Generally, in the financial literature, the notion of quadratic VaR is implicitly confused with the Delta-Gamma VaR, because more authors dealt with portfolios that contained derivatives instruments. In this paper, we postpone to estimate both the expected shortfall and Value-at-Risk of a quadratic portfolio of securities (i.e equities) without the Delta and Gamma Greeks, when the joint log-ret...

The conditional tail expectation in risk analysis describes the expected amount of risk that can be experienced given that a potential risk exceeds a threshold value, and provides an important measure for right-tail risk. In this paper, we study the convolution and extreme values of dependent risks that follow a multivariate phase type distribution, and derive explicit formulas of several condi...

— This paper defends the wisdom of not considering the Digital Economy to be one homogeneous sector. Our hypothesis is that it is best to consider it the result of adding four different subsectors. We test whether indeed the economic and financial performance of a portfolio of listed companies in each of the four subsectors presents relevant differences. We use the value at risk measure to esti...

This paper compares three value-at-risk approximation methods suggested in the literature: Cornish-Fisher (1937), Sillitto (1969), and Liu (2010). Simulation results are obtained for three families of distributions: student-t, skewed-normal, and skewed-t. We recommend the Sillitto approximation as the best method to evaluate the value at risk when the financial return has an unknown, skewed, an...

rule ClassWithOperationsContributingClass merge c : Core!EClass with s : ObserverPattern!EClass into t : Target!EClass { for (sop in s.eOperations) { var op : new Target!EOperation; op.name := sop.name; t.eOperations.add(op); for (sopp in sop.eParameters) { var p : new Target!EParameter; p.name := sopp.name; p.eType ::= sopp.eType; op.eParameters.add(p); } } } auto rule ClassWithObserver merge ...

This paper reports the growth, mechanical, thermal and spectral properties of Cr(3+):MgMoO(4) crystals. The Cr(3+):MgMoO(4) crystals with dimensions up to 30 mm×18 mm×14 mm were obtained by TSSG method. The absorption cross-sections of (4)A(2)→(4)T(1) and (4)A(2)→(4)T(2) transitions are 12.94×10(-20) cm(2) at 493 nm and 7.89×10(-20) cm(2) at 705 nm for E//N(g), respectively. The Cr(3+):MgMoO(4)...