Results 101 to 110 of about 2,746,744 (357)
Comparative Analyses of Expected Shortfall and Value-at-Risk (3): Their Validity under Market Stress [PDF]
In this paper, we compare value-at-risk (VaR) and expected shortfall under market stress. Assuming that the multivariate extreme value distribution represents asset returns under market stress, we simulate asset returns with this distribution. With these
Yamai, Yasuhiro, Yoshiba, Toshinao
core
Functional Connectivity Linked to Cognitive Recovery After Minor Stroke
Annals of Clinical and Translational Neurology, EarlyView.ABSTRACT Objective Patients with minor stroke exhibit slowed processing speed and generalized alterations in functional connectivity involving frontoparietal cortex (FPC). The pattern of connectivity evolves over time. In this study, we examine the relationship of functional connectivity patterns to cognitive performance, to determine ...
Vrishab Commuri +7 more
wiley +1 more source
Comparative Analyses of Expected Shortfall and Value-at-Risk (2): Expected Utility Maximization and Tail Risk [PDF]
We compare expected shortfall and value-at-risk (VaR) in terms of consistency with expected utility maximization and elimination of tail risk. We use the concept of stochastic dominance in studying these two aspects of risk measures.
Yamai, Yasuhiro, Yoshiba, Toshinao
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Looming Budget Deficit Fails to Capture Attention of NH Public 2/11/2009 [PDF]
, 2009 Despite an expected budget shortfall of at least $100 million, a high percentage of New Hampshire residents are largely unaware of the state’s budget situation.
Survey Center, UNH
core +1 more source
Glymphatic Dysfunction Reflects Post‐Concussion Symptoms: Changes Within 1 Month and After 3 Months
Annals of Clinical and Translational Neurology, EarlyView.ABSTRACT Objective Mild traumatic brain injury (mTBI) may alter glymphatic function; however, its progression and variability remain obscure. This study examined glymphatic function following mTBI within 1 month and after 3 months post‐injury to determine whether variations in glymphatic function are associated with post‐traumatic symptom severity ...
Eunkyung Kim +3 more
wiley +1 more source
Backtesting VaR Models: An Expected Shortfall Approach [PDF]
Academics and practitioners have extensively studied Value-at-Risk (VaR) to propose a unique risk management technique that generates accurate VaR estimations for long and short trading positions and for all types of financial assets.
Stavros Degiannakis, Timotheos Angelidis
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Fair Estimation of Capital Risk Allocation
, 2019 In this paper we develop a novel methodology for estimation of risk capital allocation. The methodology is rooted in the theory of risk measures. We work within a general, but tractable class of law-invariant coherent risk measures, with a particular ...
Bielecki, Tomasz R. +3 more
core +1 more source
Expected Shortfall and optimal hedging payoff
Comptes Rendus. Mathématique, 2018 By using variational techniques, we provide an optimal payoff written on a given random variable for hedging – in the sense of minimizing the Expected Shortfall at a given threshold – a payoff written on another random variable. In numerous financially relevant examples, our result leads to optimal payoffs in closed form.
openaire +3 more sources
Applying an Ethical Lens to the Treatment of People With Multiple Sclerosis
Annals of Clinical and Translational Neurology, EarlyView.ABSTRACT The practice of neurology requires an understanding of clinical ethics for decision‐making. In multiple sclerosis (MS) care, there are a wide range of ethical considerations that may arise. These involve shared decision‐making around selection of a disease‐modifying therapy (DMT), risks and benefits of well‐studied medications in comparison to
Methma Udawatta, Farrah J. Mateen
wiley +1 more source
Annals of Clinical and Translational Neurology, EarlyView.ABSTRACT Introduction Spinal cord infarction (SCI) is a rare but devastating myelopathy, characterized by a high disability rate and an unfavorable prognosis. It has often been underdiagnosed and misdiagnosed as idiopathic transverse myelitis (ITM). This study aimed to describe the clinical features, radiological biomarkers, treatments, and functional ...
Zeqiang Ji +13 more
wiley +1 more source