Value-at-Risk and its conditional allegory, which takes into account the available information about economic environment, form centrepiece of Basel framework for evaluation market risk in banking sector. A new nonparametric estimating this is presented. approach particularly pertinent as traditionally used parametric distributions have been shown to be insufficiently robust flexible most equit...

We introduce the technique of worst case search to macro stress testing. Among the macroeconomic scenarios satisfying some plausibility constraint we determine the worst case scenario which causes the most harmful loss in loan portfolios. This method has three advantages over traditional macro stress testing: First, it ensures that no harmful scenarios are missed and therefore prevents a false ...

The energy resource management (ERM) problem in today’s systems is complex and challenging due to the increasing penetration of distributed resources with uncertain behavior. Despite improvement forecasting tools, development strategies deal this uncertainty (for instance, considering Monte Carlo simulation generate a set different possible scenarios), risk associated such variable cannot be ne...

An investigation of the limiting behavior of a risk capital allocation rule based on the Conditional Tail Expectation (CTE) risk measure is carried out. More specifically, with the help of general notions of Extreme Value Theory (EVT), the aforementioned risk capital allocation is shown to be asymptotically proportional to the corresponding Value-at-Risk (VaR) risk measure. The existing methodo...

In case of a threat in public space, the crowd it should be moved to shelter or evacuated without delays. Risk management and evacuation planning spaces also take into account uncertainties traffic patterns flow. One way for is make use safety staff, guides, that lead out building according an plan. Nevertheless, solving minimum time plan computationally demanding problem. this paper, we model ...