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value of the risk

TítuloPDE models and numerical methods for total value adjustment in European and American options with counterparty risk

TítuloPDE models and numerical methods for total value adjustment in European and American options with counterparty risk

... In the present paper we follow the first approach in the line of [4] and pro- pose original numerical methods for solving the PDE ...ing the hedging strategy proposed in this ...

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Unraveling the value premium: a reward for risk or mispricing?

Unraveling the value premium: a reward for risk or mispricing?

... is the “loss aversion” ...because the loss is “cushioned” by those earlier gains. On the other hand, when the loss comes after other losses, investors tend to be more ...by the gains ...

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Extreme Value Theory and Value at Risk

Extreme Value Theory and Value at Risk

... (a) of Table 4 presents backtesting results based on population quantiles of 95, 99 and ...percent. The conditional-t, conditional-normal, conditional- EVT and the unconditional-EVT approaches ...

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Multicriteria methodology and hierarchical innovation in the energy sector

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] ...

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Epidemiologia descriptiva i molecular dels tumors estromals gastrointestinals a Tarragona i Girona.

Epidemiologia descriptiva i molecular dels tumors estromals gastrointestinals a Tarragona i Girona.

... survival of the high risk group is statis- tically different from that of intermediate risk and low and very low risk ...series the prognostic value of ...

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An Application of Extreme Value Theory for Measuring Financial Risk in the Uruguayan Pension Fund

An Application of Extreme Value Theory for Measuring Financial Risk in the Uruguayan Pension Fund

... consisting of a sequence of independent random variables. However, for the types of data to which extreme value models are commonly applied, temporal independence is usually an ...

20

Qualitative operational value at risk for an electric utility based on the guidelines of the basel committee

Qualitative operational value at risk for an electric utility based on the guidelines of the basel committee

... stabled the most critical flow charts of the process based on the interview with the experts and the information of the quality management system, where it was ...

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Value at risk for the term structure of interest rates - an orthogonal approach

Value at risk for the term structure of interest rates - an orthogonal approach

... with the theoretical definition of risk, we build from the stylized facts a dynamic methodology, consistent empirically such as theoretically with what must be for a key indicator for fixed ...

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Credit default swaps and financial risks in the 21st century

Credit default swaps and financial risks in the 21st century

... proportion of corporate bond spreads are determined by liquidity factors that do not necessarily reflect the default risk of the underlying ...illustrated the importance ...

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Genetic testing with primary prevention and moral hazard

Genetic testing with primary prevention and moral hazard

... studied the situation where a free genetic test perfectly informs an individual about his risk of developing a speci…c disease in the ...allows the individual to undertake a costly ...

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Risk Preferences Under Extreme Poverty: A Field Experiment

Risk Preferences Under Extreme Poverty: A Field Experiment

... ANALYSIS: THE VALUE FUNCTION WITH JUMPS Traditionally, the analysis of decisions under risk has depended on the number of periods involved with respect to the ...

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Medium range optimization of copper extraction planning under uncertainty in future copper prices

Medium range optimization of copper extraction planning under uncertainty in future copper prices

... introduce the stochastic model by maximizing the expected profit along the time horizon over all scenarios ...a risk neutral environment), subject to the satisfaction of all ...

34

Meeting compliance challenges: Leveraging the value of outsourcing

Meeting compliance challenges: Leveraging the value of outsourcing

... view the practice as impractical or even ...some of those very challenges argue in favor of compliance outsourcing, as they may in fact be addressed more effectively by specialists outside of ...

12

Essays on asset allocation / [tesis doctoral presentada por Gabriel Ignacio Penagos ; directores, Dr  Gonzalo Rubio Irigoyen y el Dr  Francisco Sogorb Mira]

Essays on asset allocation / [tesis doctoral presentada por Gabriel Ignacio Penagos ; directores, Dr Gonzalo Rubio Irigoyen y el Dr Francisco Sogorb Mira]

... A of Table 3 contains the equity portfolio allocation results for the bench- mark case, while Panel B reports the results for the jump-diffusion ...model. The results show that, ...

158

Contribution to dynamic risk management automation by an ontology-based framework

Contribution to dynamic risk management automation by an ontology-based framework

... one of the accreditations or management systems. On the other hand, risk management analysis models are fundamentally static models, with periodic measurement and where the fundamental ...

429

The Helium and heavy elements enrichment of the Galactic Disk

The Helium and heavy elements enrichment of the Galactic Disk

... disposal the solar interior models by Bahcall et ...6. The GS98 model agrees with the Y value in the en- velope derived by Basu & Antia (2004), but not with the O/H ...

14

Mixed integer linear programming models for minimizing ergonomic risk dispersion in an assembly line at the Nissan Barcelona factory

Mixed integer linear programming models for minimizing ergonomic risk dispersion in an assembly line at the Nissan Barcelona factory

... purpose of the problems in the TSALB-erg family is to address assigning all tasks to workstations in order to achieve maximum efficiency regarding some of the consid- ered attributes, ...

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Vol. 4 Núm. 7 (2017)

Vol. 4 Núm. 7 (2017)

... variety of situations in ...stressed the importance of TC for the analysis of agricultural markets and ...in the PSE regarding the use of rural land, either in ...

152

Valuation of Indra after the takeover of Tecnocom

Valuation of Indra after the takeover of Tecnocom

... In the D&S business Indra was expecting a 5% growth CAGR in the revenues between 2014 and ...to the annual report presented in 2017, Indra reached the objective one year before the ...

57

Modelo dinámico para el cálculo del VaR (Value at Risk)

Modelo dinámico para el cálculo del VaR (Value at Risk)

... El modelo EVT incondicional y el modelo dinámico (EVT condicional) proporcionan una alta efectividad según la información del número de violaciones para niveles de confianza superiores al 95%; solo para la serie DTF el ...

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