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Artículos de revistas sobre el tema "Multivariate risk measure"

Autor: Grafiati

Publicado: 11 de marzo de 2023

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1

Landsman, Zinoviy, and Tomer Shushi. "Multivariate Tail Moments for Log-Elliptical Dependence Structures as Measures of Risks." Symmetry 13, no. 4 (2021): 559. http://dx.doi.org/10.3390/sym13040559.

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The class of log-elliptical distributions is well used and studied in risk measurement and actuarial science. The reason is that risks are often skewed and positive when they describe pure risks, i.e., risks in which there is no possibility of profit. In practice, risk managers confront a system of mutually dependent risks, not only one risk. Thus, it is important to measure risks while capturing their dependence structure. In this short paper, we compute the multivariate risk measures, multivariate tail conditional expectation, and multivariate tail covariance measure for the family of log-el

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2

ARARAT, ÇAĞIN, ANDREAS H. HAMEL, and BIRGIT RUDLOFF. "SET-VALUED SHORTFALL AND DIVERGENCE RISK MEASURES." International Journal of Theoretical and Applied Finance 20, no. 05 (2017): 1750026. http://dx.doi.org/10.1142/s0219024917500261.

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Risk measures for multivariate financial positions are studied in a utility-based framework. Under a certain incomplete preference relation, shortfall and divergence risk measures are defined as the optimal values of specific set minimization problems. The dual relationship between these two classes of multivariate risk measures is constructed via a recent Lagrange duality for set optimization. In particular, it is shown that a shortfall risk measure can be written as an intersection over a family of divergence risk measures indexed by a scalarization parameter. Examples include set-valued ver

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3

Feinstein, Zachary, and Birgit Rudloff. "Time consistency for scalar multivariate risk measures." Statistics & Risk Modeling 38, no. 3-4 (2021): 71–90. http://dx.doi.org/10.1515/strm-2019-0023.

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Abstract In this paper we present results on dynamic multivariate scalar risk measures, which arise in markets with transaction costs and systemic risk. Dual representations of such risk measures are presented. These are then used to obtain the main results of this paper on time consistency; namely, an equivalent recursive formulation of multivariate scalar risk measures to multiportfolio time consistency. We are motivated to study time consistency of multivariate scalar risk measures as the superhedging risk measure in markets with transaction costs (with a single eligible asset) (Jouini and

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4

Haier, Andreas, and Ilya Molchanov. "Multivariate risk measures in the non-convex setting." Statistics & Risk Modeling 36, no. 1-4 (2019): 25–35. http://dx.doi.org/10.1515/strm-2019-0002.

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Abstract The family of admissible positions in a transaction costs model is a random closed set, which is convex in case of proportional transaction costs. However, the convexity fails, e.g., in case of fixed transaction costs or when only a finite number of transfers are possible. The paper presents an approach to measure risks of such positions based on the idea of considering all selections of the portfolio and checking if one of them is acceptable. Properties and basic examples of risk measures of non-convex portfolios are presented.

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5

Fougeres, Anne-Laure, and Cecile Mercadier. "Risk Measures and Multivariate Extensions of Breiman's Theorem." Journal of Applied Probability 49, no. 2 (2012): 364–84. http://dx.doi.org/10.1239/jap/1339878792.

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The modeling of insurance risks has received an increasing amount of attention because of solvency capital requirements. The ruin probability has become a standard risk measure to assess regulatory capital. In this paper we focus on discrete-time models for the finite time horizon. Several results are available in the literature to calibrate the ruin probability by means of the sum of the tail probabilities of individual claim amounts. The aim of this work is to obtain asymptotics for such probabilities under multivariate regular variation and, more precisely, to derive them from extensions of

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6

Fougeres, Anne-Laure, and Cecile Mercadier. "Risk Measures and Multivariate Extensions of Breiman's Theorem." Journal of Applied Probability 49, no. 02 (2012): 364–84. http://dx.doi.org/10.1017/s0021900200009141.

