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

The traditional Value at Risk (VaR) is a very popular tool measuring market risk, but it does not incorporate liquidity risk. This paper proposes an extended VaR model to integrate liquidity risk for intraday trading strategies using high frequency order book data. We estimate the one step ahead liquidity adjusted intraday VaR called(LAIVaR) for both bid and ask positions, considering several t...

Some false paths are caused by redundant stuck-at faults. Removal of those stuck-at faults automatically eliminates such false paths f r o m the circuit. However, there are other false paths that are not associated with any redundant stuck-at fault. All links of such a false path are shared with other testable paths. W e focus o n the elimination of this type of false paths. W e use a nonenumer...

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...

Little is known about the possible impact of an influenza pandemic on a nation's economy. We applied the UK macroeconomic model 'COMPACT' to epidemiological data on previous UK influenza pandemics, and extrapolated a sensitivity analysis to cover more extreme disease scenarios. Analysis suggests that the economic impact of a repeat of the 1957 or 1968 pandemics, allowing for school closures, wo...

The classical Lévy-Cramér continuity theorem asserts that the convergence of the characteristic functions implies the weak convergence of the corresponding probability measures. We extend this result to the setting of non-commutative probability theory and discuss some applications. ∗CNRS, Université de Provence, Université de la Méditerranée, Université du Sud Toulon-Var. 2 V. Jakšić, Y. Pautr...

The No-Arbitrage model by Schonbucher [30] is combined with the Extended Vasicek Term Structure Model and applied to the pricing of DM-Eurobonds issued by sovereigns from emerging economies. Practical hedging according to the model is investigated. A portfolio of DM-Eurobonds is analyzed using the risk measures "Shortfall" and "Value at Risk".

“...HOW does it come about that alongside of the idea of ponderable matter, which is derived by abstraction from everyday life, the physicists set the idea of the existence of another kind of matter, the ether? The explanation is probably to be sought in those phenomena which have given rise to the theory of action at a distance, and in the properties of light which have led to the undulatory t...