Value-at-risk (VaR) and conditional value-at-risk (CVaR) are popular risk measures from academic, industrial and regulatory perspectives. The problem of minimizing CVaR is theoretically known to be of a Neyman–Pearson type binary solution. We add a constraint on expected return to investigate the mean-CVaR portfolio selection problem in a dynamic setting: the investor is faced with a Markowitz ...

We consider the impact of “large” changes in asset prices on intra-market correlations in domestic and international markets. Assuming normally distributed asset returns, we show that the absolute magnitude of the correlation, conditional on a change greater than or equal to a given absolute size of one of the variables, is monotonically increasing in the magnitude of that absolute change. Empi...

According to the strategy of the banking system development until 2015, the Central Bank of Russia is going to implement Basel II Internal-Ratings-Based (IRB) approaches in 2015, while Basel III is planned to be introduced in full starting from 2019. Taking into account the effects of the Basel II regulation during the crisis 2008–2009, in particular, the excessive procyclicality of the capital...

The purpose of this research study was to identify potential signature pedagogies in the field of CTE as well as specific disciplines within CTE, and to explain instructional strategy use by faculty’s demographic characteristics, course delivery modes, and academic discipline. Based on a national survey of CTE faculty teaching at the postsecondary level, this study found faculty which teach in ...

One o f the ma in aims o f [5] is to obta in bounds for asr(A) for var ious classes of noncommuta t i ve rings A; in part icular , they show that: (i) asr(A) ~< 1 + d whenever A is a module finite a lgebra over a commuta t ive Noe ther ian ring R with d im(maxspec R) = d, and (ii) asr(A) = 1 if A is a semi-local ring (see [5], Theorems 3.1 and 2.4], respectively). The a im o f this note is to s...

APPENDIX: Lost Relatives of the Gumbel Trick Here we provide proofs for the results stated in the main text, together with additional supporting lemmas required for these proofs. A. Comparison of Gumbel and Exponential tricks In Section 2.3.1 we analyzed the asymptotic efficiency of different estimators of Z by measuring their asymptotic variance. (As all our estimators in the full-rank perturb...

This paper proposes a new model for calculating VaR where the user is free to choose any probability distributions for daily changes in the market variables and parameters of the probability distributions are subject to updating schemes such as GARCH. Transformations of the probability distributions are assumed to be multivariate normal. The model is appealing in that the calculation of VaR is ...

F un c tion al an d developm en tal s ign ific an c e of amplitude variance asymmetr y in the BOLD resting state signal

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...