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1
Landsman, Zinoviy y Tomer Shushi. "Multivariate Tail Moments for Log-Elliptical Dependence Structures as Measures of Risks". Symmetry 13, n.º 4 (28 de marzo de 2021): 559. http://dx.doi.org/10.3390/sym13040559.
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The class of log-elliptical distributions is well used and studied in risk measurement and actuarial science. The reason is that risks are often skewed and positive when they describe pure risks, i.e., risks in which there is no possibility of profit. In practice, risk managers confront a system of mutually dependent risks, not only one risk. Thus, it is important to measure risks while capturing their dependence structure. In this short paper, we compute the multivariate risk measures, multivariate tail conditional expectation, and multivariate tail covariance measure for the family of log-elliptical distributions, which captures the dependence structure of the risks while focusing on the tail of their distributions, i.e., on extreme loss events. We then study our result and examine special cases, as well as the optimal portfolio selection using such measures. Finally, we show how the given multivariate tail moments can also be computed for log-skew elliptical models based on similar approaches given for the log-elliptical case.
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ARARAT, ÇAĞIN, ANDREAS H. HAMEL y BIRGIT RUDLOFF. "SET-VALUED SHORTFALL AND DIVERGENCE RISK MEASURES". International Journal of Theoretical and Applied Finance 20, n.º 05 (30 de julio de 2017): 1750026. http://dx.doi.org/10.1142/s0219024917500261.
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Risk measures for multivariate financial positions are studied in a utility-based framework. Under a certain incomplete preference relation, shortfall and divergence risk measures are defined as the optimal values of specific set minimization problems. The dual relationship between these two classes of multivariate risk measures is constructed via a recent Lagrange duality for set optimization. In particular, it is shown that a shortfall risk measure can be written as an intersection over a family of divergence risk measures indexed by a scalarization parameter. Examples include set-valued versions of the entropic risk measure and the average value at risk. As a second step, the minimization of these risk measures subject to trading opportunities is studied in a general convex market in discrete time. The optimal value of the minimization problem, called the market risk measure, is also a set-valued risk measure. A dual representation for the market risk measure that decomposes the effects of the original risk measure and the frictions of the market is proved.
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Feinstein, Zachary y Birgit Rudloff. "Time consistency for scalar multivariate risk measures". Statistics & Risk Modeling 38, n.º 3-4 (1 de julio de 2021): 71–90. http://dx.doi.org/10.1515/strm-2019-0023.
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Abstract In this paper we present results on dynamic multivariate scalar risk measures, which arise in markets with transaction costs and systemic risk. Dual representations of such risk measures are presented. These are then used to obtain the main results of this paper on time consistency; namely, an equivalent recursive formulation of multivariate scalar risk measures to multiportfolio time consistency. We are motivated to study time consistency of multivariate scalar risk measures as the superhedging risk measure in markets with transaction costs (with a single eligible asset) (Jouini and Kallal (1995), Löhne and Rudloff (2014), Roux and Zastawniak (2016)) does not satisfy the usual scalar concept of time consistency. In fact, as demonstrated in (Feinstein and Rudloff (2021)), scalar risk measures with the same scalarization weight at all times would not be time consistent in general. The deduced recursive relation for the scalarizations of multiportfolio time consistent set-valued risk measures provided in this paper requires consideration of the entire family of scalarizations. In this way we develop a direct notion of a “moving scalarization” for scalar time consistency that corroborates recent research on scalarizations of dynamic multi-objective problems (Karnam, Ma and Zhang (2017), Kováčová and Rudloff (2021)).
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Haier, Andreas y Ilya Molchanov. "Multivariate risk measures in the non-convex setting". Statistics & Risk Modeling 36, n.º 1-4 (1 de diciembre de 2019): 25–35. http://dx.doi.org/10.1515/strm-2019-0002.
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Abstract The family of admissible positions in a transaction costs model is a random closed set, which is convex in case of proportional transaction costs. However, the convexity fails, e.g., in case of fixed transaction costs or when only a finite number of transfers are possible. The paper presents an approach to measure risks of such positions based on the idea of considering all selections of the portfolio and checking if one of them is acceptable. Properties and basic examples of risk measures of non-convex portfolios are presented.
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Fougeres, Anne-Laure y Cecile Mercadier. "Risk Measures and Multivariate Extensions of Breiman's Theorem". Journal of Applied Probability 49, n.º 2 (junio de 2012): 364–84. http://dx.doi.org/10.1239/jap/1339878792.
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The modeling of insurance risks has received an increasing amount of attention because of solvency capital requirements. The ruin probability has become a standard risk measure to assess regulatory capital. In this paper we focus on discrete-time models for the finite time horizon. Several results are available in the literature to calibrate the ruin probability by means of the sum of the tail probabilities of individual claim amounts. The aim of this work is to obtain asymptotics for such probabilities under multivariate regular variation and, more precisely, to derive them from extensions of Breiman's theorem. We thus present new situations where the ruin probability admits computable equivalents. We also derive asymptotics for the value at risk.
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Fougeres, Anne-Laure y Cecile Mercadier. "Risk Measures and Multivariate Extensions of Breiman's Theorem". Journal of Applied Probability 49, n.º 02 (junio de 2012): 364–84. http://dx.doi.org/10.1017/s0021900200009141.
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The modeling of insurance risks has received an increasing amount of attention because of solvency capital requirements. The ruin probability has become a standard risk measure to assess regulatory capital. In this paper we focus on discrete-time models for the finite time horizon. Several results are available in the literature to calibrate the ruin probability by means of the sum of the tail probabilities of individual claim amounts. The aim of this work is to obtain asymptotics for such probabilities under multivariate regular variation and, more precisely, to derive them from extensions of Breiman's theorem. We thus present new situations where the ruin probability admits computable equivalents. We also derive asymptotics for the value at risk.
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Wei, Linxiao y Yijun Hu. "CAPITAL ALLOCATION WITH MULTIVARIATE RISK MEASURES: AN AXIOMATIC APPROACH". Probability in the Engineering and Informational Sciences 34, n.º 2 (6 de marzo de 2019): 297–315. http://dx.doi.org/10.1017/s0269964819000032.
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AbstractCapital allocation is of central importance in portfolio management and risk-based performance measurement. Capital allocations for univariate risk measures have been extensively studied in the finance literature. In contrast to this situation, few papers dealt with capital allocations for multivariate risk measures. In this paper, we propose an axiom system for capital allocation with multivariate risk measures. We first recall the class of the positively homogeneous and subadditive multivariate risk measures, and provide the corresponding representation results. Then it is shown that for a given positively homogeneous and subadditive multivariate risk measure, there exists a capital allocation principle. Furthermore, the uniqueness of the capital allocation principe is characterized. Finally, examples are also given to derive the explicit capital allocation principles for the multivariate risk measures based on mean and standard deviation, including the multivariate mean-standard-deviation risk measures.
