[PDF] Top 20 Impacto en análisis de estados contables de la implementación de normas internacionales. El caso de la empresa DISAL SA (Tersuave)

... Extreme Value theory (EVT) which is a branch of statistics that studies rare or extreme events is well suited to describe the above-mentioned fat-tailed ...some EVT methods assumes that the data to ... See full document

... financial risk management, the implementation of Value-at-Risk (VaR) has been widely used to measure ...extreme value theory (conditional EVT) model based on the peaks-over-threshold ... See full document

... the risk by employing the combination of VaR methodologies to accommodate all the characecterstics of the ...the portfolio approach of VaR on G7 exchange rates by combining a GJR ... See full document

... the GARCH-EVT model provides a better in-sample VaR performance, compared with symmetric and asymmetric CGARCH-EVT models, for the 95% quantile, but all models based on CEVT perform similarly for the ... See full document

... Water shortage in July and August is one of the main factors limiting agriculture. Irrigation of products starts from mid and late April and continues until mid-September and rarely until October. Pearson correlation ... See full document

... Because the proposed GMM estimators are IV estimators where the instrument vector is constructed from past residuals and past squared residuals, there are many potential instruments. From Newey and Windmeijer (2009), the ... See full document

... 6. Lastly to obtain tail metrics and quantiles from the empirical loss function we construct the empirical inverse distribution function [ ] , where [ ] are the empirical Gaussian loss distributions for the LOB: The ... See full document

... In fl ammation plays a crucial role in cancer develop- ment and progression 13 and could be a key determinant of outcomes in cancer patients. 14 In fl ammation can destroy cancer cells but also establishes a tumor ... See full document

... sovereign risk spreads, along with the feedback effect that downgrading of the peripheral economies’ bonds had on Euro Area banks, have led to a series of unprecedented reactions from the side of European policy ... See full document

... leverage effects on volatility of equity markets and equity indices have found to be negative (see Glosten, Jagannathan, and Runkle, 1993, among others) volatility of commodity and commodity futures prices have ... See full document

... the risk level of each share of the state-owned bank in Indonesia, the investor can make a decision to invest either in a higher risk stocks or in the lower risk ...the risk level that has ... See full document

... a copula and nonparametric models for the optimal hedge ratio and find some evidence which is not presented in the previous ...First, using the nonparametric technique models the marginal ...the ... See full document

... market risk for the relevant energy commodities is best modelled by HYGARCH under the assumption of normal distribution, whereas downside market risk for the same commodities is best modelled by FIGARCH ... See full document

... market risk. Jorion [5] suggests that investors can compare the risk profiles of financial institutions by their disclosed ...standard GARCH model. The GARCH model of profit and loss provides ... See full document

... the risk free rate and a proportion of the nondiversifiable risk (systematic or market risk), which is measured by the covariance of the asset return with the market portfolio (Bollerslev et ... See full document

... best GARCH models for VaR estimation and the best portfolio, in combining currency and equity indices, that minimizes loses in each of the BRICS countries, Table 8 provides a further treatment of the above ... See full document

... may have exogenous causes that can not be anticipated, it is relevant to backtest the VaR with the so-called clean P&L, which is the hypothetical P&L that would occur if the composition of the port- folio ... See full document

... The EVT is based on the central limit theorem applied to the extremes rater than ...use EVT rather than parametric methods in VaR ...reason, EVT approximating the tail areas asymptotically might be ... See full document

... errors, infectious diseases, falls, pressure ulcers, and other injuries to older adults in the caring process. 22 Adverse events are a signi fi cant issue in RACF settings as they can lead to substantial morbidity and ... See full document

... The log returns of each asset over 2000 trading days back from September 8, 2005 to October 22, 2013 are modelled with each of the following garch models: aparch(1,1), egarch(1,1), gjr(1,1), igarch(1,1), ... See full document