Maximum Relative Drawdown measures the largest percentage drop of the price process on a given time interval. Recently, Maximum Relative Drawdown has become more popular as an alternative measure of risk. In contrast to the Value at Risk measure, it captures the path property of the price process. In this article, we propose a partial differential equation approach to determine the theoretical ...

Incorporating the Poisson jumps and exchange rate risk, this paper provides an analytical VaR to manage market risk of international portfolios over the subprime mortgage crisis. There are some properties in the model. First, different from past studies in portfolios valued only in one currency, this model considers portfolios not only with jumps but also with exchange rate risk, that is vital ...

Risks faced by traders from price movements are sometimes magni¿ed by the actions of other traders. Risk management systems which neglect this feature may give a seriously misleading picture of the true risks. The hazards arising from this potential blindspot are at their most dangerous when the prevailing conventional wisdom lulls traders into a false sense of security on the attractivenss of ...

We propose an extension of the CPPI method, which is based on conditional floors. In this framework, we examine in particular the margin based strategies. This method allows to keep part of the past gains and to protect the portfolio value against future high drawdowns of the financial market. However, as for the standard CPPI method, the investor can benefit from potential market rises. To con...

Related to the current discussion of value-at-risk-based capital allocation and performance management (RAPM) for managing bank capital, a risk theoretical RAPM-approach for propertylliability-insurance companies is presented. The paper discusses several central issues of a RAPM-approach: Virtual risk adjusted capital (VRAC) on the company level, return on risk adjusted capital (RORAC), risk ba...

The suspended electrothermal polysilicon micro beams generate displacements and forces by thermal buckling effects. In the previous electro-thermal and thermo-elastic models of suspended polysilicon micro beams, the thermo-mechanical properties of polysilicon have been considered constant over a wide rang of temperature (20900°C). In reality, the thermo-mechanical properties of polysilicon depe...

This article advocates workplace adult education and training researchers and scholar practitioners interested in career and technical education (CTE), adult education and technology, and who are attempting social and cultural critiques of workplace e-learning. The emphasis on the technological and artefactual in workplace e-learning research and study are not producing the expected learning ou...

This article deals with the Value at Risk concept as it is used in practice. We show that, like the Gaussian distribution, elliptical distributions lend themselves to simple practical computations. All necessary computations are detailed for the symmetric hyperbolic distributions. A test on real stock market and exchange rate data shows the new distributions fit the data better and outperform e...

Özetçe. Günümüz şirketleri, müşterilerinin beklentilerini anlamak ve bu beklentilere hızlı ve doğru bir şekilde tepki vermek durumundadır. Artık, bilişim sistemleri karar destek sistemleri olmaktan çıkmış ve doğrudan yönetimin, üretimin, ticaretin ve sosyal hayatın yaşandığı sistemler haline gelmiştir. Hayatın kendisini beklemeye almak hayattan kopuş ile sonuçlanmaktadır. Uygulama yazılımları i...