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Zuo, Baishuai y Chuancun Yin. "Multivariate tail covariance risk measure for generalized skew-elliptical distributions". Journal of Computational and Applied Mathematics 410 (agosto de 2022): 114210. http://dx.doi.org/10.1016/j.cam.2022.114210.
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Di Bernardino, E., J. M. Fernández-Ponce, F. Palacios-Rodríguez y M. R. Rodríguez-Griñolo. "On multivariate extensions of the conditional Value-at-Risk measure". Insurance: Mathematics and Economics 61 (marzo de 2015): 1–16. http://dx.doi.org/10.1016/j.insmatheco.2014.11.006.
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Hürlimann, Werner. "Multivariate Fréchet copulas and conditional value-at-risk". International Journal of Mathematics and Mathematical Sciences 2004, n.º 7 (2004): 345–64. http://dx.doi.org/10.1155/s0161171204210158.
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Based on the method of copulas, we construct a parametric family of multivariate distributions using mixtures of independent conditional distributions. The new family of multivariate copulas is a convex combination of products of independent and comonotone subcopulas. It fulfills the four most desirable properties that a multivariate statistical model should satisfy. In particular, the bivariate margins belong to a simple but flexible one-parameter family of bivariate copulas, called linear Spearman copula, which is similar but not identical to the convex family of Fréchet. It is shown that the distribution and stop-loss transform of dependent sums from this multivariate family can be evaluated using explicit integral formulas, and that these dependent sums are bounded in convex order between the corresponding independent and comonotone sums. The model is applied to the evaluation of the economic risk capital for a portfolio of risks using conditional value-at-risk measures. A multivariate conditional value-at-risk vector measure is considered. Its components coincide for the constructed multivariate copula with the conditional value-at-risk measures of the risk components of the portfolio. This yields a fair risk allocation in the sense that each risk component becomes allocated to its coherent conditional value-at-risk.
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Sun, Edward W., Yu-Jen Wang y Min-Teh Yu. "Integrated Portfolio Risk Measure: Estimation and Asymptotics of Multivariate Geometric Quantiles". Computational Economics 52, n.º 2 (13 de junio de 2017): 627–52. http://dx.doi.org/10.1007/s10614-017-9708-2.
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Cai, Jun y Haijun Li. "Conditional tail expectations for multivariate phase-type distributions". Journal of Applied Probability 42, n.º 3 (septiembre de 2005): 810–25. http://dx.doi.org/10.1239/jap/1127322029.
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The conditional tail expectation in risk analysis describes the expected amount of risk that can be experienced given that a potential risk exceeds a threshold value, and provides an important measure of right-tail risk. In this paper, we study the convolution and extreme values of dependent risks that follow a multivariate phase-type distribution, and derive explicit formulae for several conditional tail expectations of the convolution and extreme values for such dependent risks. Utilizing the underlying Markovian property of these distributions, our method not only provides structural insight, but also yields some new distributional properties of multivariate phase-type distributions.
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Cai, Jun y Haijun Li. "Conditional tail expectations for multivariate phase-type distributions". Journal of Applied Probability 42, n.º 03 (septiembre de 2005): 810–25. http://dx.doi.org/10.1017/s0021900200000796.
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The conditional tail expectation in risk analysis describes the expected amount of risk that can be experienced given that a potential risk exceeds a threshold value, and provides an important measure of right-tail risk. In this paper, we study the convolution and extreme values of dependent risks that follow a multivariate phase-type distribution, and derive explicit formulae for several conditional tail expectations of the convolution and extreme values for such dependent risks. Utilizing the underlying Markovian property of these distributions, our method not only provides structural insight, but also yields some new distributional properties of multivariate phase-type distributions.
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Wang, Yu Ling, Jun Hai Ma y Yu Hua Xu. "Risk Asset Portfolio Choice Models under Three Risk Measures". Advanced Materials Research 204-210 (febrero de 2011): 537–40. http://dx.doi.org/10.4028/www.scientific.net/amr.204-210.537.
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Mean-variance model, value at risk and Conditional Value at Risk are three chief methods to measure financial risk recently. The demonstrative research shows that three optional questions are equivalence when the security rates have a multivariate normal distribution and the given confidence level is more than a special value. Applications to real data provide empirical support to this methodology. This result has provided new methods for us about further research of risk portfolios.
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Hadad, Elroi, Tomer Shushi y Rami Yosef. "Measuring Systemic Governmental Reinsurance Risks of Extreme Risk Events". Risks 11, n.º 3 (23 de febrero de 2023): 50. http://dx.doi.org/10.3390/risks11030050.
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This study presents an easy-to-handle approach to measuring the severity of reinsurance that faces a system of dependent claims, where the reinsurance contracts are of excess loss or proportional loss. The proposed approach is a natural generalization of common reinsurance methodologies providing a conservative framework that deals with the fundamental question of how much money should a government hold to prepare for natural or human-made extreme risk events that the government will cover? Although the ruin theory is commonly used for extreme risk events, we suggest a new risk measure to deal with such events in a new framework based on multivariate risk measures. We analyze the results for the log-elliptical model of dependent claims, which are commonly used in risk analysis, and illustrate our novel risk measure using a Monte Carlo simulation.
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Jobst, Andreas A. "Multivariate dependence of implied volatilities from equity options as measure of systemic risk". International Review of Financial Analysis 28 (junio de 2013): 112–29. http://dx.doi.org/10.1016/j.irfa.2013.01.005.
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Su, Jianxi y Edward Furman. "A FORM OF MULTIVARIATE PARETO DISTRIBUTION WITH APPLICATIONS TO FINANCIAL RISK MEASUREMENT". ASTIN Bulletin 47, n.º 1 (31 de agosto de 2016): 331–57. http://dx.doi.org/10.1017/asb.2016.22.
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AbstractA new multivariate distribution possessing arbitrarily parametrized and positively dependent univariate Pareto margins is introduced. Unlike the probability law of Asimitet al. (2010), the structure in this paper is absolutely continuous with respect to the corresponding Lebesgue measure. The distribution is of importance to actuaries through its connections to the popular frailty models, as well as because of the capacity to describe dependent heavy-tailed risks. The genesis of the new distribution is linked to a number of existing probability models, and useful characteristic results are proved. Expressions for, e.g., the decumulative distribution and probability density functions, (joint) moments and regressions are developed. The distributions of minima and maxima, as well as, some weighted risk measures are employed to exemplify possible applications of the distribution in insurance.
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Furman, Edward y Zinoviy Landsman. "Tail Variance Premium with Applications for Elliptical Portfolio of Risks". ASTIN Bulletin 36, n.º 02 (noviembre de 2006): 433–62. http://dx.doi.org/10.2143/ast.36.2.2017929.