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The modeling of insurance risks has received an increasing amount of attention because of solvency capital requirements. The ruin probability has become a standard risk measure to assess regulatory capital. In this paper we focus on discrete-time models for the finite time horizon. Several results are available in the literature to calibrate the ruin probability by means of the sum of the tail probabilities of individual claim amounts. The aim of this work is to obtain asymptotics for such probabilities under multivariate regular variation and, more precisely, to derive them from extensions of

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7

Wei, Linxiao, and Yijun Hu. "CAPITAL ALLOCATION WITH MULTIVARIATE RISK MEASURES: AN AXIOMATIC APPROACH." Probability in the Engineering and Informational Sciences 34, no. 2 (2019): 297–315. http://dx.doi.org/10.1017/s0269964819000032.

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AbstractCapital allocation is of central importance in portfolio management and risk-based performance measurement. Capital allocations for univariate risk measures have been extensively studied in the finance literature. In contrast to this situation, few papers dealt with capital allocations for multivariate risk measures. In this paper, we propose an axiom system for capital allocation with multivariate risk measures. We first recall the class of the positively homogeneous and subadditive multivariate risk measures, and provide the corresponding representation results. Then it is shown that

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8

Zuo, Baishuai, and Chuancun Yin. "Multivariate tail covariance risk measure for generalized skew-elliptical distributions." Journal of Computational and Applied Mathematics 410 (August 2022): 114210. http://dx.doi.org/10.1016/j.cam.2022.114210.

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9

Di Bernardino, E., J. M. Fernández-Ponce, F. Palacios-Rodríguez, and M. R. Rodríguez-Griñolo. "On multivariate extensions of the conditional Value-at-Risk measure." Insurance: Mathematics and Economics 61 (March 2015): 1–16. http://dx.doi.org/10.1016/j.insmatheco.2014.11.006.

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10

Hürlimann, Werner. "Multivariate Fréchet copulas and conditional value-at-risk." International Journal of Mathematics and Mathematical Sciences 2004, no. 7 (2004): 345–64. http://dx.doi.org/10.1155/s0161171204210158.

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Based on the method of copulas, we construct a parametric family of multivariate distributions using mixtures of independent conditional distributions. The new family of multivariate copulas is a convex combination of products of independent and comonotone subcopulas. It fulfills the four most desirable properties that a multivariate statistical model should satisfy. In particular, the bivariate margins belong to a simple but flexible one-parameter family of bivariate copulas, called linear Spearman copula, which is similar but not identical to the convex family of Fréchet. It is shown that th

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11

Sun, Edward W., Yu-Jen Wang, and Min-Teh Yu. "Integrated Portfolio Risk Measure: Estimation and Asymptotics of Multivariate Geometric Quantiles." Computational Economics 52, no. 2 (2017): 627–52. http://dx.doi.org/10.1007/s10614-017-9708-2.

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12

Cai, Jun, and Haijun Li. "Conditional tail expectations for multivariate phase-type distributions." Journal of Applied Probability 42, no. 3 (2005): 810–25. http://dx.doi.org/10.1239/jap/1127322029.

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The conditional tail expectation in risk analysis describes the expected amount of risk that can be experienced given that a potential risk exceeds a threshold value, and provides an important measure of right-tail risk. In this paper, we study the convolution and extreme values of dependent risks that follow a multivariate phase-type distribution, and derive explicit formulae for several conditional tail expectations of the convolution and extreme values for such dependent risks. Utilizing the underlying Markovian property of these distributions, our method not only provides structural insigh

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13

Cai, Jun, and Haijun Li. "Conditional tail expectations for multivariate phase-type distributions." Journal of Applied Probability 42, no. 03 (2005): 810–25. http://dx.doi.org/10.1017/s0021900200000796.

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The conditional tail expectation in risk analysis describes the expected amount of risk that can be experienced given that a potential risk exceeds a threshold value, and provides an important measure of right-tail risk. In this paper, we study the convolution and extreme values of dependent risks that follow a multivariate phase-type distribution, and derive explicit formulae for several conditional tail expectations of the convolution and extreme values for such dependent risks. Utilizing the underlying Markovian property of these distributions, our method not only provides structural insigh

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14

Wang, Yu Ling, Jun Hai Ma, and Yu Hua Xu. "Risk Asset Portfolio Choice Models under Three Risk Measures." Advanced Materials Research 204-210 (February 2011): 537–40. http://dx.doi.org/10.4028/www.scientific.net/amr.204-210.537.

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Mean-variance model, value at risk and Conditional Value at Risk are three chief methods to measure financial risk recently. The demonstrative research shows that three optional questions are equivalence when the security rates have a multivariate normal distribution and the given confidence level is more than a special value. Applications to real data provide empirical support to this methodology. This result has provided new methods for us about further research of risk portfolios.

