Incorporating prediction and estimation risk in point-in-time credit portfolio models [PDF]
In this paper we focus on the analysis of the effect of prediction and estimation risk on the loss distribution, risk measures and economic capital. When variables for the determination of probability of default and loss distribution have to be predicted
Hamerle, Alfred +3 more
core
Robust Mean-Variance Portfolio Selection [PDF]
This paper investigates model risk issues in the context of mean-variance portfolio selection. We analytically and numerically show that, under model misspecification, the use of statistically robust estimates instead of the widely used classical sample ...
Cédric Perret-Gentil +1 more
core
Backtesting Parametric Value-at-Risk with Estimation Risk [PDF]
One of the implications of the creation of Basel Committee on Banking Supervision was the implementation of Value-at-Risk (VaR) as the standard tool for measuring market risk.
Jose Olmo, Juan Carlos Escanciano
core
Geographic Information System-based association between the sewage network, geographical location of intermediate hosts, and autochthonous cases for the estimation of risk areas of schistosomiasis infection in Ourinhos, São Paulo, Brazil. [PDF]
Rev Soc Bras Med Trop, 2021 Palasio RGS +3 more
europepmc +1 more source
Estimation of risk of neuropsychiatric adverse events from varenicline, bupropion and nicotine patch versus placebo: secondary analysis of results from the EAGLES trial using Bayes factors. [PDF]
Addiction, 2021 Beard E +10 more
europepmc +1 more source
Inhomogeneous Dependency Modelling with Time Varying Copulae [PDF]
Measuring dependence in a multivariate time series is tantamount to modelling its dynamic structure in space and time. In the context of a multivariate normally distributed time series, the evolution of the covariance (or correlation) matrix over time ...
Ekaterina Ignatieva +3 more
core
Estimation of Risk of Recurrence and Toxicity Among Oncologists and Patients With Resected Breast Cancer: A Quantitative Study. [PDF]
Front Psychol, 2020 Ciria-Suarez L +4 more
europepmc +1 more source
Nonparametric estimation of risk tracking indices for longitudinal studies. [PDF]
Stat Methods Med Res, 2020 Wu CO +7 more
europepmc +1 more source
BAYES RISKS OF ESTIMATORS OF ESTIMABLE PARAMETERS
BAYES RISKS OF ESTIMATORS OF ESTIMABLE PARAMETERSBayes risks are evaluated for estimators of an estimable parameter of degree 1 or 2, which are $ U $-statistics, differentiable statistical functions, Bayes estimates and limits of Bayes estimates, using squared error loss and a Ferguson's Dirichlet process prior.
openaire
Estimation of risk perception of mine workers in underground metalliferous mines using multivariate structural equation modelling. [PDF]
Sci RepPaul PS, Sarkar F, Vikram S, Fissha Y.
europepmc +1 more source