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In this paper we consider the important circumstances involved when risk managers are concerned with risks that exceed a certain threshold. Such conditions are well-known to insurance professionals, for instance in the context of policies involving deductibles and reinsurance contracts. We propose a new premium called tail variance premium (TVP) which answers the demands of these circumstances. In addition, we suggest a number of risk measures associated with TVP. While the well-known tail conditional expectation risk measure provides a risk manager with information about the average of the tail of the loss distribution, tail variance risk measure (TV) estimates the variability along such a tail. Furthermore, given a multivariate setup, we offer a number of allocation techniques which preserve different desirable properties (sub-additivity and fulladditivity, for instance). We are able to derive explicit expressions for TV and TVP, and risk capital decomposition rules based on them, in the general framework of multivariate elliptical distributions. This class is very popular among actuaries and risk managers because it contains distributions with marginals whose tails are heavier than those of normal distributions. This distinctive feature is desirable when modeling financial datasets. Moreover, according to our results, in some cases there exists an optimal threshold, such that by choosing it, an insurance company minimizes its risk.
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Furman, Edward y Zinoviy Landsman. "Tail Variance Premium with Applications for Elliptical Portfolio of Risks". ASTIN Bulletin 36, n.º 2 (noviembre de 2006): 433–62. http://dx.doi.org/10.1017/s0515036100014586.
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In this paper we consider the important circumstances involved when risk managers are concerned with risks that exceed a certain threshold. Such conditions are well-known to insurance professionals, for instance in the context of policies involving deductibles and reinsurance contracts. We propose a new premium called tail variance premium (TVP) which answers the demands of these circumstances. In addition, we suggest a number of risk measures associated with TVP. While the well-known tail conditional expectation risk measure provides a risk manager with information about the average of the tail of the loss distribution, tail variance risk measure (TV) estimates the variability along such a tail. Furthermore, given a multivariate setup, we offer a number of allocation techniques which preserve different desirable properties (sub-additivity and fulladditivity, for instance). We are able to derive explicit expressions for TV and TVP, and risk capital decomposition rules based on them, in the general framework of multivariate elliptical distributions. This class is very popular among actuaries and risk managers because it contains distributions with marginals whose tails are heavier than those of normal distributions. This distinctive feature is desirable when modeling financial datasets. Moreover, according to our results, in some cases there exists an optimal threshold, such that by choosing it, an insurance company minimizes its risk.
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Xing, Guo-dong y Xiaoli Gan. "Asymptotic analysis of tail distortion risk measure under the framework of multivariate regular variation". Communications in Statistics - Theory and Methods 49, n.º 12 (12 de marzo de 2019): 2931–41. http://dx.doi.org/10.1080/03610926.2019.1584312.
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Gayen, Sneharthi. "A Measure of Downside Risk in Multivariate Setup with Application in Measuring Financial Stress". Sankhya B 78, n.º 2 (23 de marzo de 2016): 287–315. http://dx.doi.org/10.1007/s13571-016-0117-7.
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Zhou, Yicheng, Zhenzhou Lu, Yan Shi y Kai Cheng. "A vine copula–based method for analyzing the moment-independent importance measure of the multivariate output". Proceedings of the Institution of Mechanical Engineers, Part O: Journal of Risk and Reliability 233, n.º 3 (19 de junio de 2018): 338–54. http://dx.doi.org/10.1177/1748006x18781121.
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The moment-independent importance measure technique for exploring how uncertainty allocates from output to inputs has been widely used to help engineers estimate the degree of confidence of decision results and assess risks. Solving the Borgonovo moment-independent importance measure in the presence of the multivariate output is still a challenging problem due to “curse of dimensionality,” and it is investigated in this contribution. For easily estimating the moment-independent importance measure, a novel method based on the vine copula is proposed. In the proposed method for estimating moment-independent importance measure, three steps are included. First, the moment-independent importance measure is expressed as a product of bivariate copula density functions through the vine copula trees. Second, the marginal probability density functions are obtained by the maximum entropy under the constraint of the fractional moments. Finally, the post-processed is executed to directly estimate the moment-independent importance measure by estimated copula density functions. The proposed method can handle multivariate output easily. The results of several examples indicate the validity and benefits of the proposed method.
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Gündüz, Orhan, Ahmet Aslan, Vedat Ceyhan y Zeki Bayramoğlu. "Kuru Kayısı Tarımında Risk Yönetim Stratejisi Tercihlerini Etkileyen Faktörlerin Multivariate Probit Analizi". Turkish Journal of Agriculture - Food Science and Technology 8, n.º 11 (28 de noviembre de 2020): 2482–90. http://dx.doi.org/10.24925/turjaf.v8i11.2482-2490.3935.
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Dried apricot farms face many risks and uncertainties in Malatya, which is not only Turkey's but also the largest apricot production region in the world. Despite one of the major factors affecting farm efficiency, it was insufficient study on risk management in Malatya and even Turkey. The main purpose of the study was to measure the risk averse of dried apricot farms and to analyze of the factors affecting risk management strategies use of the dried apricot farms where an extensive production zone in Malatya. In the study, data collected from randomly selected 71 farms using questionnaires were used. The risk averse (attitude) coefficients of farmers were estimated by the “equally likely certainty equivalent” method. The factors affecting the risk management strategies choise were estimated using Multivariate Probit Model.
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Chen, Rongda, Ze Wang y Lean Yu. "Importance Sampling for Credit Portfolio Risk with Risk Factors Having t-Copula". International Journal of Information Technology & Decision Making 16, n.º 04 (17 de abril de 2017): 1101–24. http://dx.doi.org/10.1142/s0219622017500201.
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This paper proposes an efficient simulation method for calculating credit portfolio risk when risk factors have a heavy-tailed distributions. In modeling heavy tails, its features of return on underlying asset are captured by multivariate [Formula: see text]-Copula. Moreover, we develop a three-step importance sampling (IS) procedure in the [Formula: see text]-copula credit portfolio risk measure model for further variance reduction. Simultaneously, we apply the Levenberg–Marquardt algorithm associated with nonlinear optimization technique to solve the problem that estimates the mean-shift vector of the systematic risk factors after the probability measure change. Numerical results show that those methods developed in the [Formula: see text]-copula model can produce large variance reduction relative to the plain Monte Carlo method, to estimate more accurately tail probability of credit portfolio loss distribution.
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Mallam, Hassane Abba, Natatou Dodo Moutari, Barro Diakarya y Saley Bisso. "Extremal Copulas and Tail Dependence in Modeling Stochastic Financial Risk". European Journal of Pure and Applied Mathematics 14, n.º 3 (5 de agosto de 2021): 1057–81. http://dx.doi.org/10.29020/nybg.ejpam.v14i3.3951.
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These last years the stochastic modeling became essential in financial risk management related to the ownership and valuation of financial products such as assets, options and bonds. This paper presents a contribution to the modeling of stochastic risks in finance by using both extensions of tail dependence coefficients and extremal dependance structures based on copulas. In particular, we show that when the stochastic behavior of a set of risks can be modeled by a multivariate extremal process a corresponding form of the underlying copula describing theirdependence is determined. Moreover a new tail dependence measure is proposed and properties of this measure are established.