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15

Hadad, Elroi, Tomer Shushi, and Rami Yosef. "Measuring Systemic Governmental Reinsurance Risks of Extreme Risk Events." Risks 11, no. 3 (2023): 50. http://dx.doi.org/10.3390/risks11030050.

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This study presents an easy-to-handle approach to measuring the severity of reinsurance that faces a system of dependent claims, where the reinsurance contracts are of excess loss or proportional loss. The proposed approach is a natural generalization of common reinsurance methodologies providing a conservative framework that deals with the fundamental question of how much money should a government hold to prepare for natural or human-made extreme risk events that the government will cover? Although the ruin theory is commonly used for extreme risk events, we suggest a new risk measure to deal

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16

Jobst, Andreas A. "Multivariate dependence of implied volatilities from equity options as measure of systemic risk." International Review of Financial Analysis 28 (June 2013): 112–29. http://dx.doi.org/10.1016/j.irfa.2013.01.005.

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17

Su, Jianxi, and Edward Furman. "A FORM OF MULTIVARIATE PARETO DISTRIBUTION WITH APPLICATIONS TO FINANCIAL RISK MEASUREMENT." ASTIN Bulletin 47, no. 1 (2016): 331–57. http://dx.doi.org/10.1017/asb.2016.22.

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AbstractA new multivariate distribution possessing arbitrarily parametrized and positively dependent univariate Pareto margins is introduced. Unlike the probability law of Asimitet al. (2010), the structure in this paper is absolutely continuous with respect to the corresponding Lebesgue measure. The distribution is of importance to actuaries through its connections to the popular frailty models, as well as because of the capacity to describe dependent heavy-tailed risks. The genesis of the new distribution is linked to a number of existing probability models, and useful characteristic results

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18

Furman, Edward, and Zinoviy Landsman. "Tail Variance Premium with Applications for Elliptical Portfolio of Risks." ASTIN Bulletin 36, no. 02 (2006): 433–62. http://dx.doi.org/10.2143/ast.36.2.2017929.

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In this paper we consider the important circumstances involved when risk managers are concerned with risks that exceed a certain threshold. Such conditions are well-known to insurance professionals, for instance in the context of policies involving deductibles and reinsurance contracts. We propose a new premium called tail variance premium (TVP) which answers the demands of these circumstances. In addition, we suggest a number of risk measures associated with TVP. While the well-known tail conditional expectation risk measure provides a risk manager with information about the average of the ta

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19

Furman, Edward, and Zinoviy Landsman. "Tail Variance Premium with Applications for Elliptical Portfolio of Risks." ASTIN Bulletin 36, no. 2 (2006): 433–62. http://dx.doi.org/10.1017/s0515036100014586.

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In this paper we consider the important circumstances involved when risk managers are concerned with risks that exceed a certain threshold. Such conditions are well-known to insurance professionals, for instance in the context of policies involving deductibles and reinsurance contracts. We propose a new premium called tail variance premium (TVP) which answers the demands of these circumstances. In addition, we suggest a number of risk measures associated with TVP. While the well-known tail conditional expectation risk measure provides a risk manager with information about the average of the ta

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20

Xing, Guo-dong, and Xiaoli Gan. "Asymptotic analysis of tail distortion risk measure under the framework of multivariate regular variation." Communications in Statistics - Theory and Methods 49, no. 12 (2019): 2931–41. http://dx.doi.org/10.1080/03610926.2019.1584312.

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21

Gayen, Sneharthi. "A Measure of Downside Risk in Multivariate Setup with Application in Measuring Financial Stress." Sankhya B 78, no. 2 (2016): 287–315. http://dx.doi.org/10.1007/s13571-016-0117-7.

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22

Zhou, Yicheng, Zhenzhou Lu, Yan Shi, and Kai Cheng. "A vine copula–based method for analyzing the moment-independent importance measure of the multivariate output." Proceedings of the Institution of Mechanical Engineers, Part O: Journal of Risk and Reliability 233, no. 3 (2018): 338–54. http://dx.doi.org/10.1177/1748006x18781121.

