Results 31 to 40 of about 141,342 (308)
Assessing Market Risk in BRICS and Oil Markets: An Application of Markov Switching and Vine Copula
International Journal of Financial Studies, 2021 This paper investigates the dynamic tail dependence risk between BRICS economies and the world energy market, in the context of the COVID-19 financial crisis of 2020, in order to determine optimal investment decisions based on risk metrics.
John Weirstrass Muteba Mwamba +1 more
doaj +1 more source
Sharp Probability Tail Estimates for Portfolio Credit Risk
Risks, 2022 Portfolio credit risk is often concerned with the tail distribution of the total loss, defined to be the sum of default losses incurred from a collection of individual loans made out to the obligors.
Jeffrey F. Collamore +2 more
doaj +1 more source
International Journal for Re-Views in Empirical Economics, 2019 This paper aims to replicate the semiparametric Value-At-Risk model by Dias (2014) and to test its legitimacy. The study confirms the superiority of semiparametric estimation over classical methods such as mixture normal and Student-t approximations in ...
Jiahua Xu
doaj +1 more source
Conditional Tail Expectation and Premium Calculation under Asymmetric Loss
Axioms, 2023 In this paper, we calculate premiums that are based on the Conditional Tail Expectation (CTE) and asymmetric loss functions to account for the risk of both underestimation and overestimation losses.
Enrique Calderín-Ojeda +2 more
doaj +1 more source
Tail risk modelling of cryptocurrencies, gold, non-fungible token, and stocks
Research in GlobalizationWe present tail risk analysis of cryptocurrencies (Bitcoin, Ethereum and Litecoin), non-fungible tokens, stocks (FTSE 100 and S&P 500) and Gold from November 12, 2017 to March 31, 2022 using conditional model-based Value-at-Risk (VaR).
Zynobia Barson, Peterson Owusu Junior
doaj +1 more source
Copula-Based Risk Aggregation and the Significance of Reinsurance
RisksInsurance companies need to calculate solvency capital requirements in order to ensure that they can meet their future obligations to policyholders and beneficiaries.
Alexandra Dias +2 more
doaj +1 more source
Tail Risk Signal Detection through a Novel EGB2 Option Pricing Model
Mathematics, 2023 Connecting derivative pricing with tail risk management has become urgent for financial practice and academia. This paper proposes a novel option pricing model based on the exponential generalized beta of the second kind (EGB2) distribution.
Hang Lin, Lixin Liu, Zhengjun Zhang
doaj +1 more source
Pediatric Blood &Cancer, EarlyView.ABSTRACT Background An internal tandem duplication in the gene encoding Fms‐like tyrosine kinase 3 (FLT3‐ITD) is associated with high relapse risk and poor prognosis in acute myeloid leukemia (AML) and plays a crucial role in treatment decisions. Measurable residual disease (MRD) analysis of FLT3‐ITD during and after treatment has shown prognostic ...
Sofie Johansson Alm +11 more
wiley +1 more source
FinTechThis paper examines the market maturation hypothesis in cryptocurrency markets through a three-stage analysis of the evolution of tail risk in Bitcoin (BTC) and Ethereum (ETH).
Oksana Liashenko +2 more
doaj +1 more source
Diversity and complexity in neural organoids
FEBS Letters, EarlyView.Neural organoid research aims to expand genetic diversity on one side and increase tissue complexity on the other. Chimeroids integrate multiple donor genomes within single organoids. Self‐organising multi‐identity organoids, exogenous cell seeding, or enforced assembly of region‐specific organoids contribute to tissue complexity.
Ilaria Chiaradia, Madeline A. Lancaster
wiley +1 more source