El objetivo de este estudio es medir el riesgo mercado portafolios acciones del financiero mexicano en periodos alta volatilidad mediante cuatro metodologías: 1) la Beta CAPM (-CAPM), 2) VaR-Simulación Histórica (VaR-SH), 3) VaR-Delta Normal (VaR-δN) y 4) Montecarlo (VaR-SM). Estas métricas se seleccionaron por ser parsimoniosas. Los resultados muestran que las metodologías son consistentes vo...

A variety of methods is available to estimate a portfolio’s Value-at-Risk. Aside from the overall VaR there is an apparent need for information about marginal VaR, component VaR and incremental VaR. Expressions for these VaR metrics have been derived under the restrictive normality assumption. In this paper we investigate these VaR concepts in an elliptical world and in a general distribution-f...

1% of the genes of the human malaria causing agent Plasmodium falciparum belong to the heterogeneous var gene family which encodes P. falciparum erythrocyte membrane protein 1 (PFEMP1). This protein mediates part of the pathogenesis of the disease by causing adherence of infected erythrocytes (IE) to the host endothelium. At any given time, only one copy of the family is expressed on the IE sur...

If f is a risk measure, the diversification benefit of aggregating portfolio’s A and B is defined to be (1) f(A) + f(B)− f(A + B) When using full revaluation VaR as the methodology for computing a risk measure, its quite possible to get negative diversification. Pathological examples are possible, but the following example is not absurd: Suppose one has a portfolio that is made up by a Trader A...

Analyses of individuals classically treated as Juniperus oxycedrus L. var. oxycedrus from Morocco, Portugal, Spain, France, Italy, Greece and Turkey, using DNA sequencing of nrDNA (ITS 1, 5.8S, ITS 2) plus RAPDs, leaf terpenoids and morphology revealed that two cryptic, genetically distinct but morphologically almost identical species are present. These species, J. oxycedrus L. var. oxycedrus a...

The Pleistocene and recent distributions of the taxa are discussed. A new variety of Juniperus ashei, J. ashei Buch. var. ovata R. P. Adams is recognized from west Texas and northern Mexico. It differs from typical J. ashei in having whip leaf glands that are oval to elongate rather than hemispherical, smaller female cones, smaller seeds and more seeds per cone. In addition, the leaf oil of var...

Vector Autoregression Models (VAR) are widely used by researchers to capture the linear interdependencies among multiple time series. We propose a novel method called Clustered VAR (CVAR) to identify components of the data generated by a mixture of K VAR processes. By applying a CVAR model to a consumer-level time series dataset on shopping behavior at a retailer, we segment consumers based on ...

This paper studies a facility location model with fuzzy random parameters and its swarm intelligence approach. A Value-at-Risk (VaR) based fuzzy random facility location model (VaR-FRFLM) is built in which both the costs and demands are assumed to be fuzzy random variables, and the capacity of each facility is unfixed but a decision variable assuming continuous values. Under this setting, the V...

The age of stratospheric air is computed with a trajectory model, using ECMWF ERA-40 3-D-Var and operational 4-D-Var winds. The sensitivity to the forecast period and assimilation technique are studied, and the results are compared with observations and with results from a chemistry transport model that uses the same data sets. A large 5 number of backward trajectories is started in the stratos...

Drug resistance in cells is a major impedance to successful treatment of lung cancer. Taxus chinensis var. inhibits the growth of tumor cells and promotes the synthesis of interleukins 1 and 2 and tumor necrosis factor, enhancing immune function. In this study, T. chinensis var.-induced cell death was analyzed in lung cancer cells (H460) enriched for stem cell growth in a defined serum-free med...