Results 101 to 110 of about 141,342 (308)
Rogue traders versus value-at-risk and expected shortfall
, 2018 We show that, in a Black and Scholes market, value at risk and ex- pected shortfall are irrelevant in limiting traders excessive tail-risk seeking behaviour as modelled via Kahneman and Tversky’s S-shaped utility. To have effective constraints one can
Brigo, D, Armstrong, John
core
Value at Risk and Conditional Extreme Value Theory via Markov Regime Switching Models
, 2008 This study develops a new conditional extreme value theory-based (EVT) model that incorporates the Markov regime switching process to forecast extreme risks in the stock markets.
Ze-To, S.
core +1 more source
Arthritis Care &Research, EarlyView.Objective Mycophenolate mofetil (MMF) use in limited cutaneous systemic sclerosis (lcSSc) is relatively uncommon because of the lower fibrotic burden and the predominance of vascular complications. In vitro observations and clinical data from transplanted patients suggest a protective effect of MMF on endothelial function.
Enrico De Lorenzis +77 more
wiley +1 more source
Arthritis Care &Research, EarlyView.Objective Studies of damage accrual in patients with systemic lupus erythematosus (SLE) show associations with disease activity measured by the SLE Disease Activity Index 2000 (SLEDAI‐2K), but these associations are imperfect. SLEDAI scores are powerfully influenced by weightings (1–8) assigned to each domain.
Kevin Zhang +8 more
wiley +1 more source
On Functional Central Limit Theorems for Dependent, Heterogeneous Tail Arrays with Applications to Tail Index and Tail Dependence Estimators [PDF]
We establish functional central limit theorems for a broad class of dependent, heterogeneous tail arrays encountered in the extreme value literature, including extremal exceedances, tail empirical processes and tail empirical quantile processes.
Jonathan Hill
core
Arthritis Care &Research, EarlyView.Objective This study aimed to describe real‐world trends in preconception and prenatal use of antirheumatic drugs among pregnant individuals with rheumatic diseases in Ontario, Canada. Methods We conducted a time‐series analysis using repeated cross‐sectional data to examine annual patterns of disease‐modifying antirheumatic drug (DMARD) use among ...
Shenthuraan Tharmarajah +6 more
wiley +1 more source
A Discrete CVaR Framework for Industrial Hedging Under Commodity, Freight, and FX Risks
MathematicsRaw material price volatility, freight rates, and foreign exchange all pose significant uncertainty for lithium-ion battery manufacturers, jeopardising procurement planning and financial stability. In this paper, we formulate a discrete Conditional Value-
Yanduo Li, Ruiheng Li, Xiaohong Duan
doaj +1 more source
Filtered Extreme Value Theory for Value-At-Risk Estimation
Extreme returns in stock returns need to be captured for a successful risk management function to estimate unexpected loss in portfolio. Traditional value-at-risk models based on parametric models are not able to capture the extremes in emerging markets ...
Yilmazer, Sait +2 more
core
Varying the VaR for Unconditional and Conditional Environments, [PDF]
, 2004 Accurate forecasting of risk is the key to successful risk management techniques. Using the largest stock index futures from twelve European bourses, this paper presents VaR measures based on their unconditional and conditional distributions for single ...
Cotter, John
core
Advanced Engineering Materials, EarlyView.This study presents an infrared monitoring approach for direct laser interference patterning (DLIP) combined with a convolutional neural network (CNN). Thermal emission data captured during structuring are used to predict surface topography parameters.
Lukas Olawsky +5 more
wiley +1 more source