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The moment-independent importance measure technique for exploring how uncertainty allocates from output to inputs has been widely used to help engineers estimate the degree of confidence of decision results and assess risks. Solving the Borgonovo moment-independent importance measure in the presence of the multivariate output is still a challenging problem due to “curse of dimensionality,” and it is investigated in this contribution. For easily estimating the moment-independent importance measure, a novel method based on the vine copula is proposed. In the proposed method for estimating moment

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23

Gündüz, Orhan, Ahmet Aslan, Vedat Ceyhan, and Zeki Bayramoğlu. "Kuru Kayısı Tarımında Risk Yönetim Stratejisi Tercihlerini Etkileyen Faktörlerin Multivariate Probit Analizi." Turkish Journal of Agriculture - Food Science and Technology 8, no. 11 (2020): 2482–90. http://dx.doi.org/10.24925/turjaf.v8i11.2482-2490.3935.

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Dried apricot farms face many risks and uncertainties in Malatya, which is not only Turkey's but also the largest apricot production region in the world. Despite one of the major factors affecting farm efficiency, it was insufficient study on risk management in Malatya and even Turkey. The main purpose of the study was to measure the risk averse of dried apricot farms and to analyze of the factors affecting risk management strategies use of the dried apricot farms where an extensive production zone in Malatya. In the study, data collected from randomly selected 71 farms using questionnaires we

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24

Chen, Rongda, Ze Wang, and Lean Yu. "Importance Sampling for Credit Portfolio Risk with Risk Factors Having t-Copula." International Journal of Information Technology & Decision Making 16, no. 04 (2017): 1101–24. http://dx.doi.org/10.1142/s0219622017500201.

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This paper proposes an efficient simulation method for calculating credit portfolio risk when risk factors have a heavy-tailed distributions. In modeling heavy tails, its features of return on underlying asset are captured by multivariate [Formula: see text]-Copula. Moreover, we develop a three-step importance sampling (IS) procedure in the [Formula: see text]-copula credit portfolio risk measure model for further variance reduction. Simultaneously, we apply the Levenberg–Marquardt algorithm associated with nonlinear optimization technique to solve the problem that estimates the mean-shift vec

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25

Mallam, Hassane Abba, Natatou Dodo Moutari, Barro Diakarya, and Saley Bisso. "Extremal Copulas and Tail Dependence in Modeling Stochastic Financial Risk." European Journal of Pure and Applied Mathematics 14, no. 3 (2021): 1057–81. http://dx.doi.org/10.29020/nybg.ejpam.v14i3.3951.

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These last years the stochastic modeling became essential in financial risk management related to the ownership and valuation of financial products such as assets, options and bonds. This paper presents a contribution to the modeling of stochastic risks in finance by using both extensions of tail dependence coefficients and extremal dependance structures based on copulas. In particular, we show that when the stochastic behavior of a set of risks can be modeled by a multivariate extremal process a corresponding form of the underlying copula describing theirdependence is determined. Moreover a n

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26

Naz, Saba, Muhammad Ahsanuddin, Syed Inayatullah, Tanveer Ahmed Siddiqi, and Muhammad Imtiaz. "Copula-Based Bivariate Flood Risk Assessment on Tarbela Dam, Pakistan." Hydrology 6, no. 3 (2019): 79. http://dx.doi.org/10.3390/hydrology6030079.

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Flooding from the Indus river and its tributaries has regularly influenced the region of Pakistan. Therefore, in order to limit the misfortune brought about by these inevitable happenings, it requires taking measures to estimate the occurrence and effects of these events. The current study uses flood frequency analysis for the forecast of floods along the Indus river of Pakistan (Tarbela). The peak and volume are the characteristics of a flood that commonly depend on one another. For progressively proficient hazard investigation, a bivariate copula method is used to measure the peak and volume

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27

HIDAYATI, HERLINA, KOMANG DHARMAWAN, and I. WAYAN SUMARJAYA. "ESTIMASI NILAI CONDITIONAL VALUE AT RISK MENGGUNAKAN FUNGSI GAUSSIAN COPULA." E-Jurnal Matematika 4, no. 4 (2015): 188. http://dx.doi.org/10.24843/mtk.2015.v04.i04.p110.

