discrete approximation of additive risk

An application of alternative risk measures to trading porfolios

Ngày tải lên : 27/04/2013, 11:17

... satisfies most of the properties of being a coherent risk measure, except for the case of the sub -additive property VaR is sub -additive for example in the case when the distribution of X is elliptical, ... the P&L of the bond mapped on the changes of two risk factors The first risk factor considered is the absolute returns of the spread of the bond with respect to the Treasury and the second risk ... for the date of 28 of February 2000 represents the VaR(99%) This is a good application of ES not just as measure of risk, but also as a measure for sensitivity of the overall P&L to risk factors...

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EVALUATION OF HEALTH RISKS IN THE WASTEWATER RECLAMATION IN THE ABUKUMA WATERSHED, JAPAN

Ngày tải lên : 05/09/2013, 09:08

... Evaluation of the cancer risk Assumptions for the evaluation of cancer risk Trihalomethanes (THMs) consisting of chloroform, bromodichloromethane (BDCM), dibromochloromethane (DBCM) and bromoform ... shortage of water is quantified by the product of the percent of deficiency to the water supply demand [%] and the period of deficiency [days] (Ikebuchi, 2001) Evaluation of the infectious risk Pathogen ... Journal of Water and Environment Technology, Vol.3, No.2, 2005 of the reduced damage from the shortage of water Annual cancer risks caused by other THMs were also constant The average risk of cancer...

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Tài liệu The perception of time, risk and return during periods of speculation pptx

Ngày tải lên : 12/12/2013, 14:15

... frequency-adjusted riskless rate Ri to be Ri = r νi νB (3.23) Ri is the riskless rate enhanced by the ratio of the trading frequency of the stock to that of the riskless bond In terms of these variables, ... price risk But, if large numbers of stocks are available, diversiﬁcation can reduce the risk Suppose that at some instant the investor buys a portfolio V consisting of li shares of each of L different ... (2.28) Q UANTITATIVE F I N A N C E The perception of time, risk and return during periods of speculation ˜ I can eliminate all of the risk of Si with respect to market moves dZm by choosing...

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Tài liệu Báo cáo khoa học: "Extraction and Approximation of Numerical Attributes from the Web" pdf

Ngày tải lên : 20/02/2014, 04:20

... Some of the methods are suitable for retrieval of numerical attributes However, most of them not exploit the numerical nature of the attribute data Our research is related to a sub-domain of question ... height of a tennis net? (92cm); What is the depth of the Nile river? (1000cm = 10 meters); How heavy is a cup of coffee? (360gr); How heavy is a giraffe? (1360000gr = 1360kg); What is the width of ... Usage of all this knowledge allows us to select the correct value of 1.695m and reject other values Thus we can increase the precision of value extraction by ﬁnding and analyzing an entire group of...

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Tài liệu Principles for the Sound Management of Operational Risk pptx

Ngày tải lên : 21/02/2014, 11:20

... the risk profile of a bank’s activities, the degree of formality of how these three lines of defence are implemented will vary In all cases, however, a bank’s operational risk Operational risk ... management of operational risk has always been a fundamental element of a bank’s risk management programme As a result, sound operational risk management is a reflection of the effectiveness of the ... level determination of how much risk a firm is willing to accept taking into account the risk/ return attributes; it is often taken as a forward looking view of risk acceptance Risk tolerance” is...

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A Knowledge-Based Approach to Network Security: Applying Cyc in the Domain of Network Risk Assessment pptx

Ngày tải lên : 05/03/2014, 23:20

... primarily on knowledge of software faults, installed software and high-level descriptors of running computers One extension should be the inclusion of representations of configuration options ... lists of results The Network Statistics tool provides a synopsis of the network state It lists the number of machines on the network, the number of vulnerabilities on the machines, etc This view of ... Cyc’s KB underpins all of CycSecure’s capabilities Some of the most pertinent portions are the ontology of program types and their functionalities and the ontology of software faults and their...

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Báo cáo khoa học: "FINITE-STATE APPROXIMATION OF PHRASE STRUCTURE GRAMMARS" pdf

Ngày tải lên : 08/03/2014, 07:20

... algorithmic realization of suggestions of Church and Patil (1980; 1982) on algebraic simplifications of CFGs of regular languages Other work on finite state approximations of phrase structure grammars ... explain the approximation algorithm we will need to recall the main aspects of the construction The states of ~4(G) are sets of dotted rules A -* a [3 where A -, a/~ is some rule of G A ( ... poor approximations in many interesting cases Instead, bq(G) must first be unfolded into a larger machine whose states carry information about the possible stacks of g ( G ) The quality of the approximation...

