of interest.
El Methni, Jonathan, Gardes, Laurent, Girard, Stéphane   +2 more
core   +4 more sources

DCAF13 Safeguards Hematopoietic Stem Cells via RRS1‐Regulated Ribosome Biogenesis

Advanced Science, EarlyView.
This study establishes DCAF13 as an essential regulator for hematopoietic stem cell (HSC) function. Its deletion in mice causes lethal pancytopenia and HSC depletion. Mechanistically, DCAF13 interacts with RRS1 and mediates its non‐degradative K27‐linked ubiquitination, thereby stabilizing RRS1 to maintain ribosome biogenesis and protein translation ...
Mengke Li, Yuxin Wu, Shuai Zhou, Peipei Tang, Jiaming Wei, Ling Liu, Zhenyi Wang, Deyang Shi, Shengnan Yuan, Qingyu Zhang, Shihui Wang, Qing Zhang, Huan Zhao, Rui Zhang, Yingying Wang, Shiwei Yang, Xiangli Chen, Xiaojing Shi, Guangzhi Liu, Yuwei Zhang, Jinming Li, Xu Dong Zhang, Rick F Thorne, Dongping Wei, Zumin Zhu, Song Chen   +25 more
wiley   +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  

APOE‐stratified Proteomic and Metabolomic Analysis Reveals Mitochondrial Dysfunction Inflammation and Lipid Dysregulation in Alzheimer's Disease

Advanced Science, EarlyView.
A large‐scale multiomic dataset (proteomic and metabolomic) comprising 3,060 plasma samples were analyzed to identify proteins, metabolites, pathways, and protein‐associated drugs linked to Alzheimer’s Disease (AD) independently of apolipoprotein E (APOE). AD was associated with a distinct molecular signature that captures.
Fuhai Li, Yike Chen, Daniel Western, Muhammad Ali, Menghan Liu, Katherine Gong, Ying Xu, Joseph Lowery, David M. Holtzman, Chloe Robins, John D. Eicher, Yen‐Ning Huang, ShiWei Liu, Tamina Park, Andrew J. Saykin, Kwangsik Nho, Mahdi Moqri, Richard C. Mohs, Amelia Farinas, Patricia Moran‐Losada, Hamilton Se‐Hwee Oh, Tony Wyss‐Coray, Carlos Cruchaga   +22 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

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  

Gauging risk with higher moments : handrails in measuring and optimising conditional value at risk [PDF]

, 2009
The aim of the paper is to study empirically the influence of higher moments of the return distribution on conditional value at risk (CVaR). To be more exact, we attempt to reveal the extent to which the risk given by CVaR can be estimated when relying ...
Bugár, Gyöngyi, Maurer, Raimund, Vo, Huy Thanh   +2 more
core