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Copula is already widely used in financial assets, especially in risk management. It is due to the ability of copula, to capture the nonlinear dependence structure on multivariate assets. In addition, using copula function doesn’t require the assumption of normal distribution. There fore it is suitable to be applied to financial data. To manage a risk the necessary measurement tools can help mitigate the risks. One measure that can be used to measure risk is Value at Risk (VaR). Although VaR is very popular, it has several weaknesses. To overcome the weakness in VaR, an alternative risk measur

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28

Ding, Rui, and Stan Uryasev. "CoCDaR and mCoCDaR: New Approach for Measurement of Systemic Risk Contributions." Journal of Risk and Financial Management 13, no. 11 (2020): 270. http://dx.doi.org/10.3390/jrfm13110270.

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Systemic risk is the risk that the distress of one or more institutions trigger a collapse of the entire financial system. We extend CoVaR (value-at-risk conditioned on an institution) and CoCVaR (conditional value-at-risk conditioned on an institution) systemic risk contribution measures and propose a new CoCDaR (conditional drawdown-at-risk conditioned on an institution) measure based on drawdowns. This new measure accounts for consecutive negative returns of a security, while CoVaR and CoCVaR combine together negative returns from different time periods. For instance, ten 2% consecutive los

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29

Frees, Edward W., Xiaoli Jin, and Xiao Lin. "Actuarial Applications of Multivariate Two-Part Regression Models." Annals of Actuarial Science 7, no. 2 (2013): 258–87. http://dx.doi.org/10.1017/s1748499512000346.

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AbstractThis paper synthesizes and extends the literature on multivariate two-part regression modelling, with an emphasis on actuarial applications. To illustrate the modelling, we use data from the US Medical Expenditure Panel Survey to explore expenditures that come in two parts. In the first part, zero expenditures correspond to no payments for health care services during a year. For the second part, a positive expenditure corresponds to the payment amount, a measure of utilization. Expenditures are multivariate, the five components being (i) office-based, (ii) hospital outpatient, (iii) em

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30

Mirsadeghpour Zoghi, S. M., M. Sanei, G. Tohidi, Sh Banihashemi, and N. Modarresi. "The effect of underlying distribution of asset returns on efficiency in DEA models." Journal of Intelligent & Fuzzy Systems 40, no. 5 (2021): 10273–83. http://dx.doi.org/10.3233/jifs-202332.

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According to modern finance theory and increasing need for efficient investments, we evaluate the portfolio performance based on the data envelopment analysis method. By the fact that stock market’s return distributions usually exhibit skewness, kurtosis and heavy-tails, we consider some appropriate underlying distributions that affect the input and output of the model. In this regard, the multivariate skewed t and the multivariate generalized hyperbolic as the heavy-tailed distributions of Normal mean-variance mixture are applied. The models are inspired by the Range Directional Measure (RDM)

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31

Cheng, Yuyang, Marcos Escobar-Anel, and Zhenxian Gong. "Generalized Mean-Reverting 4/2 Factor Model." Journal of Risk and Financial Management 12, no. 4 (2019): 159. http://dx.doi.org/10.3390/jrfm12040159.

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This paper proposes and investigates a multivariate 4/2 Factor Model. The name 4/2 comes from the superposition of a CIR term and a 3/2-model component. Our model goes multidimensional along the lines of a principal component and factor covariance decomposition. We find conditions for well-defined changes of measure and we also find two key characteristic functions in closed-form, which help with pricing and risk measure calculations. In a numerical example, we demonstrate the significant impact of the newly added 3/2 component (parameter b) and the common factor (a), both with respect to chan

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32

Crosby, Richard A., Ralph J. DiClemente, Gina M. Wingood, et al. "Sexual agency versus relational factors: a study of condom use antecedents among high-risk young African American women." Sexual Health 5, no. 1 (2008): 41. http://dx.doi.org/10.1071/sh07046.

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Background: The influence that female partners exert regarding condom use is not well known. In the present study, the relative roles of personal sexual agency and relational factors in determining whether young African American women engaged in unprotected vaginal sex (UVS) were studied. Methods: A cross sectional study of 713 young, African American women (aged 15–21 years) was conducted. Data were collected using an audio-computer assisted self-interview. Three measures of sexual agency were assessed and three relational factors were assessed. To help assure validity in the outcome measure,

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33

Xing, Guodong, and Shanchao Yang. "First and Second Order Asymptotics of the Spectral Risk Measure for Portfolio Loss Under Multivariate Regular Variation." Journal of Systems Science and Complexity 33, no. 5 (2020): 1533–44. http://dx.doi.org/10.1007/s11424-020-8037-z.

