15 and 16 show, it is the measure regulators have traditionally used for many of the calculations they carry out concerned with the setting of capital requirements for market risk, credit risk, and operational risk. As explained in Chapter 17, regulators are switching to ES for market risk. ...
Note that the exact value under the special growth assumption equals the upper bound under the constant growth assumption, which can be explained by a less aggressive risk development under this assumption. 2.2 Output-oriented view with PI risk measure Considering a PI risk measure, we begin our...
In this paper, we find that the relationship between the value-at-risk (VaR) and expected returns is negative and this negative relationship between the VaR and expected returns can be explained by volatility in the U.S. market. However, for different levels of investor sentiment, this ...
This chapter recalls the main tools useful to compute Value at Risk associated with a m-dimensional portfolio. Then, the limitations of the use of these tools is explained, as soon as non-stationarities are observed in time series. Indeed, specific behaviours observed by financial assets, like...
Risk Mapping “Risk mapping” is a nice wording for a pricing function. In a general case we might decompose the pricing function for each type of nancial instrument into simple risk factors (perhaps using the option pricing techniques explained in our previous articles). However, in our ...
Our findings can be explained by the fact that the skewed Student-t FIAPARCH model can jointly accounts for the salient features of financial time series: fat tails, asymmetry, volatility clustering and long memory. In the same vein, because it fails to account for most of these stylized ...
We analyzed all neurons with strong attribute effects, meaning that the fitted attribute model explained at least 10% more response variance than expected by chance, with at least one attribute having a significant effect (Methods). The result was clear. LHb neurons predominantly had high value ...
The distinction between the intrinsic and the instrumental can be drawn in different ways, as explained here. This article, however, is concerned with intrinsic goods. It argues against hedonism, which is the view that only pleasure is intrinsically good, and against desire theories, which hold ...
Value at risk (VaR) is a well-known, commonly used risk assessment technique. The VaR calculation is a probability-based estimate of the minimum loss in dollar terms expected over a period. The data produced isused by investors to strategically make investment decisions. VaR is often criticized...
When the gap between the lenticular sheet and the elemental image plane changes in the depth direction, the apparent resolution curve shifts in the same direction; if the gap is large, objects displayed at the near side have higher resolution, and if the gap is small, objects displayed at ...