An investigation of the limiting behavior of a risk capital allocation rule based on the Conditional Tail Expectation (CTE) risk measure is carried out. More specifically, with the help of general notions of Extreme Value Theory (EVT), the aforementioned risk capital allocation is shown to be asymptotically proportional to the corresponding Value-at-Risk (VaR) risk measure. The existing methodo...

Abstract. We investigate properties of a version of tail comonotonicity that can be applied to absolutely continuous distributions, and give several methods for constructions of multivariate distributions with tail comonotonicity or strongest tail dependence. Archimedean copulas as mixtures of powers, and scale mixtures of a non-negative random vector with the mixing distribution having slowly ...

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Özet. Test Güdümlü Yazılım Geliştirme modeli önce test koşullarının yazılmasını, sonrasında da yazılan testleri geçecek ve kendinden beklenen işlevi yerine getirecek kodun yazılarak bir yazılımın geliştirilmesini öngören yazılım geliştirme modelidir. Başarılı test sürecinin gerçekleştirilmesi ile en az hataya sahip yüksek doğrulukta yazılımlar üretilebilmektedir. Günümüzde test güdümlü yazılım ...

This paper presents a general review related to the problem of three­dimensional objects’ reconstruction from range data images. It descr ibes the problem and reviewed the main areas of concern in each of the intermediate steps that make up the overall process of sur faces reconstruction with the most impor tant works in the area cover ing a wide var iety of techniques and models propos...

The global financial crisis hastened the development of the Shenzhen GEM is a venture capital a key link in the chain, force the development of SME financing difficulty in resolving the issue. In view of the characteristics and specific risks of Growth Enterprise Market (GEM), this paper measures the market risk of 28 listed companies on the GEM by use of VaR techniques, and introduces VaR into...