نتایج جستجو برای: species at risk

تعداد نتایج: 4686175  

Journal: :IJIMAI 2015
Sonia Benito Rebeca de Juan Ricardo Gómez Francisco Mochón

— 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...

Journal: :Finance and Stochastics 2003
Paul Embrechts Andrea Höing Alessandro Juri

The theory of copulae is known to provide a useful tool for modelling dependence in integrated risk management. In the present paper we review and extend some of the more recent results for finding distributional bounds for functions of dependent risks. As an example, the main emphasis is put on Value-at-Risk as a risk measure.

2015

In the last few decades, risk managers have truly experienced a revolution. The rapid increase in the usage of risk management techniques has spread well beyond derivatives and is totally changing the way institutions approach their financial risk. In response to the financial disasters of the early 1990s a new method called VaR (Value at Risk) was developed as a simple method to quantify marke...

Journal: :CoRR 2011
Satyakama Paul Bhekisipho Twala Tshilidzi Marwala

South Africa assumes a significant position in the insurance landscape of Africa. The present research based upon qualitative and quantitative analysis, shows that it shows the characteristics of a Complex Adaptive System. In addition, a statistical analysis of risk measures through Value at risk and Conditional tail expectation is carried out to show how an individual insurance company copes u...

2004
Adriana P. Mattedi Fernando M. Ramos Reinaldo R. Rosa Rosario N. Mantegna

In this study, we analyze the aerospace stocks prices in order to characterize the sector behavior. The data analyzed cover the period from January 1987 to April 1999. We present a new index for the aerospace sector and we investigate the statistical characteristics of this index. Our results show that this index is well described by Tsallis distribution. We explore this result and modify the s...

2013
Cheng Zhang Yang Zhou Zhiping Zhou

This paper investigates optimal portfolio and wealth strategy of an institutional investor under the Value-at-Risk (VaR) constraint in an economy under jump diffusion. We show that overlooking or underestimating jump risk factor could be the cause of failure to satisfy the VaR constraint in the recent financial crisis for many financial institutions. We also find that the introduction of the ju...

Journal: :J. Multivariate Analysis 2013
Areski Cousin Elena Di Bernardino

In this paper, we introduce two alternative extensions of the classical univariate Value-at-Risk (VaR) in a multivariate setting. The two proposed multivariate VaR are vector-valued measures with the same dimension as the underlying risk portfolio. The lower-orthant VaR is constructed from level sets of multivariate distribution functions whereas the upper-orthant VaR is constructed from level ...

2011
Alexandru V. Asimit Edward Furman Qihe Tang Raluca Vernic

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...

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