We present new evidence on disaggregated profit and loss (P/L) and value-at-risk (VaR) forecasts obtained from a large international commercial bank. Our data set includes the actual daily P/L generated by four separate business lines within the bank. All four business lines are involved in securities trading and each is observed daily for a period of at least two years. Given this unique data ...

This paper considered a dependent discrete-time risk model, in which the insurance risks are represented by a sequence of independent and identically distributed real-valued random variables with a common Gamma-like tailed distribution; the financial risks are denoted by another sequence of independent and identically distributed positive random variables with a finite upper endpoint, but a gen...

Data in social and behavioral sciences are often hierarchically organized though seldom normal. They typically contain heterogeneous marginal skewnesses and kurtoses. With such data, the normal theory based likelihood ratio statistic is not reliable when evaluating a multilevel structural equation model. Statistics that are not sensitive to sampling distributions are desirable. Six statistics f...

In order to guarantee the success of the nascent cellulose-based biofuel industry, it is crucial to identify the most economically relevant components of the biofuel production path. To this aim, an original stochastic financial model is developed to estimate the impact that different feedstock production and biofuel conversion parameters have on the probability of economic success. Estimation ...

Choice between alternative flexible functional forms has received little explicit treatment in many empirical agricultural studies. Theoretical criteria and empirical techniques for choosing between flexible functional forms are reviewed. Theoretical topics include definitions of flexibility, mathematical expansions, separability, and regular regions. Empirical techniques examined are Monte Car...

In this paper we describe techniques for 3D textured model construction of urban areas using acquisition devices such as intensity cameras, as well as 2D laser scanner. Our experimental set up consists of a truck equipped with one camera and two fast, inexpensive 2D laser scanners, traveling on city streets under normal traffic conditions. The horizontal laser scans are used to determine the ap...

We investigate improvements to our 3D model observer with the goal of better matching human observer performance as a function of viewing distance, effective contrast, maximum luminance, and browsing speed. Two nonlinear methods of applying the human contrast sensitivity function (CSF) to a 3D model observer are proposed, namely the Probability Map (PM) and Monte Carlo (MC) methods. In the PM m...

This report describes an information security risk assessment process that accommodates uncertainty and can be applied to deployed systems as well as systems under development. An example is given for a critical infrastructure but the technique is applicable to other networks. RAPSA/MC extends the Risk Analysis and Probabilistic Survivability Assessment (RAPSA) systems-level process model with ...

Structural equation models with mean structure and non-linear constraints are the most frequent choice for estimating interaction effects when measurement errors are present. This article proposes eliminating the mean structure and all the constraints but one, which leads to a more easily handled model that is more robust to non-normality and more general as it can accommodate endogenous intera...