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34

Xing, Guo-dong, Xiaohu Li, and Shanchao Yang. "Second-order asymptotics of tail distortion risk measure for portfolio loss in the multivariate regularly varying model." Communications in Statistics - Simulation and Computation 49, no. 2 (2018): 491–503. http://dx.doi.org/10.1080/03610918.2018.1485945.

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35

Temple, Norman. "The possible importance of income and education as covariates in cohort studies that investigate the relationship between diet and disease." F1000Research 4 (May 18, 2016): 690. http://dx.doi.org/10.12688/f1000research.6929.2.

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Background: Many cohort studies have been carried out that have provided information on the relationship between diet and health-related outcomes. Omission of important covariates during multivariate analysis may give rise to error due to residual confounding. A possibly important covariate is socioeconomic status (SES) as this is related to both diet and health. Objective: To determine the frequency with which different measures of SES are included as covariates during multivariate analysis of cohort studies that investigated the relationship between diet and health. Methodology: An analysis

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36

Jowhari, Fahd, Wilma Hopman, and Lawrence Hookey. "A simple ergonomic measure reduces fluoroscopy time during ERCP: A multivariate analysis." Endoscopy International Open 05, no. 03 (2017): E172—E178. http://dx.doi.org/10.1055/s-0043-102934.

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Abstract Background and study aims Endoscopic retrograde cholangiopancreatgraphy (ERCP) carries a radiation risk to patients undergoing the procedure and the team performing it. Fluoroscopy time (FT) has been shown to have a linear relationship with radiation exposure during ERCP. Recent modifications to our ERCP suite design were felt to impact fluoroscopy time and ergonomics. This multivariate analysis was therefore undertaken to investigate these effects, and to identify and validate various clinical, procedural and ergonomic factors influencing the total fluoroscopy time during ERCP. This

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37

Song, Quanrui, Jianxu Liu, and Songsak Sriboonchitta. "Risk Measurement of Stock Markets in BRICS, G7, and G20: Vine Copulas versus Factor Copulas." Mathematics 7, no. 3 (2019): 274. http://dx.doi.org/10.3390/math7030274.

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Multivariate copulas have been widely used to handle risk in the financial market. This paper aimed to adopt two novel multivariate copulas, Vine copulas and Factor copulas, to measure and compare the financial risks of the emerging economy, developed economy, and global economy. In this paper, we used data from three groups (BRICS, which stands for emerging markets, specifically, those of Brazil, Russia, India, China, and South Africa; G7, which refers to developed countries; and G20, which represents the global market), separated into three periods (pre-crisis, crisis, and post-crisis) and w

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38

Biagini, Francesca, and Sascha Ulmer. "Asymptotics for Operational Risk Quantified with Expected Shortfall." ASTIN Bulletin 39, no. 2 (2009): 735–52. http://dx.doi.org/10.2143/ast.39.2.2044656.

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AbstractIn this paper we estimate operational risk by using the convex risk measure Expected Shortfall (ES) and provide an approximation as the confidence level converges to 100% in the univariate case. Then we extend this approach to the multivariate case, where we represent the dependence structure by using a Lévy copula as in Böcker and Klüppelberg (2006) and Böcker and Klüppelberg, C. (2008). We compare our results to the ones obtained in Böcker and Klüppelberg (2006) and (2008) for Operational VaR and discuss their practical relevance.

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39

TASSINARI, GIAN LUCA, and MICHELE LEONARDO BIANCHI. "CALIBRATING THE SMILE WITH MULTIVARIATE TIME-CHANGED BROWNIAN MOTION AND THE ESSCHER TRANSFORM." International Journal of Theoretical and Applied Finance 17, no. 04 (2014): 1450023. http://dx.doi.org/10.1142/s021902491450023x.

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In this study, we investigate two multivariate time-changed Brownian motion option pricing models in which the connection between the historical measure P and the risk-neutral measure Q is given by the Esscher transform. The models incorporate skewness, kurtosis and more complex dependence structures among stocks log-returns than the simple correlation matrix. The two models can be seen as a multivariate extension of the normal inverse Gaussian (NIG) model and the variance gamma (VG) model, respectively. We discuss two possible approaches to estimate historical asset returns and calibrate univ

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40

Fernández, Julián. "Measuring market risk for an agricultural exporter firm: a Copula approach." Academia Revista Latinoamericana de Administración 30, no. 1 (2017): 72–86. http://dx.doi.org/10.1108/arla-09-2015-0254.

