Financial Risk Meter Based on Expectiles

Estimating Value at Risk and Expected Shortfall Using Expectiles

Quantiles, Expectiles and Splines

A time-varying quantile can be …tted by formulating a time series model for the corresponding population quantile and iteratively applying a suitably modi…ed state space signal extraction algorithm. It is shown that such quantiles satisfy the de…ning property of …xed quantiles in having the appropriate number of observations above and below. Like quantiles, time-varying expectiles can be estima...

Impact of Financial Characteristics on Future Corporate Risk-Taking Behavior

Organizational risk is often defined as a change in the flow of profit, or as a sys-tematic or non-systematic changes in the stock return flow. The risk taking of management is conceptualized as the actual investment decisions that are indictors due to uncertainty results. The purpose of this study is to investigate the effect of financial characteristics on future corporate risk taking behavio...

Plate Flatness Meter Based on Moire Fringes

A plate flatness meter based on the laser moire method was developed. A large grating is installed above a plate transfer line, a laser beam is directed through a concave lens onto the plate on the transfer line. Moire fringes that conform to the surface profile of the plate are formed on the plate. The flatness of the plate as i t is transferred can be measured to a high accuracy of +l. ODD( 2...

Financial Risk Measurement for Financial Risk Management∗

Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or RiskMetrics. In contrast, we propose flexible methods that exploit recent developments in financial econometrics and are likely to produce more accurate risk assessments, treating both portfoliolevel and asset-level analysis. Asset-level analysis is particularly challenging becau...