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Naz, Saba, Muhammad Ahsanuddin, Syed Inayatullah, Tanveer Ahmed Siddiqi y Muhammad Imtiaz. "Copula-Based Bivariate Flood Risk Assessment on Tarbela Dam, Pakistan". Hydrology 6, n.º 3 (30 de agosto de 2019): 79. http://dx.doi.org/10.3390/hydrology6030079.
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Flooding from the Indus river and its tributaries has regularly influenced the region of Pakistan. Therefore, in order to limit the misfortune brought about by these inevitable happenings, it requires taking measures to estimate the occurrence and effects of these events. The current study uses flood frequency analysis for the forecast of floods along the Indus river of Pakistan (Tarbela). The peak and volume are the characteristics of a flood that commonly depend on one another. For progressively proficient hazard investigation, a bivariate copula method is used to measure the peak and volume. A univariate analysis of flood data fails to capture the multivariate nature of these data. Copula is the most common technique used for a multivariate analysis of flood data. In this paper, four Archimedean copulas have been tried using the available information, and in light of graphical and measurable tests, the Gumbel Hougaard copula was found to be most appropriate for the data used in this paper. The primary (TAND, TOR), conditional and Kendall return periods have been also determined. The copula method was found to be a powerful method for the distribution of marginal variables. It also gives the Kendall return period for the multivariate analysis the consequences of flooding.
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HIDAYATI, HERLINA, KOMANG DHARMAWAN y I. WAYAN SUMARJAYA. "ESTIMASI NILAI CONDITIONAL VALUE AT RISK MENGGUNAKAN FUNGSI GAUSSIAN COPULA". E-Jurnal Matematika 4, n.º 4 (24 de noviembre de 2015): 188. http://dx.doi.org/10.24843/mtk.2015.v04.i04.p110.
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Copula is already widely used in financial assets, especially in risk management. It is due to the ability of copula, to capture the nonlinear dependence structure on multivariate assets. In addition, using copula function doesn’t require the assumption of normal distribution. There fore it is suitable to be applied to financial data. To manage a risk the necessary measurement tools can help mitigate the risks. One measure that can be used to measure risk is Value at Risk (VaR). Although VaR is very popular, it has several weaknesses. To overcome the weakness in VaR, an alternative risk measure called CVaR can be used. The porpose of this study is to estimate CVaR using Gaussian copula. The data we used are the closing price of Facebook and Twitter stocks. The results from the calculation using 90% confidence level showed that the risk that may be experienced is at 4,7%, for 95% confidence level it is at 6,1%, and for 99% confidence level it is at 10,6%.
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Ding, Rui y Stan Uryasev. "CoCDaR and mCoCDaR: New Approach for Measurement of Systemic Risk Contributions". Journal of Risk and Financial Management 13, n.º 11 (3 de noviembre de 2020): 270. http://dx.doi.org/10.3390/jrfm13110270.
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Systemic risk is the risk that the distress of one or more institutions trigger a collapse of the entire financial system. We extend CoVaR (value-at-risk conditioned on an institution) and CoCVaR (conditional value-at-risk conditioned on an institution) systemic risk contribution measures and propose a new CoCDaR (conditional drawdown-at-risk conditioned on an institution) measure based on drawdowns. This new measure accounts for consecutive negative returns of a security, while CoVaR and CoCVaR combine together negative returns from different time periods. For instance, ten 2% consecutive losses resulting in 20% drawdown will be noticed by CoCDaR, while CoVaR and CoCVaR are not sensitive to relatively small one period losses. The proposed measure provides insights for systemic risks under extreme stresses related to drawdowns. CoCDaR and its multivariate version, mCoCDaR, estimate an impact on big cumulative losses of the entire financial system caused by an individual firm’s distress. It can be used for ranking individual systemic risk contributions of financial institutions (banks). CoCDaR and mCoCDaR are computed with CVaR regression of drawdowns. Moreover, mCoCDaR can be used to estimate drawdowns of a security as a function of some other factors. For instance, we show how to perform fund drawdown style classification depending on drawdowns of indices. Case study results, data, and codes are posted on the web.
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Frees, Edward W., Xiaoli Jin y Xiao Lin. "Actuarial Applications of Multivariate Two-Part Regression Models". Annals of Actuarial Science 7, n.º 2 (2 de abril de 2013): 258–87. http://dx.doi.org/10.1017/s1748499512000346.
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AbstractThis paper synthesizes and extends the literature on multivariate two-part regression modelling, with an emphasis on actuarial applications. To illustrate the modelling, we use data from the US Medical Expenditure Panel Survey to explore expenditures that come in two parts. In the first part, zero expenditures correspond to no payments for health care services during a year. For the second part, a positive expenditure corresponds to the payment amount, a measure of utilization. Expenditures are multivariate, the five components being (i) office-based, (ii) hospital outpatient, (iii) emergency room, (iv) hospital inpatient, and (v) home health expenditures. Not surprisingly, there is a high degree of association among expenditure types and so we utilize models that account for these associations. These models include multivariate binary regressions for the payment type and generalized linear models with Gaussian copulas for payment amounts.As anticipated, the strong associations among expenditure types allow us to establish significant model differences on an in-sample basis. Despite these strong associations, we find that commonly used statistical measures perform similarly on a held-out validation sample. In contrast, out-of-sample risk measures used by actuaries reveal differences in the association among expenditure types.
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Mirsadeghpour Zoghi, S. M., M. Sanei, G. Tohidi, Sh Banihashemi y N. Modarresi. "The effect of underlying distribution of asset returns on efficiency in DEA models". Journal of Intelligent & Fuzzy Systems 40, n.º 5 (22 de abril de 2021): 10273–83. http://dx.doi.org/10.3233/jifs-202332.
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According to modern finance theory and increasing need for efficient investments, we evaluate the portfolio performance based on the data envelopment analysis method. By the fact that stock market’s return distributions usually exhibit skewness, kurtosis and heavy-tails, we consider some appropriate underlying distributions that affect the input and output of the model. In this regard, the multivariate skewed t and the multivariate generalized hyperbolic as the heavy-tailed distributions of Normal mean-variance mixture are applied. The models are inspired by the Range Directional Measure (RDM) model to deal with negative values. The value-at-risk (VaR) and conditional VaR (CVaR) as risk measures are used in these optimization problems. We estimate the parameters of such distributions by Expectation Maximization algorithm. Then we present an empirical investigation to measure the relative efficiency of two sets of seven groups of companies from different industries of Iran stock exchange market. By comparing the results of introduced models with previous RDM approach, we show that how well the distribution of assets affect the performance evaluation.
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Cheng, Yuyang, Marcos Escobar-Anel y Zhenxian Gong. "Generalized Mean-Reverting 4/2 Factor Model". Journal of Risk and Financial Management 12, n.º 4 (8 de octubre de 2019): 159. http://dx.doi.org/10.3390/jrfm12040159.