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Purpose The purpose of this paper is to analyse the effect of market risk on the revenues perceived by an agricultural producer, namely, a coffee exporter firm. Design/methodology/approach To model this risk, copula models and extreme value theory are used to perform more robust estimations, which take into account the multivariate dependence between the risk factors. As a final point, different quantitative measures of risk, such as the value at risk and the expected shortfall, are estimated as an indicator of the maximum expected loss. Findings One of the principal findings is that for an ag

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Botai, Christina M., Joel O. Botai, Abiodun M. Adeola, Jaco P. de Wit, Katlego P. Ncongwane, and Nosipho N. Zwane. "Drought Risk Analysis in the Eastern Cape Province of South Africa: The Copula Lens." Water 12, no. 7 (2020): 1938. http://dx.doi.org/10.3390/w12071938.

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This research study was carried out to investigate the characteristics of drought based on the joint distribution of two dependent variables, the duration and severity, in the Eastern Cape Province, South Africa. The drought variables were computed from the Standardized Precipitation Index for 6- and 12-month accumulation period (hereafter SPI-6 and SPI-12) time series calculated from the monthly rainfall data spanning the last five decades. In this context, the characteristics of climatological drought duration and severity were based on multivariate copula analysis. Five copula functions (fr

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SUKCHAROEN, KUNLAPATH, and DAVID LEATHAM. "MEAN-VARIANCE VERSUS MEAN–EXPECTED SHORTFALL MODELS: AN APPLICATION TO WHEAT VARIETY SELECTION." Journal of Agricultural and Applied Economics 48, no. 2 (2016): 148–72. http://dx.doi.org/10.1017/aae.2016.8.

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AbstractOne of the most popular risk management strategies for wheat producers is varietal diversification. Previous studies proposed a mean-variance model as a tool to optimally select wheat varieties. However, this study suggests that the mean–expected shortfall (ES) model (which is based on a downside risk measure) may be a better tool because variance is not a correct risk measure when the distribution of wheat variety yields is multivariate nonnormal. Results based on data from Texas Blacklands confirm our conjecture that the mean-ES framework performs better in term of selecting wheat va

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Levasseur, Oona, Mark R. McDermott, and Kathryn D. Lafreniere. "The Multidimensional Mortality Awareness Measure and Model." OMEGA - Journal of Death and Dying 70, no. 3 (2015): 317–41. http://dx.doi.org/10.1177/0030222815569440.

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For each of eight literature-identified conceptual dimensions of mortality awareness, questionnaire items were generated, producing 89 in all. A total of 359 participants responded to these items and to questionnaires measuring health attitudes, risk taking, rebelliousness, and demographic variables. Multivariate correlational analyses investigated the underlying structure of the item pool and the construct validity as well as the reliability of the emergent empirically derived subscales. Five components, rather than eight, were identified. Given the item content of each, the associated mortal

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Indriyati, Leli Hesti, Gea Pandhita S, Nurhayati Anis, and Anna Suraya. "Predictive measure for Ischemic Heart Disease among Workers in Jakarta, Indonesia." Jurnal Kedokteran Brawijaya 31, no. 4 (2021): 8. http://dx.doi.org/10.21776/ub.jkb.2021.031.04.8.

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<p>Ischemic Heart Disease (IHD) is one of the leading causes of morbidity and mortality in many countries, including Indonesia. Therefore, cardiovascular risk-prediction models are required in clinical practice for early detection in high-risk populations, including the worker population. This study intends to develop a predictive risk measure for early detection of IHD incidences among employees in Jakarta, Indonesia. Source of data was the database of 4,100 medical check-up (MCU) results of employees and entrepreneurs in Jakarta and surrounding areas in January to October 2019. Multiva

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Rojas-Giménez, Marta, Clementina López-Medina, María Lourdes Ladehesa-Pineda, et al. "Subclinical Atherosclerosis Measure by Carotid Ultrasound and Inflammatory Activity in Patients with Rheumatoid Arthritis and Spondylarthritis." Journal of Clinical Medicine 11, no. 3 (2022): 662. http://dx.doi.org/10.3390/jcm11030662.

