Results 101 to 110 of about 126,314 (289)
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
core
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
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Estimation Error of Expected Shortfall [PDF]
SSRN Electronic Journal, 2014 The problem of estimation error of Expected Shortfall is analyzed, with a view of its introduction as a global regulatory risk measure.
openaire +3 more sources
Impact of Plasma p‐tau181 on Cognition, Motor Phenotypes, and Disease Course in ALS
Annals of Clinical and Translational Neurology, EarlyView.ABSTRACT Phosphorylated tau181 (p‐tau181), an Alzheimer's disease biomarker, was recently evaluated in amyotrophic lateral sclerosis (ALS). We investigated plasma p‐tau181 in 202 ALS/ALS‐FTD patients and 94 healthy controls, assessing cognitive performance, motor function, and longitudinal dynamics.
Elisabeth Kasper +25 more
wiley +1 more source
Mixed-frequency quantile regressions to forecast value-at-risk and expected shortfall. [PDF]
Ann Oper Res, 2023 Candila V, Gallo GM, Petrella L.
europepmc +1 more source
Testing Expected Shortfall Models for Derivative Positions [PDF]
In this paper we test several risk management models for computing expected shortfall for one-period hedge errors of hedged derivatives positions.Contrary to value-at-risk, expected shortfall cannot be tested using the standard binomial test, since we ...
Kerkhof, F.L.J. +2 more
core +1 more source
Asymptotics for the expected shortfall
, 2016 We derive the joint asymptotic distribution of empirical quantiles and expected shortfalls under general conditions on the distribution of the underlying observations. In particular, we do not assume that the distribution function is differentiable at the quantile with strictly positive derivative.
Zwingmann, Tobias, Holzmann, Hajo
openaire +2 more sources
Arthritis Care &Research, EarlyView.Objective We developed a novel electronic health record sidecar application to visualize key rheumatoid arthritis (RA) outcomes, including disease activity, physical function, and pain, via a patient‐facing graphical interface designed for use during outpatient visits (“RA PRO dashboard”).
Gabriela Schmajuk +16 more
wiley +1 more source
Option pricing and hedging with minimum local expected shortfall
, 2003 We propose a versatile Monte-Carlo method for pricing and hedging options when the market is incomplete, for an arbitrary risk criterion (chosen here to be the expected shortfall), for a large class of stochastic processes, and in the presence of ...
Bouchaud, Jean-Philippe +1 more
core +1 more source
Arthritis Care &Research, EarlyView.Objective Frailty occurs prematurely in rheumatoid arthritis (RA) and is associated with poor health outcomes. We compared the performance of four frailty instruments, including a pragmatic alternative measure using chair sit‐to‐stand (STS), and evaluated their abilities to predict poor health outcomes.
Kylie E. Riggles +14 more
wiley +1 more source