A new one-parameter family of risk measures called Conditional Drawdown (CDD) has been proposed. These measures of risk are functionals of the portfolio drawdown (underwater) curve considered in active portfolio management. For some value of the tolerance parameter α, in the case of a single sample path, drawdown functional is defined as the mean of the worst (1 − α) ∗ 100% drawdowns. The CDD m...

In this paper we analyse nonparametric methods to estimate risk measures in loss distributions. We study kernel estimation for Value-at-Risk and Tail Value-at-Risk based on transformation of the original data. The proposed method consists of a double transformation kernel estimation. We show that a suitable bandwidth selection criterion has a direct expression for the optimal smoothing paramete...

-Since the 1950s the existence of natural hybrids between shortleaf pine and loblolly pine has been recognized and reported in the literature. In a range-wide study of isoenzyme diversity in shortleaf pine. we found 16 percent of the trees from western populations were hybrids. based on the isocitrate dehydrogenase (IDH) locus. In stands thought to be pure shortleaf pine in west central Arkansa...

By mid 2004, the Basel Committee on Banking Supervision (BCBS) is expected to launch its final recommendations on minimum capital requirements in the banking industry. Although there is the intention to arrive at capital charges which concur with economic intuition, the risk weight formulas proposed by the committee will lack an adequate treatment of concentration risks in credit portfolios. Th...

The problem of portfolio risk estimation in volatile markets requires employing fat-tailed models for financial instrument returns combined with copula functions to capture asymmetries in dependence and a true downside risk measure for risk estimation. In this survey, we discuss how these three essential components can be combined together in a Monte Carlo based framework for risk estimation an...

We study the coordination of supply chains with a risk-neutral supplier and a risk-averse retailer. Different from the downside risk setting, in a conditional value-at-risk (CVaR) framework, we show that the supply chain can be coordinated with the revenue-sharing, buy-back, two-part tariff and quantity flexibility contracts. Furthermore the revenuesharing contracts are still equivalent to the ...

When dealing with market risk under the Basel II Accord, variation pays in the form of lower capital requirements and higher profits. Typically, GARCH type models are chosen to forecast Value-at-Risk (VaR) using a single risk model. In this paper we illustrate two useful variations to the standard mechanism for choosing forecasts, namely: (i) combining different forecast models for each period,...

In this paper coherent risk measures and other currently used risk measures, notably Value-at-Risk (V aR), are studied from the perspective of the theory of coherent imprecise previsions. We introduce the notion of coherent risk measure defined on an arbitrary set of risks, showing that it can be considered a special case of coherent upper prevision. We also prove that our definition generalize...

This paper introduces a Value-at-Risk (VaR) model to generate route choices for a hazmat shipment based on a specified risk confidence level. The objective is to determine a route which minimizes the likelihood that the risk will be greater than a set threshold. Several properties of the VaR model are established. An exact solution procedure is proposed and tested to solve the single-trip probl...

Although financial risk measurement is a largely investigated research area, its relationship with imprecise probabilities has been mostly overlooked. However, risk measures can be viewed as instances of upper (or lower) previsions, thus letting us apply the theory of imprecise previsions to them. After a presentation of some well known risk measures, including Value-at-Risk or VaR, coherent an...