If f is a risk measure, the diversification benefit of aggregating portfolio’s A and B is defined to be (1) f(A) + f(B)− f(A + B) When using full revaluation VaR as the methodology for computing a risk measure, its quite possible to get negative diversification. Pathological examples are possible, but the following example is not absurd: Suppose one has a portfolio that is made up by a Trader A...

abstract: with regard to the basel committee’s emphasis on the necessity of using 10-day value-at-risk (var) internal models in order to determine minimum market risk capital requirements, and downsides of the square-root-of-time rule, our purpose is to produce more accurate forecasts of the multi-period var using sixteen models for three stock indices, the tepix, nasdaq, and ftse. the results,...

The most polymorphic gene family in P. falciparum is the ∼60 var genes distributed across parasite chromosomes, both in the subtelomeres and in internal regions. They encode hypervariable surface proteins known as P. falciparum erythrocyte membrane protein 1 (PfEMP1) that are critical for pathogenesis and immune evasion in Plasmodium falciparum. How var gene sequence diversity is generated is n...

At present, all value at risk (VaR) implementations ± i.e., all risk measures of thè`maximum loss at a given level of con®dence'' type ± are based on the assumption that the portfolio mix will not change before the VaR horizon. This hypothesis may be unrealistic, especially when the VaR horizon is established by the regulators (BIS). At the opposite, we measure VaR dynamically, i.e., taking int...

PURPOSE To determine the effect of each of independent acid base variables on the anion gap (AG) value in cardiac surgical patients. METHODS This retrospective study involved 128 cardiac surgical patients admitted for postoperative care. The variation of AG (AGvar) between the day of admission and the first postoperative day was correlated via a multiple linear regression model with the respe...

In this paper the value at risk (VaR) forecasts are compared using three different GARCH models; ARCH(1), GARCH(1,1) and EGARCH(1,1). The implemented method is a one-day ahead out of sample forecast of the VaR. The forecasts are evaluated using the Kupiec test with a five percent significance level. The focus is on three different markets; commodities, equities and exchange rates. The goal of t...

ABSTRACT This article presents the application of weighted least squares (WLS) extrapolation and vector autoregressive (VAR) modeling in polar motion prediction. A piecewise weighting function is developed for (LS) adjustment consideration effect intervals between observation prediction epochs on WLS extrapolation. Furthermore, VAR technique used to simultaneously model predict residuals x p , ...

Dactylaria constricta var. gallopava (Cooke) Salkin et Dixon was found to cause fatal encephalitis in a 28-day-old, captivity-bred snowy owl chick (Nyctea scandiaca). The previously healthy bird suddenly developed ataxia, severe torticollis, and extensor rigidity of the legs. Since the animal did not improve with antibiotic or vitamin-mineral supplement therapy, the chick was euthanized 5 days ...

Data Assimilation (DA) involves the combination of observational data with the underlying dynamical principles governing the system under observation. In this work we combine the advantages of the two prominent DA systems, the 4D-Var and the ensemble methods. The hybrid method described in this paper consists of identifying the subspace spanned by the major 4D-Var error reduction directions. Th...

Recently, at the 119th European Study Group with Industry, the Energy Solutions Operator EDP proposed a challenge concerning electricity prices simulation, not only for risk measures purposes but also for scenario analysis in terms of pricing and strategy. The main purpose was short-term Electricity Price Forecasting (EPF). This analysis is contextualized in the study of time series behavior, i...