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This paper proposes and investigates a multivariate 4/2 Factor Model. The name 4/2 comes from the superposition of a CIR term and a 3/2-model component. Our model goes multidimensional along the lines of a principal component and factor covariance decomposition. We find conditions for well-defined changes of measure and we also find two key characteristic functions in closed-form, which help with pricing and risk measure calculations. In a numerical example, we demonstrate the significant impact of the newly added 3/2 component (parameter b) and the common factor (a), both with respect to changes on the implied volatility surface (up to 100%) and on two risk measures: value at risk and expected shortfall where an increase of up to 29% was detected.
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Crosby, Richard A., Ralph J. DiClemente, Gina M. Wingood, Laura F. Salazar, Sara Head, Eve Rose y Jessica McDermott-Sales. "Sexual agency versus relational factors: a study of condom use antecedents among high-risk young African American women". Sexual Health 5, n.º 1 (2008): 41. http://dx.doi.org/10.1071/sh07046.
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Background: The influence that female partners exert regarding condom use is not well known. In the present study, the relative roles of personal sexual agency and relational factors in determining whether young African American women engaged in unprotected vaginal sex (UVS) were studied. Methods: A cross sectional study of 713 young, African American women (aged 15–21 years) was conducted. Data were collected using an audio-computer assisted self-interview. Three measures of sexual agency were assessed and three relational factors were assessed. To help assure validity in the outcome measure, condom use was assessed in five different ways. Multivariate analyses were used to determine whether variables independently predicted UVS. Results: Two of the six predictor variables achieved multivariate significance with all five measures of condom use: (1) fear of negotiating condom use with male partners, and (2) indicating that stopping to use condoms takes the fun out of sex. A relational factor (male-dominated power imbalances) achieved multivariate significance for four of the five measures of UVS. A sexual agency factor (whether young women greatly enjoyed sex) achieved multivariate significance for three of the five measures. Conclusion: The results suggest that young African American women at high-risk of sexually transmissible infections (STI)/HIV acquisition may experience male-dominated power imbalances and also fear the process of negotiating condom use with their male partners. Although these factors were independently associated with UVS, two factors pertaining to sexual agency of these young women were also important predictors of UVS. Intervention efforts designed to avert STI/HIV acquisition among young African American women should therefore include programs to address both sexual agency and relational factors.
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Xing, Guodong y Shanchao Yang. "First and Second Order Asymptotics of the Spectral Risk Measure for Portfolio Loss Under Multivariate Regular Variation". Journal of Systems Science and Complexity 33, n.º 5 (4 de agosto de 2020): 1533–44. http://dx.doi.org/10.1007/s11424-020-8037-z.
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Xing, Guo-dong, Xiaohu Li y Shanchao Yang. "Second-order asymptotics of tail distortion risk measure for portfolio loss in the multivariate regularly varying model". Communications in Statistics - Simulation and Computation 49, n.º 2 (4 de diciembre de 2018): 491–503. http://dx.doi.org/10.1080/03610918.2018.1485945.
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Temple, Norman. "The possible importance of income and education as covariates in cohort studies that investigate the relationship between diet and disease". F1000Research 4 (18 de mayo de 2016): 690. http://dx.doi.org/10.12688/f1000research.6929.2.
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Background: Many cohort studies have been carried out that have provided information on the relationship between diet and health-related outcomes. Omission of important covariates during multivariate analysis may give rise to error due to residual confounding. A possibly important covariate is socioeconomic status (SES) as this is related to both diet and health. Objective: To determine the frequency with which different measures of SES are included as covariates during multivariate analysis of cohort studies that investigated the relationship between diet and health. Methodology: An analysis was carried out of 76 randomly selected papers from 66 cohort studies. The papers covered many dietary variables and a wide variety of diseases/health-related outcomes. The cohort studies were carried out in many different locations and the subjects varied widely in age. Results: Approximately two-thirds of the papers (65.8%) used at least one measure of SES as a covariate. Education was used most often (60.5% of papers), followed by income (14.4%) and social class (2.6%). More than one measure of SES was used in 11.8% of papers. Conclusions: Failure to include income (or another measure of present SES, such as occupation) may be a common source of error in cohort studies. Over-reliance on education may be particularly important as it is likely to be a weaker measure of present SES than is income. There is a need for more research on this question. SES in childhood is almost never included in multivariate analysis in cohort studies carried out on adults. This could also play a significant role in disease risk in middle age or later. Very little is known regarding whether this is also a source of residual confounding.
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Jowhari, Fahd, Wilma Hopman y Lawrence Hookey. "A simple ergonomic measure reduces fluoroscopy time during ERCP: A multivariate analysis". Endoscopy International Open 05, n.º 03 (marzo de 2017): E172—E178. http://dx.doi.org/10.1055/s-0043-102934.
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Abstract Background and study aims Endoscopic retrograde cholangiopancreatgraphy (ERCP) carries a radiation risk to patients undergoing the procedure and the team performing it. Fluoroscopy time (FT) has been shown to have a linear relationship with radiation exposure during ERCP. Recent modifications to our ERCP suite design were felt to impact fluoroscopy time and ergonomics. This multivariate analysis was therefore undertaken to investigate these effects, and to identify and validate various clinical, procedural and ergonomic factors influencing the total fluoroscopy time during ERCP. This would better assist clinicians with predicting prolonged fluoroscopic durations and to undertake relevant precautions accordingly. Patients and methods A retrospective analysis of 299 ERCPs performed by 4 endoscopists over an 18-month period, at a single tertiary care center was conducted. All inpatients/outpatients (121 males, 178 females) undergoing ERCP for any clinical indication from January 2012 to June 2013 in the chosen ERCP suite were included in the study. Various predetermined clinical, procedural and ergonomic factors were obtained via chart review. Univariate analyses identified factors to be included in the multivariate regression model with FT as the dependent variable. Results Bringing the endoscopy and fluoroscopy screens next to each other was associated with a significantly lesser FT than when the screens were separated further (–1.4 min, P = 0.026). Other significant factors associated with a prolonged FT included having a prior ERCP (+ 1.4 min, P = 0.031), and more difficult procedures (+ 4.2 min for each level of difficulty, P < 0.001). ERCPs performed by high-volume endoscopists used lesser FT vs. low-volume endoscopists (–1.82, P = 0.015). Conclusions Our study has identified and validated various factors that affect the total fluoroscopy time during ERCP. This is the first study to show that decreasing the distance between the endoscopy and fluoroscopy screens in the ERCP suite significantly reduces the total fluoroscopy time, and therefore radiation exposure to patients and staff involved in the procedure.
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Song, Quanrui, Jianxu Liu y Songsak Sriboonchitta. "Risk Measurement of Stock Markets in BRICS, G7, and G20: Vine Copulas versus Factor Copulas". Mathematics 7, n.º 3 (18 de marzo de 2019): 274. http://dx.doi.org/10.3390/math7030274.
