This paper presents some new concepts and procedures for financial risk management. To complement the use of value at risk a new concept, upside potential or opportunity value as means to weigh opportunity loss versus risk reduction as well as an area ratio are introduced and discussed. Upper and lower bounds for risk curves corresponding to the optimal stochastic solution are developed, the ap...

Approximate Incremental Value-at-Risk formulae provide an easy-to-use preliminary guideline for risk allocation. Both the cases of risk adding and risk pooling are examined and beta-based formulae achieved. Results highlight how much the conditions for adding new risky positions are stronger than those required for risk pooling. JEL classification: C13; D81; G11; G12.

A b stra c t We propose a methodology for modelling the value at risk of a complex portfolio, based on an extension of the Ho, Stapleton and Subrahmanyam technique. We model the variance-covariance structure of up to seven variables. These could represent four country indices and three exchange rates, for example. In addition, the e®ect of an arbitrary number of orthogonal factors can be analys...

Modeling the dependence among multiple loss triangles has important implications for the determination of loss reserves, a critical element of risk management and capital allocation practices of property-casualty insurers. In this article, we propose a copula regression model for dependent lines of business that can be used to predict unpaid losses and hence determine loss reserves. The propose...

A portfolio model to minimize the risk of falling under uncertainty is discussed. The risk of falling is represented by the value-at-risk of rate of return. Introducing the perception-based extension of the value-at-risk, this paper formulates a portfolio problem to minimize the risk of falling with fuzzy random variables. In the proposed model, randomness and fuzziness are evaluated respective...

Online education is becoming an important component of career and technical education (CTE) in teacher preparation and at the graduate level. In the midst of such growth, and in response to questions about quality compared with traditional learning, there is a consensus that online courses and programs should be designed based on the needs of adult learners. However, much of the literature in o...

Özet. CMMI ve çevik yazılım geliştirme yöntemlerinin birlikte uygulanabilirliği bir süredir devam etmekte olan bir tartışma konusudur. Đki yaklaşımın çeşitli açılardan birbirinin karşıtı olduğuna dair yorumların yanında literatürde birlikte uygulanabilirliklerini gösteren çalışmalar da bulunmaktadır. Bu makalede CMMI ve çevik yöntemler üzerine var olan beş efsanenin oluşma nedenleri ve gerçek o...

We consider the problem of a firm selling multiple products that consume a single resource over a finite time period. The amount of the resource is exogenously fixed. We analyze the difference between a dynamic pricing policy and a list price capacity control policy. The dynamic pricing policy adjusts prices steadily resolving the underlying problem every time step, whereas the list pricing pol...

The distribution of J. ashei var. ashei and J. a. var. ovata was examined by leaf essential oils. The populational boundries between these varieties seems to be very distinct. However, there appears to be some intergradation between the two taxa near New Braunfels, Texas.