Despite well-known shortcomings as a risk measure, Value-at-Risk (VaR) is still the industry and regulatory standard for the calculation of risk capital in banking and insurance. This paper is concerned with the numerical estimation of the VaR for a portfolio position as a function of different dependence scenarios on the factors of the portfolio. Besides summarizing the most relevant analytica...

This paper proposes a new methodology to compute Value at Risk (VaR) for quantifying losses in credit portfolios. We approximate the cumulative distribution of the loss function by a finite combination of Haar wavelets basis functions and calculate the coefficients of the approximation by inverting its Laplace transform. In fact, we demonstrate that only a few coefficients of the approximation ...

The objective of this study is to analyse the most appropriate power factor billing methods for large power consumers. It compares average power factor (AVPF) vizá – viz coincidental power factor (CPF), which is currently being used for billing large power consumers. The study involved downloading data from large power energy meters for both energy and demand registers recorded for the past six...

DNA renaturation experiments gave evidence to conclude that Rhizopus arrhizus, R. OIyzae, R. delemar, Amylomyces rou.xii, R. delemar var. minimus, R. delemar var. multiplicisporus, R. arrhizus var. delemar, R. chungkuoensis var. isqfermentarius, and R. javanicus var. kawasakiensis can be accommodated in three taxa, namely, R. arrhizus var. arrhizus, R. arrhizus var. rozedi, and R. arrhizus var....

Plants of Juniperus communis L. var. communis, J. c. var. depressa Pursh, J. c. var. hemispherica J. & C. Presl, J. communis var. megistocarpa Fern. & St. John, J. c. var. nipponica (Maxim.) Wils., J. c. var. oblonga hort. ex Loudon and J. c. var. saxatilis Pall. were sampled and DNA fingerprinting (RAPDs, Random Amplified Polymorphic DNAs) was performed. Based on 191 RAPD bands, there was litt...

Theorem 3.2 A consequence system (L,`) enjoys Craig interpolation with respect to an L-function var, if (i) there is a Craig generalized translation schema from (L,`) to another consequence system (L′,`′) with respect to var and an L′-function var′; (ii) (L′,`′) enjoys Craig interpolation with respect to var′. Proof: Let (h1, h2, h) be a Craig generalized translation schema from (L,`) to (L′,`′...

This paper deals with model selection and forecasting in vector autoregressions (VARs) in situations where the set of available predictors is inconveniently large to accommodate with methods and diagnostics used in traditional small-scale models. Available information over this large dataset can be summarized into a considerably smaller set of variables through factors estimated by the dynamic ...

The aim of this study is to determine the relationship between Azerbaijan`s traditional energy production, renewable production and unemployment rates. While performing analysis, it was first tested whether data were stationary or not. stabilized by using Augmented Dickey–Fuller test (ADF). After making stationary, VAR model established, appropriate lag lengths determined. analyzed Granger Caus...