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Multivariate copulas have been widely used to handle risk in the financial market. This paper aimed to adopt two novel multivariate copulas, Vine copulas and Factor copulas, to measure and compare the financial risks of the emerging economy, developed economy, and global economy. In this paper, we used data from three groups (BRICS, which stands for emerging markets, specifically, those of Brazil, Russia, India, China, and South Africa; G7, which refers to developed countries; and G20, which represents the global market), separated into three periods (pre-crisis, crisis, and post-crisis) and weighed Value at Risk (VaR) and Expected Shortfall (ES) (based on their market capitalization) to compare among three copulas, C-Vine, D-Vine, and Factor copulas. Also, real financial data demonstrated that Factor copulas have stronger stability and perform better than the other two copulas in high-dimensional data. Moreover, we showed that BRICS has the highest risk and G20 has the lowest risk of the three groups.
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Biagini, Francesca y Sascha Ulmer. "Asymptotics for Operational Risk Quantified with Expected Shortfall". ASTIN Bulletin 39, n.º 2 (noviembre de 2009): 735–52. http://dx.doi.org/10.2143/ast.39.2.2044656.
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AbstractIn this paper we estimate operational risk by using the convex risk measure Expected Shortfall (ES) and provide an approximation as the confidence level converges to 100% in the univariate case. Then we extend this approach to the multivariate case, where we represent the dependence structure by using a Lévy copula as in Böcker and Klüppelberg (2006) and Böcker and Klüppelberg, C. (2008). We compare our results to the ones obtained in Böcker and Klüppelberg (2006) and (2008) for Operational VaR and discuss their practical relevance.
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TASSINARI, GIAN LUCA y MICHELE LEONARDO BIANCHI. "CALIBRATING THE SMILE WITH MULTIVARIATE TIME-CHANGED BROWNIAN MOTION AND THE ESSCHER TRANSFORM". International Journal of Theoretical and Applied Finance 17, n.º 04 (junio de 2014): 1450023. http://dx.doi.org/10.1142/s021902491450023x.
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In this study, we investigate two multivariate time-changed Brownian motion option pricing models in which the connection between the historical measure P and the risk-neutral measure Q is given by the Esscher transform. The models incorporate skewness, kurtosis and more complex dependence structures among stocks log-returns than the simple correlation matrix. The two models can be seen as a multivariate extension of the normal inverse Gaussian (NIG) model and the variance gamma (VG) model, respectively. We discuss two possible approaches to estimate historical asset returns and calibrate univariate option implied volatilities. While the first approach considers only time series of log-returns, the second approach makes use of both time series of log-returns and univariate observed volatility surfaces. To calibrate the models, there is no need of liquid multivariate derivative quotes.
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Fernández, Julián. "Measuring market risk for an agricultural exporter firm: a Copula approach". Academia Revista Latinoamericana de Administración 30, n.º 1 (6 de marzo de 2017): 72–86. http://dx.doi.org/10.1108/arla-09-2015-0254.
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Purpose The purpose of this paper is to analyse the effect of market risk on the revenues perceived by an agricultural producer, namely, a coffee exporter firm. Design/methodology/approach To model this risk, copula models and extreme value theory are used to perform more robust estimations, which take into account the multivariate dependence between the risk factors. As a final point, different quantitative measures of risk, such as the value at risk and the expected shortfall, are estimated as an indicator of the maximum expected loss. Findings One of the principal findings is that for an agricultural exporter firm, there is an optimal decision between exporting to another country and selling the commodity in the national market. The choice regarding the levels exported will determine the firm’s amount of risk and expected return. Research limitations/implications One of the limitations found in modelling the risk/return of the firm is the data. Not much data on the structure of the firm can be found, and many of the firms are averse to providing such information. Practical implications The purpose of the paper is to create a measure of risk to analyse the future of the firm, generating a measure of expected risk and return that takes into account the uncertainty of the future. The applications can be applied to measure the risk of a potential investment and real option valuation. Originality/value This paper applied multiple coherent measures of financial risk to an agricultural commodity exporter firm. This can be novel, especially in the context of a non-financial firm.
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Botai, Christina M., Joel O. Botai, Abiodun M. Adeola, Jaco P. de Wit, Katlego P. Ncongwane y Nosipho N. Zwane. "Drought Risk Analysis in the Eastern Cape Province of South Africa: The Copula Lens". Water 12, n.º 7 (8 de julio de 2020): 1938. http://dx.doi.org/10.3390/w12071938.
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This research study was carried out to investigate the characteristics of drought based on the joint distribution of two dependent variables, the duration and severity, in the Eastern Cape Province, South Africa. The drought variables were computed from the Standardized Precipitation Index for 6- and 12-month accumulation period (hereafter SPI-6 and SPI-12) time series calculated from the monthly rainfall data spanning the last five decades. In this context, the characteristics of climatological drought duration and severity were based on multivariate copula analysis. Five copula functions (from the Archimedean and Elliptical families) were selected and fitted to the drought duration and severity series in order to assess the dependency measure of the two variables. In addition, Joe and Gaussian copula functions were considered and fitted to the drought duration and severity to assess the joint return periods for the dual and cooperative cases. The results indicate that the dependency measure of drought duration and severity are best described by Tawn copula families. The dependence structure results suggest that the study area exhibited low probability of drought duration and high probability of drought severity. Furthermore, the multivariate return period for the dual case is found to be always longer across all the selected univariate return periods. Based on multivariate analysis, the study area (particularly Buffalo City, OR Tambo and Alfred Zoo regions) is determined to have higher/lower risks in terms of the conjunctive/cooperative multivariate drought risk (copula) probability index. The results of the present study could contribute towards policy and decision making through e.g., formulation of the forward-looking contingent plans for sustainable management of water resources and the consequent applications in the preparedness for and adaptation to the drought risks in the water-linked sectors of the economy.
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SUKCHAROEN, KUNLAPATH y DAVID LEATHAM. "MEAN-VARIANCE VERSUS MEAN–EXPECTED SHORTFALL MODELS: AN APPLICATION TO WHEAT VARIETY SELECTION". Journal of Agricultural and Applied Economics 48, n.º 2 (mayo de 2016): 148–72. http://dx.doi.org/10.1017/aae.2016.8.
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AbstractOne of the most popular risk management strategies for wheat producers is varietal diversification. Previous studies proposed a mean-variance model as a tool to optimally select wheat varieties. However, this study suggests that the mean–expected shortfall (ES) model (which is based on a downside risk measure) may be a better tool because variance is not a correct risk measure when the distribution of wheat variety yields is multivariate nonnormal. Results based on data from Texas Blacklands confirm our conjecture that the mean-ES framework performs better in term of selecting wheat varieties than the mean-variance method.
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Levasseur, Oona, Mark R. McDermott y Kathryn D. Lafreniere. "The Multidimensional Mortality Awareness Measure and Model". OMEGA - Journal of Death and Dying 70, n.º 3 (febrero de 2015): 317–41. http://dx.doi.org/10.1177/0030222815569440.
