Search results for "at risk"
showing 10 items of 61 documents
An Empirical Investigation of Heavy Tails in Emerging Markets and Robust Estimation of the Pareto Tail Index
2021
In this work we analyze and compare the performances of VaR-based estimatorswith respect to three different classes of distributions, i.e., Gaussian, Stable and Pareto, and to different emerging markets, i.e., Egypt, Qatar and Mexico. This is motivated by the evidence that there are points of distinction between emerging and developed markets mainly relating to the speed and reliability of information available to investors.We propose a computational Threshold Accepting-VaR based algorithm (TAVaR) for optimally estimating the Pareto tail index. A Monte Carlo bias estimation analysis is also carried out by comparing our proposed methodology with the Hill estimator and a variant of it.
Classroom interaction and literacy activities in kindergarten : Longitudinal links to grade 1 readers at risk and not at risk of reading difficulties
2017
The purpose of the present study is to establish how the quality of kindergarten classroom interactions and the frequency of literacy activities affect reading development among Grade 1 children—both those who are at risk and not at risk of developing reading difficulties. Interaction was assessed in terms of classroom organization, and the level of emotional and instructional support offered in 49 kindergarten classrooms in Finland using the CLASS (Classroom Assessment Scoring System). Kindergarten teachers also recorded the frequency of literacy activities in their classrooms. The phonological awareness and letter knowledge of 515 children (i.e., their pre-reading skills) were assessed at…
Non-Gaussian Distribution for Var Calculation: an Assessment for the Italian Market
2001
Abstract In this paper we compare different approaches to computing VaR (Value-at-Risk) for heavy tailed return series. Using data from the Italian market, we show that almost all the return series present statistically significant skewness and kurtosis. We implement (i) the stable models proposed by Rachev et al . (2000), (ii) an alternative to the Gaussian distributions based on a Generalized Error Distribution and (iii) a non-parametric model proposed by Li (1999). All the models are then submitted to backtest on out-of-sample data in order to assess their forecasting power. We observe that when the percentiles are low, all the models tested produce results that are dominant compared to …
The impact of systemic and illiquidity risk on financing with risky collateral
2015
Abstract Repurchase agreements (repos) are one of the most important sources of funding liquidity for many financial investors and intermediaries. In a repo, some assets are given by a borrower as collateral in exchange of funding. The capital given to the borrower is the market value of the collateral, reduced by an amount termed as haircut (or margin). The haircut protects the capital lender from loss of value of the collateral contingent on the borrower׳s default. For this reason, the haircut is typically calculated with a simple Value at Risk estimation of the collateral for the purpose of preventing the risk associated to volatility. However, other risk factors should be included in th…
Area at Risk and Viability after Myocardial Ischemia and Reperfusion Can Be Determined by Contrast-Enhanced Cardiac Magnetic Resonance Imaging
2008
<i>Background/Aims:</i> Clinical differentiation between infarcted and viable myocardium in the ischemic area at risk is controversial. We investigated the potential of contrast-enhanced cardiac magnetic resonance imaging (ceCMRI) in determining the area at risk 24 h after ischemia. <i>Methods:</i> Myocardial ischemia was induced by percutaneous coronary intervention of the left anterior descending coronary artery in pigs. Coronary occlusion time was 30 min in group A, which caused little myocardial infarction and 45 min in group B, which led to irreversible damage. 24 h after reperfusion ceCMRI was performed at 2 and 15 min after administration of gadolinium-diethyl…
Digital citizenship and the use of mobile devices in educational institutions
2018
Training in digital competence is one of the concerns in the educational sphere and, either at European, state and regional levels, policies have been developed for promote the responsible use of technologies in digital citizenship and, in particular, with minors and adolescents who live in a digital society. From Europe 2020 Strategy (European Commission, 2010), as well as the strategic framework: Education and Training 2020 (European Commission, 2009), it has been proposed a set of priorities that will be translated into national objectives for all member countries of the European Union, as a purpose for the year 2020. In this sense, following the European directives, in the Spanish conte…
High Frequency Data Analysis in an Emerging and a Developed Market
2002
We compare distributional properties of high frequency (tick by tick) returns of stocks traded at the NASDAQ, NYSE, and BSE (Budapest Stock Exchange). In particular, we model returns with a mixture of a degenerate (zero) and a symmetric stable distribution. We measure time with the number of successive price changes on the market and study the convergence of the index of stability on increasing time horizons. We apply results to calculate expected waiting times to reach given levels of value at risk.
Foreigners in Italy: economic living conditions and unmet medical needs
2015
Foreigners in Italy experience specific inequalities in health and in access to health care that overlap with existing geographical disparities. In this study we aim to compare the effects of living conditions on self-perceived unmet medical needs among foreigners living in Italy. In particular, we test several measures of living conditions, and assess whether these measures affect foreigners differently depending on their nationality. The data used for the analysis are from the Italian Special Survey of Income and Living Conditions carried out on households with foreigners in 2009.
Safety and efficacy of intensity-modulated radiotherapy in the management of spermatic cord sarcoma.
2017
International audience; Purpose. - Spermatic cord sarcoma is a rare disease, which management remains controversial due to the lack of guidelines. The standard therapeutic approach is surgical: wide soft-tissue resection with radical inguinal orchidectomy, The diagnosis is made during the analysis of the specimen. The high rate of local recurrence indicates adjuvant radiotherapy of the tumor bed. The aim of this series is to determine the efficacy and safety of postoperative intensity-modulated radiotherapy for spermatic cord sarcomas. Patients and methods. - Our series included five consecutive cases of spermatic cord sarcoma treated between 2011 and 2014. The indications for radiotherapy …
Behavioral and Brain Measures of Morphological Processing in Children With and Without Familial Risk for Dyslexia From Pre-school to First Grade
2021
School-age reading skills are associated with and predicted by preschool-age cognitive risk factors for dyslexia, such as deficits in phonological awareness, rapid automatized naming, letter knowledge, and verbal short-term memory. In addition, evidence exists that problems in morphological information processing could be considered a risk factor for dyslexia. In the present study, 27 children at pre-school age and the same 27 children at first grade age performed a morphological awareness task while their brain responses were measured with magnetoencephalography. Our aim was to examine how derivational morphology in Finnish language, and concomitant accuracy and reaction times are associat…