Search results for "at risk"
showing 10 items of 61 documents
Adjuvant volumetric-modulated arc therapy with simultaneous integrated boost in endometrial cancer. Planning and toxicity comparison
2014
Objective. To report dosimetric and acute toxicity data in prospectively enrolled high-intermediate risk endometrial cancer (HIR-EC) patients postoperatively irradiated by simultaneous integrated boost volumetric modulated arc therapy (SIB-VMAT). Methods. Thirty prospectively enrolled HIR-EC patients were postoperatively treated by SIB-VMAT. Target coverage, dose homogeneity, and sparing of organs at risk (OARs) were compared with corresponding data retrieved from an historical control (30 consecutive selected matched patients) treated by concomitant boost three-dimensional conformal radiotherapy (3D CRT CB) from a previously published study (ADA-I trial). All patients received 45 Gy on pel…
Notional defined contributions (NDC): Solvency and risk in Spain
2007
The aim of this article is twofold: to demonstrate the actuarial imbalance in the Spanish pension system in its current form; and to measure the degree of aggregate economic risk to which pensioners are exposed when applying formulas for the calculation of retirement pensions based on notional accounts. The model used generates scenarios for various periods encompassing some 10,000 different permutations of the macroeconomic indices needed to calculate such parameters as initial pension, earnings replacement rate, or internal rate of return and value at risk. The findings are analysed both objectively and subjectively. The main conclusions are that if the projections for the macroeconomic i…
Liquidity-adjusted value-at-risk optimization of a multi-asset portfolio using a vine copula approach
2019
Abstract This paper develops a novel approach to assess liquidity-adjusted Value-at-Risk (LVaR) optimization of multi-asset portfolios based on vine copulas and LVaR models. This framework is applied to stock markets of the G-7 countries, gold, commodities and Bitcoin. The results show that our approach is superior to the classical mean–variance Markowitz portfolio technique in terms of the optimal portfolio selection under a number of realistic operational and budget constraints. We find that both Bitcoin and gold improves the risk-return performance of the G-7 stock portfolio. However, Bitcoin (gold) performs better under a scenario of only long-positions (when short-selling is allowed).
Value-at-Risk and Tsallis statistics: risk analysis of the aerospace sector
2004
In this study, we analyze the aerospace stocks prices in order to characterize the sector behavior. The data analyzed cover the period from January 1987 to April 1999. We present a new index for the aerospace sector and we investigate the statistical characteristics of this index. Our results show that this index is well described by Tsallis distribution. We explore this result and modify the standard Value-at-Risk (VaR), financial risk assessment methodology in order to reflect an asset which obeys Tsallis non-extensive statistics.
Dynamics of a financial market index after a crash
2002
We discuss the statistical properties of index returns in a financial market just after a major market crash. The observed non-stationary behavior of index returns is characterized in terms of the exceedances over a given threshold. This characterization is analogous to the Omori law originally observed in geophysics. By performing numerical simulations and theoretical modelling, we show that the nonlinear behavior observed in real market crashes cannot be described by a GARCH(1,1) model. We also show that the time evolution of the Value at Risk observed just after a major crash is described by a power-law function lacking a typical scale.
Value at risk : eksponentiaalisesti painotettu historiallinen simulaatio
2014
Tämän tutkimuksen tarkoituksena oli toteuttaa Value at Risk-malleja vertaileva backtesting-tutkimus. Malleiksi valikoituivat perinteinen painottamaton historiallinen simulaatio ja eksponentiaalisesti painotettu historiallinen simulaatio. Tavoitteena oli tutkia kannattaako havaintoja painottaa koska molemmat mallit olivat siinä mielessä vertailukelpoisia, että painotettu malli toteutettuna painotuskertoimella 1, eli kaikki havainnot saavat saman painon vastaa painottamatonta variaatiota. Lähtökohtana oli, että painottaminen on kannattavaa koska painottamattomassa versiossa pienillä havaintomäärillä havaintojoukko ei ole edustava ja suurilla havaintomäärillä taas malli ei kykene huomioimaan m…
Explicit Oral Narrative Intervention for Students with Williams Syndrome
2018
Narrative skills play a crucial role in organizing experience, facilitating social interaction and building academic discourse and literacy. They are at the interface of cognitive, social, and linguistic abilities related to school engagement. Despite their relative strengths in social and grammatical skills, students with Williams syndrome (WS) do not show parallel cognitive and pragmatic performance in narrative generation tasks. The aim of the present study was to assess retelling of a TV cartoon tale and the effect of an individualized explicit instruction of the narrative structure. Participants included eight students with WS who attended different special education levels. Narratives…
VaR-menetelmän ennustustarkkuuden testaus sähkömarkkina-aineistolla
2001
Response to computer-assisted intervention in children most at risk for mathematics difficulties
2015
Evidence of an association between poor early number skills and a high risk for later difficulties in mathematics manifests a need for both early identification of risk and effective prevention of difficulties. However, only a few theory-based assessment and progress monitoring tools, and intervention methods are avail able for this purpose in Finnish pre-primary education. This thesis aimed to examine to what extent a theory-based computer-assisted intervention method (GraphoGame Math, GGM) can support early number skills development in children (67-year-olds) most at risk for mathematics difficulties (MD; defined as performance below the 10th percentile). The specific aims were threefold…