Results 131 to 140 of about 2,746,744 (357)
Austrian Journal of StatisticsThe importance of accurately forecasting extreme financial losses and their effects on the institutions involved in a given financial market has been highlighted by recent financial catastrophes.
Katleho Makatjane
doaj +1 more source
A Review and Some Complements on Quantile Risk Measures and Their Domain
Risks, 2017 In the present paper, we study quantile risk measures and their domain. Our starting point is that, for a probability measure Q on the open unit interval and a wide class L Q of random variables, we define the quantile risk measure ϱ Q as
Sebastian Fuchs +2 more
doaj +1 more source
Biomass Native Structure Into Functional Carbon‐Based Catalysts for Fenton‐Like Reactions
Advanced Functional Materials, EarlyView.This study indicates that eight biomasses with 2D flaky and 1D acicular structures influence surface O types, morphology, defects, N doping, sp2 C, and Co nanoparticles loading in three series of carbon, N‐doped carbon, and cobalt/graphitic carbon. This work identifies how these structural factors impact catalytic pathways, enhancing selective electron
Wenjie Tian +7 more
wiley +1 more source
Sensitivity Analysis of VaR Expected Shortfall for Portfolios Under Netting Agreements [PDF]
In this paper, we characterize explicitly the first derivative of the Value at Risk and the Expected Shortfall with respect to portfolio allocation when netting between positions exists. As a particular case, we examine a simple Gaussian example in order
Jean-David FERMANIAN, Olivier SCAILLET
core
Advanced Functional Materials, EarlyView.Ultralight 3D nanofibrous aerogels embedded with metal‐organic frameworks effectively capture and neutralize toxic gases and organophosphonates. Incorporating mesoporous UiO‐66‐NH2 and HKUST‐1 into PAN/PVP fibers enables high MOF loading while maintaining mechanical strength and structural stability.
Mai O. Abdelmigeed +6 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
Advanced Functional Materials, EarlyView.The study explores structural and magnetic properties of one of the most recent topological quantum materials (MnBi2Te4). The Mn‐poor structure leads to stacking faults (quintuple layer ‐ QL of Bi2Te3 formation instead of a septuple layer ‐ SL of MnBi2Te4), resulting in a coexistence between weak antiferromagnetism and ferromagnetism.
Wesley F. Inoch +10 more
wiley +1 more source
Expected Shortfall is jointly elicitable with Value at Risk - Implications for backtesting
, 2015 In this note, we comment on the relevance of elicitability for backtesting risk measure estimates. In particular, we propose the use of Diebold-Mariano tests, and show how they can be implemented for Expected Shortfall (ES), based on the recent result of
Fissler, Tobias +2 more
core
New backtests for unconditional coverage of the expected shortfall [PDF]
, 2016 We present a new backtest for the unconditional coverage property of the ES. The test statistic is available for finite out-of-sample size which leads to better size and power properties compared to existing tests.
Löser, Robert +2 more
core
Spectrally Tunable 2D Material‐Based Infrared Photodetectors for Intelligent Optoelectronics
Advanced Functional Materials, EarlyView.Intelligent optoelectronics through spectral engineering of 2D material‐based infrared photodetectors. Abstract The evolution of intelligent optoelectronic systems is driven by artificial intelligence (AI). However, their practical realization hinges on the ability to dynamically capture and process optical signals across a broad infrared (IR) spectrum.
Junheon Ha +18 more
wiley +1 more source