Search results for "at risk"

Prelingual sensorineural hearing loss and infants at risk: Western Sicily report.

2013

Objective: To evaluate independent etiologic factor associated with sensorineural hearing loss (SNHL) in newborn at risk; to study the role of their interaction especially in NICU infants who present often multiple risk factors for SNHL. Methods: The main risk factors for SNHL reported by JCIH 2007 were evaluated on 508 infant at risk ranging from 4 to 20 weeks of life, transferred to the Audiology Department of Palermo from the main births centers of Western Sicily. After a global audiological assessment, performed with TEOAE, tympanometry and ABR, the prevalence and the effect of risk factors was statistically studied through univariate and multivariate analysis on the total population (n…

Implicit Public Debt Thresholds: An Empirical Exercise for the Case of Spain

2017

We extend previous work that combines the Value at Risk approach with estimation of the correlation pattern of the macroeconomic determinants of public debt dynamics by means of Vector Auto Regressions (VARs). These estimated models are used to compute the probability that the public debt ratio exceeds a given threshold, by means of Monte Carlo simulations. We apply this methodology to Spanish data and compute time-series probabilities to analyse the possible correlation with market risk assessment, measured by the spread over the German bond. Taking into account the high correlation between the probability of crossing a pre-specified debt threshold and the spread, we go a step further and …

Minimising value-at-risk in a portfolio optimisation problem using a multi-objective genetic algorithm

2011

[EN] In this paper, we develop a general framework for market risk optimisation that focuses on VaR. The reason for this choice is the complexity and problems associated with risk return optimisation (non-convex and non-differential objective function). Our purpose is to obtain VaR efficient frontiers using a multi-objective genetic algorithm (GA) and to show the potential utility of the algorithm to obtain efficient portfolios when the risk measure does not allow calculating an optimal solution. Furthermore, we measure differences between VaR efficient frontiers and variance efficient frontiers in VaR-return space and we evaluate out-sample capacity of portfolios on both bullish and bearis…

Value at risk -laskennan soveltuvuus lentoyhtiölle : case: Finnair oyj

2001

The Assessment of Second Primary Cancers (SPCs) in a Series of Splenic Marginal Zone Lymphoma (SMZL) Patients

2006

The purpose of this study is to estimate the risk of second primary cancer (SPC) in 129 consecutive patients with splenic marginal zone lymphoma (SMZL) diagnosed in three Italian haematological centres. The person-years method deriving as a sum of products of age- and sex- specific rates and of the corresponding time at risk was used. The SPC Standardized Incidence Ratio (SIR) was 2.03 with a 95% confidence interval: [1.05, 3.56] (p < 0.05) and the corresponding Absolute Excess Risk (AER) was 145.8 (per 10000 SMZL patients per year). Our findings evidence a high frequency of additional cancers in patients with SMZL and suggest that the incidence rate of SPCs is significantly different from …

Hedging foreign exchange rate risk: Multi-currency diversification

2016

Abstract This article proposes a multi-currency cross-hedging strategy that minimizes the exchange risk. The use of derivatives in small and medium-sized enterprises (SMEs) is not common but, despite its complexity, can be interesting for those with international activities. In particular, the reduction in the exchange risk borne through the use of natural multi-currency cross-hedging is measured, considering Conditional Value-at-Risk (CVaR) and Value-at-Risk (VaR) for measuring market risk instead of the variance. CVaR is minimized using linear programmes, while a multiobjective genetic algorithm is designed for minimizing VaR, considering two scenarios for each currency. The results obtai…

Flora italiana di interesse comunitario: risultati del IV Report e Piano nazionale di monitoraggio

2020

Risk Management Optimization for Sovereign Debt Restructuring

2015

Abstract Debt restructuring is one of the policy tools available for resolving sovereign debt crises and, while unorthodox, it is not uncommon. We propose a scenario analysis for debt sustainability and integrate it with scenario optimization for risk management in restructuring sovereign debt. The scenario dynamics of debt-to-GDP ratio are used to define a tail risk measure, termed conditional Debt-at-Risk. A multi-period stochastic programming model minimizes the expected cost of debt financing subject to risk limits. It provides an operational model to handle significant aspects of debt restructuring: it collects all debt issues in a common framework, and can include contingent claims, m…

On VaR using modified gaussian copula

2008

The problem of modeling asset returns is one of the most important issue in finance. People generally use Gaussian processes because of their tractable properties for computation. However, it is well known that asset returns are fat-tailed leading to an underestimation of the risk. One of the most recent proposals is to model the interdependence of asset returns, for example in a portfolio, by means of Copulas and choose marginal distributions with fat tail to fit the single asset returns. The aim of the paper is to show first results concerning the evaluation of Portfolio Value-at-Risk (VaR) using the Gaussian copula, modified by introducing a particular correlation coefficient, and assumi…

The effect of foreigners’ economic living conditions on self-perceived unmet medical needs

2015

Gli stranieri in Italia sperimentano disuguaglianze specifiche in materia di salute e di accesso alle cure sanitarie, che si sovrappongono alle disparità geografiche esistenti. Questo studio si propone di verificare l'effetto delle condizioni di vita sul bisogno insoddisfatto di cure sanitarie degli stranieri che vivono in Italia. In particolare esso valuta diverse misure delle condizioni di vita e ha l’obiettivo di verificare come esse influenzino diversamente i vari gruppi di stranieri. I dati utilizzati per l'analisi sono quelli della indagine speciale italiana su reddito e condizioni di vita realizzata su famiglie con stranieri nel 2009 Foreigners in Italy experience specific inequaliti…