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Robust estimation of operational risk [PDF]
The Journal of Operational Risk, 2011 According to the Loss Distribution Approach, the operational risk of a bank is determined as 99.9% quantile of the respective loss distribution, covering unexpected severe events. The 99.9% quantile can be considered a tail event. As supported by the Pickands-Balkema-de Haan Theorem, tail events exceeding some high threshold are usually modeled by a ...
Nataliya Horbenko +2 more
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Semiparametric Estimation of Risk–Return Relationships [PDF]
Journal of Business & Economic Statistics, 2017 This article proposes semiparametric generalized least-squares estimation of parametric restrictions between the conditional mean and the conditional variance of excess returns given a set of parametric factors. A distinctive feature of our estimator is that it does not require a fully parametric model for the conditional mean and variance.
Escanciano, J.C. +2 more
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Вестник Российского экономического университета имени Г. В. Плеханова, 2018 Efficiency of managerial decisions, higher economical characteristic of transactions, providing truthfulness of finance accounting, compliance of company work with the effective legislation depend greatly on competent internal control.
E. I. Bakhtigozina
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BAYES RISKS OF ESTIMATORS OF ESTIMABLE PARAMETERS [PDF]
Bulletin of Mathematical Statistics, 1980 For the estimable parameter of degree 2, throughout this paper, we consider 02 with h2 such that h2(x, x) and h2(x, x)=0 for any x, yEX. As estimators of estimable parameters, U-statistics and differentiable statistical functions are well known. (See, for example, Hoeffding (1948) and von Mises (1947).) For an estimable parameter of degree 1, the U ...
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An updated estimation of the risk of transmission of the novel coronavirus (2019-nCov)
Infectious Disease Modelling, 2020 The basic reproduction number of an infectious agent is the average number of infections one case can generate over the course of the infectious period, in a naïve, uninfected population.
B. Tang +5 more
semanticscholar +1 more source
Risk Estimate Optimality of James-Stein Estimators
The Annals of Statistics, 1978 This note extends a result of Efron and Morris on domination of the maximum likelihood estimator for the mean of a multivariate normal distribution. We show that this result and our extension follow from a certain differential inequality. In a certain class of estimators having a unique unbiased estimator for the quadratic risk we find necessary and ...
Moore, Terry, Brook, Richard J.
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Environment International, 2020 Airborne transmission is a pathway of contagion that is still not sufficiently investigated despite the evidence in the scientific literature of the role it can play in the context of an epidemic. While the medical research area dedicates efforts to find
G. Buonanno, L. Stabile, Lidia Morawska
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DESIGNING PROCEDURES FOR WORKING-OUT EVENTS AIMED AT RISK MINIMIZATION IN THE RISK MANAGEMENT SYSTEM
Вестник Российского экономического университета имени Г. В. Плеханова, 2017 The main target of business proprietor is to raise the company value in the long-term prospect, which depends on asset value and cash flows. Raising value is not always possible due to different risks connected with realization of the value creating ...
Andrey A. Trokhov
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Investigating the Application of Extreme Value Theory in Estimating Liquidity Risk of Accepted Banks in Tehran Stock Exchange [PDF]
فصلنامه بورس اوراق بهادار, 2020 Measuring and estimating the risk is a problem that has long been of concern to the researchers. Various approaches have been proposed in this regard.
Fereshteh Nazari, Nader Rezaei
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Risks of Large Portfolios [PDF]
, 2013 Estimating and assessing the risk of a large portfolio is an important topic in financial econometrics and risk management. The risk is often estimated by a substitution of a good estimator of the volatility matrix.
Fan, Jianqing, Liao, Yuan, Shi, Xiaofeng
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