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Loss distribution of interbank contagion risk
Applied Economics Letters, 2014In this article, we propose a method to measure the loss distribution of interbank contagion risk by using market-based and balance sheet information and conduct an empirical analysis for Chinese banking industry. This would be useful to derive standard risk measures for the interbank market as a whole.
Shouwei Li, Xin Sui, Tao Xu
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Approximating the distribution function of risk
Computational Statistics & Data Analysis, 2005zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Christophi, Costas A., Modarres, Reza
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The distribution of Levin's measure of attributable risk
Biometrika, 1975SUMMARY Some properties of the sample estimator of attributable risk A, defined here as the proportion of all cases of disease which may be attributed to a risk factor, are considered for the case-control study situation. It is shown that log (1 -A) may be expressed in terms of the prevalences of the factor in cases and healthy controls, that the bias ...
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Ordering of distributions and risk measurement
Blätter der DGVFM, 1986The present paper is an attempt to bring together two branches of risk theory, viz. ordering of risks and premium calculation, and a topical section of decision theory, viz. risk measurement. We first introduce and compare several orderings of distributions. Then a recent model of risk measurement is introduced and shown to be related to two quantities
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AbstractThis paper evaluates the performance of three extreme value distributions, i.e., generalized Pareto distribution (GPD), generalized extreme value distribution (GEV), and Box‐Cox‐GEV, and four skewed fat‐tailed distributions, i.e., skewed generalized error distribution (SGED), skewed generalizedt(SGT), exponential generalized beta of the second ...
Bali, Turan G., Theodossiou, Panayiotis
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Distribution of earthquake risk in Canada
Bulletin of the Seismological Society of America, 1969abstract Statistical analyses are performed upon the earthquakes in existing catalogues of earthquakes in Canada. A relationship is presented between acceleration amplitude, magnitude, and distance for both eastern and western Canada. It is shown that the same relationship does not hold for each area.
W. G. Milne, A. G. Davenport
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Risk assessment of distribution coefficient from 137Cs measurements
Environmental Monitoring and Assessment, 2008Classically distribution coefficient is defined as the ratio of solid total element concentration to surface water total concentration. This coefficient is obtained from the ion measurements in the Keban Dam, Turkey, which supplies water for domestic, irrigation and hydroelectric energy generation purposes.
Fatih, Külahci, Zekai, Sen
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The Distribution of Occupational Asset Risk
Southern Economic Journal, 1980A mean variance risk model, when applied to portfolios of securities such as on the New York Stock Exchange, provides a strong prescription for diversification. The purpose of this paper is to investigate the applicability of this framework to the labor market.
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Distribution, abundance and risks of microplastics in the environment.
Chemosphere, 2020Qing Yu +5 more
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