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The Prothrombotic Phenotype of Thirdhand Electronic Cigarette Exposure is Sex Independent and Involves Systemic Mediated Effects on Platelet Function: Evidence from a Mouse Model. [PDF]

Cardiovasc Toxicol
Umphres SS, Alarabi AB, Ali HEA, Qadri S, Khasawneh FT, Alshbool FZ.   +5 more
europepmc   +1 more source

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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
semanticscholar   +3 more sources

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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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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A predictive approach to quantiles: Application to Value at Risk and Tail Value at Risk

Probability and Mathematical Statistics
Summary: We prove that quantiles are best predictors in a special metric. The best predictor turns out to coincide with the notions of generalized arithmetic mean, exponential barycenter and certainty equivalent. We also show that the computation of tail value at risk (TVaR) reduces to the computation of a quantile with a higher level of confidence ...
Henryk Gzyl
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Risk measurement for insurance sector with credible tail value-at-risk

AIP Conference Proceedings, 2019
Providing protection against probability of losses is important issue in insurance company. Insurance company must certainly estimate all the risks which can be done by using risk measures. Value-at-Risk (VaR) is one of risk measures that is widely used in insurance industry.
Ferren Alwie, Mila Novita, Suci Fratama Sari   +2 more
openaire   +2 more sources

Backtesting value-at-risk based on tail losses

Journal of Empirical Finance, 2008
Extreme losses caused by leverage and financial derivatives highlight the need to backtest Value-at-Risk (VaR) based on the sizes of tail losses, because the risk measure currently used disregards losses beyond the VaR boundary. While Basel II backtests VaR by counting the number of exceptions, this paper proposes to use the saddlepoint technique by ...
W. Wong
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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
openaire   +4 more sources