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For each of eight literature-identified conceptual dimensions of mortality awareness, questionnaire items were generated, producing 89 in all. A total of 359 participants responded to these items and to questionnaires measuring health attitudes, risk taking, rebelliousness, and demographic variables. Multivariate correlational analyses investigated the underlying structure of the item pool and the construct validity as well as the reliability of the emergent empirically derived subscales. Five components, rather than eight, were identified. Given the item content of each, the associated mortality awareness subscales were labeled as legacy, fearfulness, acceptance, disempowerment, and disengagement. Each attained an acceptable level of internal reliability. Relationships with other variables supported the construct validity of these empirically derived subscales and more generally of this five-factor model. In conclusion, this new multidimensional measure and model of mortality awareness extends our understanding of this important aspect of human existence and supports a more integrative and optimistic approach to mortality awareness than previously available.
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Indriyati, Leli Hesti, Gea Pandhita S, Nurhayati Anis y Anna Suraya. "Predictive measure for Ischemic Heart Disease among Workers in Jakarta, Indonesia". Jurnal Kedokteran Brawijaya 31, n.º 4 (31 de agosto de 2021): 8. http://dx.doi.org/10.21776/ub.jkb.2021.031.04.8.
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<p>Ischemic Heart Disease (IHD) is one of the leading causes of morbidity and mortality in many countries, including Indonesia. Therefore, cardiovascular risk-prediction models are required in clinical practice for early detection in high-risk populations, including the worker population. This study intends to develop a predictive risk measure for early detection of IHD incidences among employees in Jakarta, Indonesia. Source of data was the database of 4,100 medical check-up (MCU) results of employees and entrepreneurs in Jakarta and surrounding areas in January to October 2019. Multivariate analysis showed that being aged >40 years (p=0.000; OR=5.329 (95% CI 2.621-10.833)), having a history of dyspnea (p=0.000; OR=5.699 (95% CI 2.524-12.871)), smoking (p=0.048; OR=2.007 (95% CI 1.924-4.359)) and HDL<50 mg/dL (p=0.049; OR=1.811 (95% CI 1.099-3.281)) were all good predictors to detect IHD in the worker population. The combination of these predictors results with a cut-off point of 2.5, showed accuracy (79.2% sensitivity and 66.3% specificity). Workers who have a score >2.5 are at high risk of developing IHD in the future. This scoring system can be used by workers or companies to take early preventive measures.</p>
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Rojas-Giménez, Marta, Clementina López-Medina, María Lourdes Ladehesa-Pineda, María Ángeles Puche-Larrubia, Ignacio Gómez-García, Jerusalem Calvo-Gutiérrez, Pedro Seguí-Azpilcueta et al. "Subclinical Atherosclerosis Measure by Carotid Ultrasound and Inflammatory Activity in Patients with Rheumatoid Arthritis and Spondylarthritis". Journal of Clinical Medicine 11, n.º 3 (27 de enero de 2022): 662. http://dx.doi.org/10.3390/jcm11030662.
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Objective: To compare the effect of inflammation on subclinical atherosclerosis using carotid ultrasound in patients with rheumatoid arthritis (RA) and spondyloarthritis (SpA). Methods: Cross-sectional study including 347 participants (148 RA, 159 SpA, and 40 controls). We measured the carotid intima media thickness (cIMT) and detection of atheromatous plaques using carotid ultrasound. We recorded disease activity (DAS28-CRP/ASDAS-CRP) and traditional cardiovascular risk factors. We performed descriptive, bivariate, and linear multivariate analyses (dependent variable: cIMT) to evaluate the influence of diagnosis on cIMT in all patients. Two additional multivariate analyses were performed by stratifying patients according to their inflammatory activity. Results: cIMT correlated with the mean CRP during the previous 5 years in RA, but not with CRP at the cut-off date. We did not find such differences in patients with SpA. The first multivariate model revealed that increased cIMT was more common in patients with RA than in those with SpA (β coefficient, 0.045; 95% confidence interval (95% CI), 0.0002–0.09; p = 0.048) after adjusting for age, sex, disease course, and differential cardiovascular risk factors (arterial hypertension, smoking, statins, and corticosteroids). The second model revealed no differences in cIMT between the 2 groups of patients classified as remission–low activity (β coefficient, 0.020; 95% CI, −0.03 to 0.080; p = 0.500). However, when only patients with moderate–high disease activity were analysed, the cIMT was 0.112 mm greater in those with RA (95% CI, 0.013–0.212; p = 0.026) than in those with SpA after adjusting for the same variables. Conclusions: Subclinical atherosclerosis measured by carotid ultrasound in patients with RA and SpA is comparable when the disease is well controlled. However, when patients have moderate–high disease activity, cIMT is greater in patients with RA than in those with SpA after adjusting for age, sex, disease course, and cardiovascular risk factors. Our results point to greater involvement of disease activity in subclinical atherosclerosis in patients with RA than in those with SpA.
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Gehrig, Thomas y Maria Chiara Iannino. "Capital regulation and systemic risk in the insurance sector". Journal of Financial Economic Policy 10, n.º 2 (8 de mayo de 2018): 237–63. http://dx.doi.org/10.1108/jfep-11-2017-0105.
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Purpose This paper aims to analyze systemic risk in and the effect of capital regulation on the European insurance sector. In particular, the evolution of an exposure measure (SRISK) and a contribution measure (Delta CoVaR) are analyzed from 1985 to 2016. Design/methodology/approach With the help of multivariate regressions, the main drivers of systemic risk are identified. Findings The paper finds an increasing degree of interconnectedness between banks and insurance that correlates with systemic risk exposure. Interconnectedness peaks during periods of crisis but has a long-term influence also during normal times. Moreover, the paper finds that the insurance sector was greatly affected by spillovers from the process of capital regulation in banking. While European insurance companies initially at the start of the Basel process of capital regulation were well capitalized according to the SRISK measure, they started to become capital deficient after the implementation of the model-based approach in banking with increasing speed thereafter. Practical implications These findings are highly relevant for the ongoing global process of capital regulation in the insurance sector and potential reforms of Solvency II. Systemic risk is a leading threat to the stability of the global financial system and keeping it under control is a main challenge for policymakers and supervisors. Originality/value This paper provides novel tools for supervisors to monitor risk exposures in the insurance sector while taking into account systemic feedback from the financial system and the banking sector in particular. These tools also allow an evidence-based policy evaluation of regulatory measures such as Solvency II.
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Maidl, E. y M. Buchecker. "Raising risk preparedness by flood risk communication". Natural Hazards and Earth System Sciences 15, n.º 7 (18 de julio de 2015): 1577–95. http://dx.doi.org/10.5194/nhess-15-1577-2015.
