Results 51 to 60 of about 44,402,255 (305)

Aggregate Risk Model and Risk Measure-Based Risk Allocation

InPrime, 2020
In actuarial modeling, aggregate risk is known as more attractive rather than individual risk. It has, however, usual difficulty in finding (the exact form of) joint probability distribution.
Khreshna Syuhada
doaj   +1 more source

Risk Measurement-Value at Risk (VaR) Versus Conditional Value at Risk (CVaR): A Teaching Note

Journal of Accounting and Finance, 2018
Financial history has demonstrated that desirable and undesirable outcomes are always possible. Participants in the industry have made substantial progress in quantifying and mitigating many sources of risks. One more recent indicator is value at risk (VaR). However, this technique remains controversial, despite being an industry standard.
Cao Minh Duc, Alex Faseruk, Ashrafee Hossain   +2 more
openaire   +2 more sources

Serum Myonectin Levels Are Positively Associated With Physical Function and Lower Frailty‐Related Limitation in Maintenance Hemodialysis Patients: A Cross‐Sectional Study

Therapeutic Apheresis and Dialysis, EarlyView.
ABSTRACT Background Maintenance hemodialysis (MHD) patients frequently suffer from frailty, characterized by reduced physical function and poor prognosis. Myokines, such as myonectin, secreted by muscle, are emerging regulators of systemic health. This study investigated the relationship between serum myonectin, adipokines (adiponectin, omentin), and ...
Kenichi Kono, Yoshifumi Moriyama, Koji Ohashi, Naoya Otaka, Minako Tatsumi, Toyoaki Murohara, Noriyuki Ouchi, Satoru Oshima   +7 more
wiley   +1 more source

Extreme Value at Risk and Expected Shortfall during Financial Crisis [PDF]

This paper investigates Value at Risk and Expected Shortfall for CAC 40, S&P 500, Wheat and Crude Oil indexes during the 2008 financial crisis. We show an underestimation of the risk of loss for the unconditional VaR models as compared with the ...
D. Dupre, O. Taramasco, L. Kourouma, G. Sanfilippo   +3 more
core  

Extreme Value Theory and Gold Price Extremes, 1975–2025: Long-Term Evidence on Value-at-Risk and Expected Shortfall

Commodities
We analyze extreme gold price movements between 1975 and 2025 using Extreme Value Theory (EVT). Using both the Block-Maxima and Peaks-over-Threshold approaches on a daily return basis, we estimate Value-at-Risk (VaR) and Expected Shortfall (ES) for the ...
Michael Bloss, Dietmar Ernst, Leander Geisinger   +2 more
doaj   +1 more source

Comparative Evaluation of Hemodiafiltration, Hemoperfusion, and Standard Hemodialysis on Efficacy, Inflammatory Control, Dialysis Adequacy, and Safety in End‐Stage Renal Disease: A Prospective Observational Study

Therapeutic Apheresis and Dialysis, EarlyView.
ABSTRACT Background Chronic micro‐inflammation in patients with end‐stage renal disease (ESRD) is a significant driver of cardiovascular complications and diminished quality of life. While standard hemodialysis (SHD) effectively manages small‐molecule clearance, its ability to remove medium‐to‐large uremic toxins—the primary catalysts of systemic ...
Hongwei Zuo, Weisi Dai, Jie Mao, Mei Ye, Xingshan Lu, Xiaocui Zhang   +5 more
wiley   +1 more source

Value-at-Risk and Expected Shortfall for Linear Portfolios with elliptically distributed RisK Factors [PDF]

In this paper, we generalize the parametric Delta-VaR method from portfolios with normally distributed risk factors to portfolios with elliptically distributed ones. We treat both expected shortfall and the Value-at-Risk of such portfolios.
SADEFO KAMDEM Jules
core  

A note on subadditivity of value at risks (VaRs): A new connection to comonotonicity

Journal of Applied Probability
Abstract In this paper, we provide a new property of value at risk (VaR), which is a standard risk measure that is widely used in quantitative financial risk management. We show that the subadditivity of VaR for given loss random variables holds for any confidence level if and only if those are comonotonic.
Yuri Imamura, Takashi Kato
openaire   +2 more sources

Safety of Daprodustat for the Treatment of Chronic Kidney Disease Anemia: Final Analysis of a Multicenter Postmarketing Surveillance Study in Japan

Therapeutic Apheresis and Dialysis, EarlyView.
ABSTRACT Introduction This final analysis of a multicenter, prospective postmarketing surveillance study evaluated the safety of daprodustat in patients with chronic kidney disease anemia in routine clinical practice in Japan. Methods Patients who initiated daprodustat between September 2020 and July 2022 were registered.
Tadao Akizawa, Kyomi Kanaya, Kiyomi Aizawa, Masanori Onoki, Hirofumi Ozeki, Kazuko Suzuki, Ai Hayashi, Tomohiko Asamura   +7 more
wiley   +1 more source