Structural integrity programs of the United States Air Force (USAF) include periodic inspection to detect damage before it grows to a critical size that can impact the safety of USAF systems. Current inspection methods have been used successfully to ensure the required risk metrics for these systems are being met as mandated by the relevant USAF Standards. However, there is a continual desire t...

Software defects rediscovered by a large number of customers affect various stakeholders and may: 1) hint at gaps in a software manufacturer’s Quality Assurance (QA) processes, 2) lead to an overload of a software manufacturer’s support and maintenance teams, and 3) consume customers’ resources, leading to a loss of reputation and a decrease in sales. Quantifying risk associated with the redisc...

Using ratings of corporate governance developed by RiskMetrics Group (RMG), formerly Institutional Shareholder Services, we investigate whether relatively poor governance is associated with financial restatement, and whether restatement results in improved governance. We identify 150 firms that restated their 2003 financial statements to correct material error, and we use Compustat to generate ...

This paper proposes an improved procedure for stochastic volatility model estimation with an application in risk management. This procedure is composed of the following instrumental components: Fourier transform method for volatility estimation with a price correction scheme, and importance sampling for extremal event probability estimation with applications to estimate Value-at-Risk and condit...

The purpose of this study is estimation of daily Value at Risk (VaR) for total index of Tehran Stock Exchange using parametric, nonparametric and semi-parametric approaches. Conditional and unconditional coverage backtesting are used for evaluating the accuracy of calculated VaR and also to compare the performance of mentioned approaches. In most cases, based on backtesting statistics Results, ...

the purpose of this study is estimation of daily value at risk (var) for total index of tehran stock exchange using parametric, nonparametric and semi-parametric approaches. conditional and unconditional coverage backtesting are used for evaluating the accuracy of calculated var and also to compare the performance of mentioned approaches. in most cases, based on backtesting statistics results, ...

This paper investigates the computation of Value-at-Risk (VaR) measures for mortgage backed securities (MBSs) using data for the Danish MBS market. The current RiskMetrics proposal from J.P. Morgan is used as a reference point throughout, but the study diverge somewhat from their proposal, especially with respect to the estimation of zero coupon yield curves as well as in the choice of mapping ...