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Illiquidity Component of Credit Risk pptx

Ngày tải lên : 15/03/2014, 07:20

... credit risk C1 ( ) consisting of the insolvency risk and the illiquidity risk 13 Ex Ante Credit Risk We now want to characterize ex ante credit risk, i.e., probability of default, for a holder of ... e ect of shifting from risky assets to cash is to decrease illiquidity risk as long as the re sale discount of the risky asset is less than one (i.e., the rate of exchange between the risky asset ... value of assets at the terminal date of the project falls short of the notional obligations However, there is also a second e ect that works through the risk of runs As the fundamentals of the...

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Information Contagion and Inter-Bank Correlation in a Theory of Systemic Risk potx

Ngày tải lên : 15/03/2014, 09:20

... Theory of Systemic Risk Abstract Two aspects of systemic risk, the risk that banks fail together, are modeled and their interaction examined: First, the ex-post aspect, in which the failure of a ... eﬃciency of herding may be overturned The regulatory assessment of systemic risk must thus take careful account of its diﬀerent manifestations and delineate the social costs of systemic risk that ... relative magnitude of these costs The extent of information contagion is linked to the extent of systematic and idiosyncratic risks of bank loans (Figures 2–5) Thus, the levels of bank capital should...

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BANK TRENDS: Analysis of Emerging Risks In Banking doc

Ngày tải lên : 22/03/2014, 17:20

... Chart involve the concept of equity at risk, or a long-term view of IRR as opposed to earnings at risk, or a short-term view of IRR Olson’s measures of earnings at risk for community banks had ... value at risk or change in the MVPE from a 200-basis-point parallel change in the yield curve, as a percentage of MVPE 15 Office of Thrift Supervision, Quarterly Review of Interest Rate Risk, Third ... modeled by Olson, the length of each bank’s asset maturity structure is one of the most significant indicators of IRR As shown in Chart 6, the amount of equity at risk to a 200-basis-point change...

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Rating Based Modeling of Credit Risk: Theory and Application of Migration Matrices doc

Ngày tải lên : 22/03/2014, 23:20

... the calculation of the denominator of the capital ratio is dependent on three diﬀerent forms of risk: credit risk, market risk, and operational risk In particular the credit risk measurement ... calculation of RWA at its full value, which translates into a capital charge equal to 8% of that value Similarly, a risk weight of 20% results in a capital charge of 1.6% (i.e., 20% of 8%) Individual risk ... product of the amount of exposures and supervisory determined risk weights: RWA = E · r (3.2) where: E is the value of the exposure r is the risk weight of the exposure As in the old Accord, the risk...

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$Support to the identification of potential risks for the environment and human health arising from hydrocarbons operations involving hydraulic fracturing in Europe doc$

Support to the identification of potential risks for the environment and human health arising from hydrocarbons operations involving hydraulic fracturing in Europe doc

Ngày tải lên : 23/03/2014, 00:20

... recovery of a given volume of gas than for recovery of the same volume of gas from conventional reservoirs Of the order of 50 shale gas wells might be needed to recover the same volume of gas as ... lifetime of the plant (well pad) The challenge of ensuring a correct identification and selection of geological sites, based on a risk assessment of specific geological features and of potential ... However, in view of the potential significance of spillages on sensitive water resources, the risks for surface waters were considered to be of moderate significance The risks of surface water...

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Household Survey of Behavioural Risks and HIV Sero Status in two districts in Botswana pptx

Ngày tải lên : 23/03/2014, 09:20

... development of tuberculosis Large majorities of both males and females were aware of services such as HBC (69.8%; 62.5% of males and 75.7% of females), orphan care (74.5%; 68.1% of males and 79.7% of ... Statistics Office 2004 A reasonable number of both males and females were aware of services such as homebased care (33.3% of males and 51.8% of females), orphan care (40.5% of males and 55.5% of females) ... Table 4.5 indicates that 18.1% of respondents aged 15–24 years (32.7% of males and 8.0% of females) and 11.9% of respondents aged 25–49 years (19.4% of males and 6.4% of females) reported having...

