value-at-risk prediction
Robust Value at Risk Prediction
... extreme value estimator in our approach controls the bootstrap instability deriving from outliers or influential points in the tails of GARCH residual ...extreme value estimator is ...
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Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction
... tail risk (e.g., VaR) prediction where a plethora of modeling approaches are available which can be bewildering for risk ...model risk and estimation uncertainty and hence, it is superior to ...
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Are realized volatility models good candidates for alternative Value at Risk prediction strategies?
... of risk management models could help mitigate systemic risks in periods of extraordinary market volatility and contribute towards the overall stability of the financial ...
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Are realized volatility models good candidates for alternative Value at Risk prediction strategies?
... Market Risk Amendment (MRA) to the Basel Capital Accord states that financial institutions can use their own internal VaR models in order to calculate the daily regulatory reserved ...practical risk ...
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Bootstrap for Value at Risk Prediction
... Figure 2(c) shows that the FHS-GJR-GARCH VaR estimates are generally higher and considerably more volatile than the FHS-GARCH VaR estimates. Therefore, this method seems to capture the portfolio risk adequately. ...
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Risk Aversion and the Value of Risk to Life
... exhibit either a decline with age, or an inverse U-shape. When careful calibration is achieved to match empirical consumption profiles, the inverse U-shape is generally found, with a rather slow decline at old ages. The ...
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The Value of Alternative Data in Credit Risk Prediction: Evidence from a Large Field Experiment
... credit risk indicator that captures borrowers’ repayment behavior of being delinquent (at least one installment was not paid in time), delinquent but not in default (at least one installment was not paid in time ...
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The value of cytokine levels in triage and risk prediction for women with persistent high-risk human papilloma virus infection of the cervix
... infected cells to evade the immune response of T cells. Moreover, IL-6 can induce the expression of vascular endothelial growth factor via the STAT3 pathway, lead- ing to tumor angiogenesis and thereby promoting the ...
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High-sensitivity troponin I and B-type natriuretic peptide biomarkers for prediction of cardiovascular events in patients with coronary artery disease with and without diabetes mellitus
... Conventional risk factors that include age, gender, smoking, glucose level, blood pressure and cholesterol level have his- torically been used to risk stratify subjects who are at risk of major ...
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Bootstrap prediction intervals for VaR and ES in the context of GARCH models
... obtain prediction intervals of future Value at Risk (VaR) and Expected Shortfall (ES) in the context of univariate GARCH ...computing prediction intervals for ...one-step-ahead ...
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Incorporating prediction and estimation risk in point-in-time credit portfolio models
... Der vorliegende Beitrag untersucht die Auswirkungen der Einbeziehung von Schätz- und Prognoserisiken in Kreditportfoliomodellen. Insbesondere geht es dabei um mögliche Veränderungen der Schadensverteilung sowie von ...
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Essays on the economic value of intraday covariation estimators for risk prediction
... the risk measurement for the forecast period is now, statistically speaking, ...for risk management. It could at least be used to assists risk man- agers understand what they should expect to happen ...
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Essays on economic value of intraday covariation estimators for risk prediction
... the risk measurement for the forecast period is now, statistically speaking, ...for risk management. It could at least be used to assists risk man- agers understand what they should expect to happen ...
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Vol 10, No 1 (2014)
... Recommendation systems are very popular in research area. Those systems are applied in many areas such as book recommendation [1], movie recommendation, as well as music recommendation. However, there are few ...
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Timing of delivery in a high risk obstetric population: a clinical prediction model
... Actual corticosteroid treatment rates vary widely, depending in part on maternal and obstetrical charac- teristics [4] and the difficulty in predicting preterm birth [18, 19]. Most literature focuses on predictors as ...
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Dynamic Value-at-Risk
... existing Value-at-Risk – related academic literature focuses mainly on measuring Value-at-Risk from different estimation methods to various calculation ...in Value-at-Risk ...
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A Machine Learning Approach for Prediction of Diseases Using Unstructured Datasets
... on risk factors and risk assessment tools for falls in hospital ...of risk factors for falls in hospital inpatients and to identify high-risk patients in designing future falls ...(TIMI) ...
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Plaque morphology detected with Duplex ultrasound before carotid angioplasty and stenting (CAS) is not a predictor of carotid artery in-stent restenosis, a case control study
... Taking pathophysiological mechanisms of ISR develop- ment into account, it seems plausible that plaque morph- ology is not only a predictor of ischemic events during CAS, but may also be associated with a higher ...
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Mean Value Prediction of the Biased Estimators
... Abstract- In this paper we formulate Stein–minimax type estimators and compare the performance properties with other estimators in case of mean value predictions. When the model is estimated by ordinary least ...
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