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Abstract. During the last decade, most European countries have produced hazard maps of natural hazards, but little is known about how to communicate these maps most efficiently to the public. In October 2011, Zurich's local authorities informed owners of buildings located in the urban flood hazard zone about potential flood damage, the probability of flood events and protection measures. The campaign was based on the assumptions that informing citizens increases their risk awareness and that citizens who are aware of risks are more likely to undertake actions to protect themselves and their property. This study is intended as a contribution to better understand the factors that influence flood risk preparedness, with a special focus on the effects of such a one-way risk communication strategy. We conducted a standardized mail survey of 1500 property owners in the hazard zones in Zurich (response rate main survey: 34 %). The questionnaire included items to measure respondents' risk awareness, risk preparedness, flood experience, information-seeking behaviour, knowledge about flood risk, evaluation of the information material, risk acceptance, attachment to the property and trust in local authorities. Data about the type of property and socio-demographic variables were also collected. Multivariate data analysis revealed that the average level of risk awareness and preparedness was low, but the results confirmed that the campaign had a statistically significant effect on the level of preparedness. The main influencing factors on the intention to prepare for a flood were the extent to which respondents evaluated the information material positively as well as their risk awareness. Respondents who had never taken any previous interest in floods were less likely to read the material. For future campaigns, we therefore recommend repeated communication that is tailored to the information needs of the target population.
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Sun, Kai, Mingwei Xu, Xiaowei Fei, Hao Wang, Lunshan Xu, Ruxiang Xu y Minhui Xu. "Prediction of Cancer-Specific Survival of Brainstem Glioma in Children Based on Risk Stratification Model". Computational and Mathematical Methods in Medicine 2022 (20 de julio de 2022): 1–9. http://dx.doi.org/10.1155/2022/3436631.
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Objective. To develop and authenticate a risk stratification framework and nomogram for ascertaining cancer-specific survival (CSS) among the pediatric brainstem gliomas. Methods. For patients less than 12 years, according to Surveillance, Epidemiology, and End Results (SEER), information from 1998 to 2016 is found in their databases. The survival outcomes, treatments, and demographic clinicopathologic conditions are scrutinized per the database validation, and training cohorts are divided and validated using multivariate Cox regression analysis. A nomogram was designed, and predominantly, the risk stratification conceptualization engaged selected tenets according to the multivariate analysis. The model’s authenticity was substantiated through C-index measure and calibration curves. Results. There are 806 pediatric concerns of histologically concluded brainstem glioma in the research. According to multivariate analysis, age, grade, radiotherapy, and race (with P value < 0.05) depicted independent prognostic variations of the pediatric gliomas. The nomogram’s C-index was approximately 0.75 and an accompanied predictive capability for CSS. Conclusion. The nomogram constructed in this glioma’s context is the primary predictor of using risk stratification. A combination of nomograms with the risk stratification mechanism assists clinicians in monitoring high-risk individuals and engage targeted accessory treatment.
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Billig, Ana Lucia Becker Vieira, Maria Claudia Irigoyen y Silvia Goldmeier. "Hypertension and associated risk factors: a study among professional nursing". Revista de Enfermagem UFPE on line 5, n.º 6 (3 de julio de 2011): 1374. http://dx.doi.org/10.5205/reuol.1262-12560-1-le.0506201109.
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ABSTRACTObjective: to identify the prevalence of hypertension and risk factors (RF) associated in nurses and nursing technicians in a general hospital, combining the results of the professions, shifts and working places. Methodology: this is about a cross-sectional study with two hundred professionals. It was applied a structured questionnaire, measure the stress (ISMA) and the measurements of BP, BMI and WC. Results: the mean age was 32,9 ± 8,9 , females 85.5%, white 91.5% and hypertension of 34%. For the multivariate model, factors associated with hypertension were the night shift, the age, the sex, the obesity, and the nursing profession. Conclusion: a rolling program of health education and a institution’s policy focused on prevention of risk factors should be adopted. For being a young population more sensitive as other measures of HRV measure is needed to refine results to be adopted by the institution because it is a young population and more sensitive measures of HRV as a measure is needed to refine results. Descriptors: hypertension; risk factors; nursing team.RESUMOObjetivo: identificar a prevalência de HAS e fatores de riscos (FR) associados em enfermeiros e técnicos de enfermagem em um Hospital geral, associando os resultados entre as profissões, turnos e locais de trabalho. Metodologia: trata-se de um estudo transversal com duzentos profissionais de enfermagem. Foi aplicado um questionário estruturado além de um inquérito para mensurar o stress (ISMA), a PA, o IMC e a CC. Resultados: a idade foi de 32,9 ± 8,9, do sexo feminino 85,5%, raça branca 91,5% e a HAS foi de 34%. Pelo modelo multivariado, o turno noturno, a idade,o sexo, a obesidade e os enfermeiros estavam associados com hipertensão. Conclusão: um programa continuado de educação em saúde e uma política da instituição enfocando a prevenção aos fatores de risco deverá ser adotada. Por tratar-se de uma população jovem outras medidas mais sensíveis como medida da VFC são necessárias para refinar resultados. Descritores: hipertensão; fatores de risco; equipe de enfermagem.RESUMENObjetivos: determinar la prevalencia de la hipertensión y factores de riesgo (FR) asociados en enfermeros y profesionales de enfermería en un Hospital General, combinando los resultados entre las profesiones, los turnos y lugares de trabajo. Metodología: estudio transversal compuesto de dos centenares de profesionales. Se aplicó un cuestionario estructurado, una encuesta para medir el estrés (ISMA) y la medición de la PA, el IMC y la CC. Resultados: edade 32,9 ± 8,9 mujeres (85,5%), los blancos (91,5%) y la HAS del 34%. Para el modelo multivariado, los factores asociados con la hipertensión fueron el turno de la noche, la edad, el sexo, la obesidad y la profesión de enfermero. Conclusión: un programa permanente de educación para la salud y una política de la institución dirigida a la prevención de factores de riesgo ha de ser adoptada. Por ser una población joven, otras medidas más sensibles de medida como la VFC se necesita para perfeccionar los resultados. Descriptores: hipertensión arterial; factores de riesgo; equipo de enfermería.
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PAN, XIA. "THE LINEAR DEPENDENCE AND FEEDBACK SPECTRA BETWEEN STOCK MARKET AND ECONOMY". International Journal of Theoretical and Applied Finance 10, n.º 03 (mayo de 2007): 437–47. http://dx.doi.org/10.1142/s0219024907004305.
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Geweke studied the measure of linear dependence and spectral feedback for grouped multivariate time series. This paper applies the measure of linear dependence and spectral feedback to examining the relationship between grouped variables of economy and stock market indices. Putting economic variables into one group and stock market variables into another, we examine the between-group relationship within the US, within Japan, and within the European Union. Using a self-developed computing program, the feedback spectra for grouped variables are calculated and displayed. Although risk might exist in that the significance levels for test may not be reliable because the feedback spectra are measured on possibly nonstationary variables in level, the patterns of the feedback spectra still provide information about the cyclical effect between the variable groups.