conditional value at risk (CVaR)
Medium range optimization of copper extraction planning under uncertainty in future copper prices
... a risk neutral environment), subject to the satisfaction of all the problem constraints in all defined ...the risk of scenarios with bad ...for risk management in a risk averse environment, ...
34
Uso del valor en riesgo condicional (CVaR) para seleccionar árboles de Pinus radiata para establecimiento operacional
... Conditional Value at Risk (CVaR) was used to account for risk when building a portfolio of Pinus radiata trees for operational plantation deployment, under hypothetical changes on ...
6
Market crises and the conditional distribution of financial returns: a downside risk and pricing errors analysis.
... market at the daily frequency and report that using variables such as relative spread or volume largely enhance the predictive ability of the risk models according to different ...downside risk ...
172
Value at risk for the term structure of interest rates - an orthogonal approach
... Based on the difference between the joint density function and the product of the marginals over determinate intervals of the sample we run the BDS test. Bootstrapping (10000 repetitions) over the distribution tails, for ...
38
Extreme Value Theory and Value at Risk
... compute conditional quantiles, and compare the EVT approach to other alterna- tives, such as conditional normal, student-t, and non-parametric ...The conditional-t method can be a good alternative to ...
29
Dynamic gains of Including emerging markets assets in an international diversified portfolios
... a risk free bond, given (the empirically relevant) short-sale constraint and 20 % cap on emerging equity market holdings (see Harvey ...the conditional covariance ...the risk free rate that makes the ...
39
EVALUAR VALIDEZ DE LOS MODELOS PARAMÉTRICOS, SEMIPARAMÉTRICOS Y NO PARAMÉTRICOS DEL VALOR EN RIESGO (VAR) , REALIZANDO UN BACKTESTING PARA EL MERCADO DE COMMODITIES
... (CAViaR, Conditional Autoregressive Value at Risk) y los modelos Generalizados de Heterocedasticidad Condicional Autoregresiva (GARCH,Generalized Autoregressive Conditional ...(CC, ...
146
Contribution to dynamic risk management automation by an ontology-based framework
... Una de las metas más importantes en una organización es mantener el nivel de riesgo en un nivel aceptable y asumible a lo largo del tiempo. Todas las organizaciones están expuestas a amenazas de seguridad en tiempo real ...
429
Ownership structure and risk at Colombian banks
... the risk taken by banks in its lending ...banking risk are usually attributed to financial regulations represented by the deposit insurance, capital requirements and some other ...
13
Multicriteria methodology and hierarchical innovation in the energy sector
... rate of return, value at risk and the period of recovery of the investment (PRI). When the objective reached in the project satisfies the needs for which it was undert[r] ...
18
Improving care of women at risk of unsafe abortion: implementing a risk-reduction model at the Uruguayan-Brazilian border
... a risk-reduction model designed by Iniciativas Sanitarias to shield women from unsafe abortion in a traditional community on the Uruguay- Brazil ...seen at health cen- ters, healthcare providers, and local ...
7
Medium term power portfolio optimization considering locational electricity prices and risk aversion for a power producer in a deregulated electricity market
... This thesis describes the development and implementation of a medium term power portfolio optimization model for a power producer, considering generation and commer- cial aspects. The methodology developed consists of ...
162
Bid markup decision 1
... multiple at- tribute decision making model as well as the best known and most widely used bidding model (Friedman’s model and its variants) based on only the expected profit ...
18
adidas Annual Report GB 2018 EN pdf
... the risk of overreliance on particular key ...reduce risk in the supply chain, we work with suppliers who demonstrate reliability, quality and ...procedures at our suppliers and also demand adherence ...
248
DEVELOPMENT AT RISK: RETHINKING UN-BUSINESS PARTNERSHIPS
... It should also be noted that, now that the Compact has partici- pants rather than members, the words “partner” and “partnership” are rarely used. In a recent report (United Nations Global Compact 2003a:1), the Compact ...
360
Unraveling the value premium: a reward for risk or mispricing?
... A value investing strategy consists of purchasing stocks relatively undervalued to their funda- mental values and selling those relatively ...the value factor, but not limited to the traditional ...
29
TítuloPDE models and numerical methods for total value adjustment in European and American options with counterparty risk
... mark-to-market value at default. Thus, if this mark–to–market value is equal to the riskless derivative then a linear PDE that involves the value of the risk- less derivative is ...
37
Youth at risk by the use of internet
... Nowadays, the teenager’s social life does not take place at a club, park or fast food restaurant. Instead the present social life involves being part of online sites like MySpace, Fotolog or Facebook. The group of ...
9
anticoag
... The timing of prophylactic anticoagulation is further complicated when neuraxial anesthesia is employed. The delivery of anesthetic to the neuraxis requires insertion of a needle or catheter into the epidural space. In ...
17
Optimal Capital Requirement with Noisy Signals on Banking Risk
... When financial institutions carry assets that are engineered in a complicated fashion, it is difficult for investors and policymakers to accurately assess the risk of these institutions. This motivates our paper, ...
31