Results 81 to 90 of about 2,224,639 (290)

Expected Shortfall is jointly elicitable with Value at Risk - Implications for backtesting [PDF]

, 2016
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, Gneiting, Tilmann, Ziegel, Johanna F.   +2 more
core  

Extreme spectral risk measures : an application to futures clearinghouse margin requirements [PDF]

, 2005
This paper applies the Extreme-Value (EV) Generalised Pareto distribution to the extreme tails of the return distributions for the S&P500, FT100, DAX, Hang Seng, and Nikkei225 futures contracts.
Cotter, John, Dowd, Kevin
core   +3 more sources

Subclinical Optic Nerve Involvement in Radiologically Isolated Syndrome: Multimodal Detection and Diagnostic Impact

Annals of Clinical and Translational Neurology, EarlyView.
ABSTRACT Objectives We aimed to determine the frequency of subclinical optic nerve (ON) lesions using MRI, optical coherence tomography (OCT), and visual evoked potentials (VEP) in radiologically isolated syndrome (RIS), and to assess their diagnostic and prognostic significance.
Christine Lebrun‐Frenay, Cassandre Landes‐Château, Lydiane Mondot, Mikael Cohen, Margherita Popolo, Jérôme de Seze, Bertrand Bourre, Françoise Durand‐Dubief, Olivier Casez, Orhun H. Kantarci, Aksel Siva, Stephanie Baillif, Darin T. Okuda, Letizia Leocani   +13 more
wiley   +1 more source

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  

Electroencephalographic Normalization as a Biomarker of Clinical Recovery in Down Syndrome Regression Disorder

Annals of Clinical and Translational Neurology, EarlyView.
ABSTRACT Objective Down syndrome regression disorder is a syndrome characterized by subacute loss of cognitive, behavioral, and functional abilities in individuals with Down syndrome. Electroencephalography abnormalities are frequently observed during evaluation, but it remains unclear whether these findings represent a dynamic marker of disease ...
Jonathan D. Santoro, Mackenzie Silverman, Maeve C. Lucas, Mariam M. Yousuf, Samuel T. Otey, Stella V. Gray, Brittany Jordan, Madeline D. Kahan, Latanya D. Agurs, Michelle Van Hirtum Das, Deborah Holder, Devin King, Eileen A. Quinn, Ryan Kammeyer, Michael S. Rafii   +14 more
wiley   +1 more source

EXPECTED SHORTFALL DENGAN SIMULASI MONTE-CARLO UNTUK MENGUKUR RISIKO KERUGIAN PETANI JAGUNG

Media Statistika, 2019
In risk management, risk measurement plays an important role in allocating capital as well as in controlling (and avoiding) worse risk. Estimating the risk value can be done by using a risk measure. The most popular method for evaluating risk is Value at
Rita Rahmawati, Agus Rusgiyono, Abdul Hoyyi, Di Asih I Maruddani   +3 more
doaj   +1 more source

Value-at-Risk and Expected Shortfall for Linear Portfolios with elliptically distributed RisK Factors [PDF]

In this paper, we generalize the parametric Delta-VaR method from portfolios with normally distributed risk factors to portfolios with elliptically distributed ones. We treat both expected shortfall and the Value-at-Risk of such portfolios.
SADEFO KAMDEM Jules
core  

Interaction of Intraprocedural Antiplatelets and Intravenous Thrombolysis in Acute Intracranial Stenting: RESISTANT Registry Subanalysis

Annals of Clinical and Translational Neurology, EarlyView.
ABSTRACT Introduction/Objective Acute intracranial stenting during endovascular thrombectomy (EVT) for ischemic stroke requires intraprocedural antiplatelet therapy (APT) to maintain patency. However, the hemorrhagic risk of combining APT with intravenous thrombolysis (IVT) remains uncertain.
Aaron Rodriguez‐Calienes, Leonardo Cruz‐Criollo, Eric Kontowicz, Marta Olivé‐Gadea, Francesco Diana, Johannes Kaesmacher, Adnan Mujanovic, Serdar Geyik, Songul Senadim, Amedeo Cervo, Andrea Salcuni, Mariangela Piano, Manuel Moreu, Alfonso López‐Frías, Ameer E. Hassan, Samantha Miller, Elena Zapata‐Arriaza, Asier de Albóniga‐Chindurza, Mauro Bergui, Stefano Molinaro, João André Sousa, Fábio Gomes, João Sargento‐Freitas, Andrea Alexandre, Alessandro Pedicelli, Jeremy Hofmeister, Paolo Machi, Luca Scarcia, Erwah Kalsoum, Jose Amorim, Torcato Meira, Leonardo Renieri, Francesco Capasso, Daniele Romano, Eduardo Bárcena‐Ruiz, David Seoane, Mohamad Abdalkader, Piers Klein, Thanh N. Nguyen, Catarina Perry da Câmara, Anderson Brito, Nashwa Abdelhakim, Isabel Fragata, Dileep R. Yavagal, Jude H. Charles, Jose Rodriguez Castro, Pedro Vega, Atilla Özcan Özdemir, Zehra Uysal Kocabaş, Stanislas Smajda, Sadiq Al Salman, Jane Khalife, Tudor G. Jovin, Francesco Biraschi, Francesca Richetti, Pedro Castro, Luis Albuquerque, Adnan Siddiqui, Vinay Jaikumar, Pedro Navia, Nikolaos Ntoulias, Marios Psychogios, Mariano Velo, Joaquín Zamarro, Gonzalo de Paco, Yazan Ashouri, Mohammad AlMajali, Juan F. Arenillas, Alicia Sierra, Michele Romoli, João Pedro Marto, Shadi Yaghi, Marc Ribo, Alejandro Tomasello, Manuel Requena, Santiago Ortega‐Gutierrez   +75 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.
Timotheos Angelidis, Stavros Degiannakis
core  

Digital Cognitive Phenotyping for Differential Diagnosis and Monitoring in Neurological Conditions

Annals of Clinical and Translational Neurology, EarlyView.
ABSTRACT Objective To assess the utility, accessibility, and equivalence to supervised scales of online cognitive assessment in older individuals with cognitive impairment. Methods Patients with Alzheimer's disease (AD, n = 31), idiopathic normal pressure hydrocephalus (iNPH, n = 26), and traumatic brain injury (TBI, n = 23) completed online cognitive ...
Martina Del Giovane, Valentina Giunchiglia, Michael C. B. David, Magdalena A. Kolanko, William R. Trender, Peter J. Hellyer, Harmeena Kaur, David J. Sharp, Christopher Carswell, Paresh A. Malhotra, Adam Hampshire   +10 more
wiley   +1 more source