Results 111 to 120 of about 141,342 (308)

Odd Log-Logistic XGamma Model: Bayesian and Classical Estimation with Risk Analysis Utilizing Reinsurance Revenues Data

Journal of Statistical Theory and Applications (JSTA)
Effective risk exposure descriptions can be made using continuous distributions. To illustrate the level of exposure to a certain danger, it is better to use a single number, or at the very least, a small set of numbers.
Vahid Ranjbar, Morad Alizadeh, Mahmoud Afshari, Haitham M. Yousof   +3 more
doaj   +1 more source

Portfolio based VaR model: a combination of extreme value theory (EVT) and dynamic conditional correlation (DCC) model

, 2013
This thesis fills a gap in the risk management literature and expands the understanding of the portfolio value at risk (VaR) by providing a theoretical market risk measurement of a portfolio (called “GEV-DCC model”), which combines the tail dynamic ...
Wang, Jo-Yu
core  

Defect Evolution and Mechanical Performance of Fused Filament Fabrication‐Manufactured 17‐4PH Stainless Steel Revealed by X‐Ray Computed Tomography

Advanced Engineering Materials, EarlyView.
X‐ray computed tomography reveals how process‐induced defects evolve from green to sintered states in Fused Filament Fabrication (FFF)‐manufactured 17‐4PH stainless steel. Internal porosity, weakest cross‐sections, and fracture locations show strong correlation with tensile performance, demonstrating the potential of computed tomography (CT)‐based ...
György Ledniczky, Márk Sárközi, Ibolya Zsoldos, Zoltán Weltsch   +3 more
wiley   +1 more source

An extended Rayleigh Weibull model with actuarial measures and applications

Heliyon
In this article, we discuss a new extension of the Rayleigh-Weibull model using the Marshall-Olkin family of distributions. The proposed model is called the Marshall-Olkin-Rayleigh-Weibull (MORW) model.
Mohammed Elgarhy, Arne Johannssen, Mohamed Kayid   +2 more
doaj   +1 more source

Downside Risk for European Equity Markets

This paper applies extreme value theory to measure downside risk for European equity markets. Two related measures, value at risk and the excess loss probability estimator provide a coherent approach to optimally protect investor wealth opportunities for
Cotter, John
core  

Tail Risk for Australian Emerging Market Entities [PDF]

Whilst the Australian economy is widely considered to have fared better than many of its global counterparts during the Global Financial Crisis, there was nonetheless extreme volatility experienced in Australian financial markets.
Akhmad R. Kramadibrata, David E Allen, Abhay Kumar Singh, R. J. Powell   +3 more
core  

Microenvironmental Reprogramming by 3D Anisotropic Cardiac Extracellular Matrix Induces Nuclear Remodeling and Epigenetic Maturation of Chemically Induced Cardiomyocytes

Advanced Functional Materials, EarlyView.
A 3D anisotropic hydrogel derived from heart extracellular matrix guides cytoskeletal alignment and nuclear remodeling in reprogrammed cardiomyocyte‐like cells. This study reveals how matrix alignment modulates nuclear envelope dynamics and chromatin state, triggering transcriptional and functional maturation.
Seung Ju Seo, Mi Jeong Lee, Hyun Wook Kang, Seonhee Byeon, Soo‐Kyoung Choi, Nakwon Choi, Seung‐Woo Cho, Yoonhee Jin   +7 more
wiley   +1 more source

Varying the VaR for Unconditional and Conditional Environments [PDF]

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 ...
John Cotter
core   +2 more sources

Values and tail values at risk of doubly compound inhomogeneous and contagious aggregate loss processes

Mathematical and Computer Modelling, 2011
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire   +3 more sources

Estimating Value-at-Risk for the Turkish Stock Index Futures in the Presence of Long Memory Volatility [PDF]

This paper examines the long memory properties for closing prices of the Turkish stock index futures market using the FIGARCH(1,d,1) model with three different distributions : Normal, Student-t, and skewed Student-t.
Adnan Kasman
core