its most compelling aspect is its vertical variation, that is, the sum of the vertical distances between its adjacent terms. Denoted by varw, the vertical variation of the sequence in (1.1) is varw = 2 + 1 + 0 + 2 + 1 = 6. Our purpose here is to compute the mean and variance of var on four classical sets of combinatorial sequences. To formalize matters and place our problem in the context of ot...

I show that the structure of the firm is not neutral in respect to regulatory capital budgeted under rules which are based on the Value-at-Risk.

The aim of this paper is to discuss the use of the Generalized Hyperbolic Distributions to fit Brazilian assets returns. Selected subclasses are compared regarding goodness of fit statistics and distances. Empirical results show that these distributions fit data well. Then we show how to use these distributions in value at risk estimation and derivative price computation.

Introduction Conclusions References

This article is devoted to the study cashflow maps used in the computation of value-at-risk (VaR). Properties and characteristics of the approaches found in the literature are presented and two new approaches are introduced. The goal of this paper is to study the quality of these maps. This is done by calculating the risk induced by the difference between the mapped cashflows and the original one.

In this paper, we propose a multiscale dependence-based methodology to analyze the dependence structure and to estimate the downside portfolio risk measures in the energy markets. More specifically, under this methodology, we formulate a new bivariate Empirical Mode Decomposition (EMD) copula based approach to analyze and model the multiscale dependence structure in the energy markets. The prop...