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<i>Proprotein Convertase Subtilisin</i>/<i>Kexin Type 9</i> (<i>PCSK9</i>) Inhibitor Therapy Reduces the Level of DNA Damage in Patients with Heterozygous Familial Hypercholesterolemia. [PDF]

Int J Mol Sci
Woźniak E, Woźniak A, Pawlos A, Broncel M, Satała J, Bukowska B, Gorzelak-Pabiś P.   +6 more
europepmc   +1 more source

Feasibility and histological basis of predicting post-operative pancreatic fistula by pre-operative shear wave elastography: a prospective study. [PDF]

BMC Gastroenterol
Huang J, Chen L, Wu Q, Zhang X, Yao L, Lai J, Xie X, Lin M.   +7 more
europepmc   +1 more source

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Asymptotic subadditivity/superadditivity of Value‐at‐Risk under tail dependence

Mathematical Finance, 2023
AbstractThis paper presents a new method for discussing the asymptotic subadditivity/superadditivity of Value‐at‐Risk (VaR) for multiple risks. We consider the asymptotic subadditivity and superadditivity properties of VaR for multiple risks whose copula admits a stable tail dependence function (STDF).
Wenhao Zhu, Lujun Li, Jingping Yang, Jiehua Xie, Liulei Sun   +4 more
openaire   +1 more source

Conditional tail behaviour and Value at Risk

Quantitative Finance, 2007
In this paper we study the tail behaviour of eight major market indexes stratifying data according to the violation of a high threshold on the previous day. The distributional differences found can be exploited to improve VaR calculations in several settings, giving rise to what we call ‘MCVaR’.
Bellini F., FIGA' TALAMANCA, GIANNA
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Vector-Valued Tail Value-at-Risk and Capital Allocation

Methodology and Computing in Applied Probability, 2015
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Cossette, Hélène, Mailhot, Mélina, Marceau, Étienne, Mesfioui, Mhamed   +3 more
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Portfolio Value‐at‐Risk with Heavy‐Tailed Risk Factors

Mathematical Finance, 2002
This paper develops efficient methods for computing portfolio value‐at‐risk (VAR) when the underlying risk factors have a heavy‐tailed distribution. In modeling heavy tails, we focus on multivariate t distributions and some extensions thereof. We develop two methods for VAR calculation that exploit a quadratic approximation to the portfolio loss, such ...
Glasserman, Paul, Heidelberger, Philip, Shahabuddin, Perwez   +2 more
openaire   +1 more source

MULTIVARIATE GEOMETRIC TAIL- AND RANGE-VALUE-AT-RISK

ASTIN Bulletin, 2019
AbstractA generalization of range-value-at-risk (RVaR) and tail-value-at-risk (TVaR) for d-dimensional distribution functions is introduced. Properties of these new risk measures are studied and illustrated. We provide special cases, applications and a comparison with traditional univariate and multivariate versions of the TVaR and RVaR.
Klaus Herrmann, Marius Hofert, Mélina Mailhot   +2 more
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Value-at-risk with heavy-tailed risk factors

Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on Computational Intelligence for Financial Engineering (CIFEr) (Cat. No.00TH8520), 2002
This paper develops methods for computationally efficient calculation of value-at-risk (VAR) in the presence of heavy-tailed risk factors. The methods model market risk factors through a multivariate t-distribution, which has both heavy tails and empirical support.
P. Glasserman, P. Heidelberger, P. Shahabuddin   +2 more
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Tail value-at-risk in uncertain random environment

Soft Computing, 2018
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Yuhan Liu, Dan A. Ralescu, Chen Xiao, Waichon Lio   +3 more
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