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Objective: To compare the effect of inflammation on subclinical atherosclerosis using carotid ultrasound in patients with rheumatoid arthritis (RA) and spondyloarthritis (SpA). Methods: Cross-sectional study including 347 participants (148 RA, 159 SpA, and 40 controls). We measured the carotid intima media thickness (cIMT) and detection of atheromatous plaques using carotid ultrasound. We recorded disease activity (DAS28-CRP/ASDAS-CRP) and traditional cardiovascular risk factors. We performed descriptive, bivariate, and linear multivariate analyses (dependent variable: cIMT) to evaluate the in

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Gehrig, Thomas, and Maria Chiara Iannino. "Capital regulation and systemic risk in the insurance sector." Journal of Financial Economic Policy 10, no. 2 (2018): 237–63. http://dx.doi.org/10.1108/jfep-11-2017-0105.

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Purpose This paper aims to analyze systemic risk in and the effect of capital regulation on the European insurance sector. In particular, the evolution of an exposure measure (SRISK) and a contribution measure (Delta CoVaR) are analyzed from 1985 to 2016. Design/methodology/approach With the help of multivariate regressions, the main drivers of systemic risk are identified. Findings The paper finds an increasing degree of interconnectedness between banks and insurance that correlates with systemic risk exposure. Interconnectedness peaks during periods of crisis but has a long-term influence al

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Maidl, E., and M. Buchecker. "Raising risk preparedness by flood risk communication." Natural Hazards and Earth System Sciences 15, no. 7 (2015): 1577–95. http://dx.doi.org/10.5194/nhess-15-1577-2015.

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Abstract. During the last decade, most European countries have produced hazard maps of natural hazards, but little is known about how to communicate these maps most efficiently to the public. In October 2011, Zurich's local authorities informed owners of buildings located in the urban flood hazard zone about potential flood damage, the probability of flood events and protection measures. The campaign was based on the assumptions that informing citizens increases their risk awareness and that citizens who are aware of risks are more likely to undertake actions to protect themselves and their pr

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Sun, Kai, Mingwei Xu, Xiaowei Fei, et al. "Prediction of Cancer-Specific Survival of Brainstem Glioma in Children Based on Risk Stratification Model." Computational and Mathematical Methods in Medicine 2022 (July 20, 2022): 1–9. http://dx.doi.org/10.1155/2022/3436631.

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Objective. To develop and authenticate a risk stratification framework and nomogram for ascertaining cancer-specific survival (CSS) among the pediatric brainstem gliomas. Methods. For patients less than 12 years, according to Surveillance, Epidemiology, and End Results (SEER), information from 1998 to 2016 is found in their databases. The survival outcomes, treatments, and demographic clinicopathologic conditions are scrutinized per the database validation, and training cohorts are divided and validated using multivariate Cox regression analysis. A nomogram was designed, and predominantly, the

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Billig, Ana Lucia Becker Vieira, Maria Claudia Irigoyen, and Silvia Goldmeier. "Hypertension and associated risk factors: a study among professional nursing." Revista de Enfermagem UFPE on line 5, no. 6 (2011): 1374. http://dx.doi.org/10.5205/reuol.1262-12560-1-le.0506201109.

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ABSTRACTObjective: to identify the prevalence of hypertension and risk factors (RF) associated in nurses and nursing technicians in a general hospital, combining the results of the professions, shifts and working places. Methodology: this is about a cross-sectional study with two hundred professionals. It was applied a structured questionnaire, measure the stress (ISMA) and the measurements of BP, BMI and WC. Results: the mean age was 32,9 ± 8,9 , females 85.5%, white 91.5% and hypertension of 34%. For the multivariate model, factors associated with hypertension were the night shift, the age,

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PAN, XIA. "THE LINEAR DEPENDENCE AND FEEDBACK SPECTRA BETWEEN STOCK MARKET AND ECONOMY." International Journal of Theoretical and Applied Finance 10, no. 03 (2007): 437–47. http://dx.doi.org/10.1142/s0219024907004305.

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Geweke studied the measure of linear dependence and spectral feedback for grouped multivariate time series. This paper applies the measure of linear dependence and spectral feedback to examining the relationship between grouped variables of economy and stock market indices. Putting economic variables into one group and stock market variables into another, we examine the between-group relationship within the US, within Japan, and within the European Union. Using a self-developed computing program, the feedback spectra for grouped variables are calculated and displayed. Although risk might exist

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