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The Continuum of Health Risk Assessments Edited by Michael G. Tyshenko pdf

Ngày tải lên : 23/03/2014, 15:20

... mean number of syringe re-use, and X8 log reduction 18 The Continuum of Health Risk Assessments Figure SI-5 shows the results of sensitivity analysis of the model output of the risk of HCV infection ... range of infection risk for HIV, HCV, and HBV transmission through syringe re-use in the health care setting, as of the year 2008 The model estimated Risk of Syringe Re-Use in Canada 11 the risk of ... results of sensitivity analyses of the model output of the risk of HCV infection for several input variables for the proximal setting scenario The figure shows the model was most sensitive to risk of...

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COLLATERAL, TYPE OF LENDER AND RELATIONSHIP BANKING AS DETERMINANTS OF CREDIT RISK pptx

Ngày tải lên : 29/03/2014, 08:20

... paper analyses the determinants of the probability of default (PD) of bank loans We focus the discussion on the role of a limited set of variables (collateral, type of lender and bank-borrower relationship) ... advantage of having data on ex post credit risk to evaluate the relation between the use of collateral and credit risk (for instance, the ex post risk is not affected by the monitoring cost of collateral) ... banks almost doubled the market share (in terms of number of loans to corporations) at the expense of that of commercial banks The lack of knowledge of the business segment and the desire to increase...

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Hazards of Nature, Risks to Development An IEG Evaluation of World Bank Assistance for Natural Disasters ppt

Ngày tải lên : 29/03/2014, 08:20

... United States of America The findings, interpretations, and conclusions expressed here are those of the author(s) and not necessarily reflect the views of the Board of Executive Directors of the World ... natural disaster assistance that includes an assessment of each countrys level of disaster risk, and differentiation of approach on the basis of that assessment Vinod Thomas Director-General Evaluation ... groups according to level of vulnerability (high, medium, and low, based on the percentage of a countrys GDP at risk from two or more natural hazards) The high concentration of risk also suggests that...

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Báo cáo khoa học: "Finite-state Approximation of Constraint-based Grammars using Left-corner Grammar Transforms" doc

Ngày tải lên : 31/03/2014, 04:20

... construction of finite-state approximations of left-corner parsers The different kinds of parsers were presented as grammar transforms, which let us abstract away from the algorithmic details of parsing ... top-down parser just before the construction of X consists of (the label of) X followed by the sequence of labels on the right siblings of the nodes encountered on the path from X back to the root ... shows the effect of this mapping on a simple tree The transformed tree is considerably more complex: it has double the number of nodes of the original tree In a top-down parse of the tree £Cl(t)...

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essentials of financial risk management

Ngày tải lên : 02/04/2014, 00:27

... market risks arise, such as interest rate risk, foreign exchange risk, and commodity price risk • Consider the impact of related risks such as credit risk, operational risk, and systemic risk ajor ... market risks include: M • Foreign exchange risk • Interest rate risk • Commodity price risk • Equity price risk Other important related financial risks include: • Credit risk • Operational risk ... broader acceptance of their use Increased use of value-at -risk and similar tools for risk management improved risk management dialogue and methodologies 19 ESSENTIALS of Financial Risk Management...

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the professional handbook of financial risk management (kpmg)

Ngày tải lên : 04/06/2014, 13:17

... successful growth of GARP, the Global Association of Risk Professionals, has brought together thousands of risk professionals and has enabled the sharing of ideas and knowledge throughout the risk community ... The Professional’s Handbook of Financial Risk Management The Professional’s Handbook of Financial Risk Management Edited by Marc Lore and Lev Borodovsky Endorsed by the Global Association of Risk ... management of ﬁnancial risk regardless of the size and sophistication of their own organization For those contemplating a career in risk management, the authors of this text are practising ﬁnancial risk...

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báo cáo hóa học:" New views on the hypothesis of respiratory cancer risk from soluble nickel exposure; and reconsideration of this risk''''s historical sources in nickel refineries" potx

Ngày tải lên : 20/06/2014, 00:20

... absence of real exposure data, therefore, the range and percentage of total airborne nickel (and of nickel species) were estimated on the basis of process knowledge, subjective impressions of relative ... 5: Risk of lung cancer mortality among KNR workers with at least 15 years since first exposure by category of work, date of first exposure (for electrolysis & RSC departments) and duration of ... cancer risk was found only in the Leaching, Calcining and Sintering (LC&S) category of work where high levels of sulphidic Page 16 of 27 (page number not for citation purposes) Journal of Occupational...

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