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Littérature scientifique sur le sujet « Valle at risk »

Auteur : Grafiati

Publié le 10 mars 2023

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Articles de revues sur le sujet "Valle at risk"

Calvache, Sorany, Lizeth Chazatar, Eliana Jiménez, Rosario Quiñónes, Milena Galvis et Sandra Moreno. « Risk Factors associated to BURNOUT Sindrome in dentistry students from University of Valle ». Revista Estomatología 21, n^o 1 (29 septembre 2017) : 7–11. http://dx.doi.org/10.25100/re.v21i1.5752.

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SUMMARYObjective: To determine the risk factorspredisposing to burnout syndrome instudents from Dentistry Program at theUniversity of Valle.Materials and Methods: In this cross-sectional study were enrolled 90 studentsin the period from February to June 2012in the academic program of Dentistry fromthe Universidad del Valle, who attend third,fourth and fifth year. The test Maslach BurnoutInventory (MBI) was applied whichconsists of 22 items with 7 response optionscorresponding to three basic dimensions ofburnout syndrome, emotional exhaustion(AE), depersonalization (D) and reducedpersonal or professional accomplishment(BR). Chi2 test were run for each of thefactors and Kruscal Wallis and ANOVAwere also applied.Results: The fifth graders scored an averageof 5.60 on a scale of depersonalization(D), which was statistically significant,indicating that there is a risk factor presentin this group of students. In this dimensionof depersonalization, values were lowerfor levels 1, 2, 3 and 6 but there was nostatistically significant differences betweenthem. Given the sub-scale of emotionalexhaustion (AE) the highest values wereassociated with socio-economic levels 3,4 and 5.Conclusions: Our results show that the academicload can be a predisposing factor thatimpacts mainly on the depersonalizationand manifests itself at the end of college.Socioeconomic variables, family environment,age, or spend a certain semesterdo not constitute specific risk factors fordevelopment of the syndrome. Key words: Burnout syndrome, emotionalexhaustion, depersonalization, personalaccomplishment.

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Interdonato, Monica, Alessandra Bitto, Gabriele Pizzino, Natasha Irrera, Giovanni Pallio, Anna Mecchio, Antonino Cuspilici, Letteria Minutoli, Domenica Altavilla et Francesco Squadrito. « Levels of Heavy Metals in Adolescents Living in the Industrialised Area of Milazzo-Valle del Mela (Northern Sicily) ». Journal of Environmental and Public Health 2014 (2014) : 1–9. http://dx.doi.org/10.1155/2014/326845.

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In the Milazzo-Valle del Mela area, the presence of industrial plants and the oil refinery make local residents concerned for their health. For this reason, we evaluated the levels of heavy metals in 226 children aged 12–14 years, living in the 7 municipalities of the area. A control age-matched population(n=29)living 45 km far from the industrial site was also enrolled. Arsenic, cadmium, chromium, mercury, nickel, and vanadium were analysed in 24 h urine samples, while lead concentration was evaluated in blood samples. A questionnaire regarding life style and risk perception was also administered. Adolescents from Milazzo-Valle del Mela had cadmium levels significantly higher compared to either controls (P<0.0001)or the reference values of the European Germany Environmental Survey (GerES-IV) and the American National Health and Nutrition Examination Survey (NHANES). Furthermore, children had higher perception of living in a high-risk environment. The present data, for the first time, clearly indicate that adolescents living in Milazzo-Valle del Mela have increased body concentration of cadmium, which may be harmful to human health. These results deserve particular attention by the local and regional government to initiate prevention programmes in this susceptible population.

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Gorini, Francesca, Elisa Bustaffa, Davide Bolignano, Liliana Cori, Francesco Faita, Amalia Gastaldelli, Monica Interdonato et al. « Biomarkers of exposure and early effect in three contaminated sites of southern Italy : protocols for etiological epidemiological studies ». BMJ Open 10, n^o 5 (mai 2020) : e036160. http://dx.doi.org/10.1136/bmjopen-2019-036160.

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IntroductionEnvironmental pollution has been progressively becoming one of the main risk factors to human diseases. In particular, populations living in high-contaminated sites are particularly exposed to environmental toxicants, with consequent increased risks to human health. In Italy, there are currently ongoing three epidemiological etiological studies aimed at evaluating the association between exposure to inorganic and organic chemicals and presence of biological markers of early effects in population living in three National Priority Contaminated Sites (NPCSs). Specifically, the correlations concern preclinical indicators of liver disease in Priolo NPCS, thyroid diseases in Milazzo-Valle del Mela NPCS and cardiovascular risk and kidney damage in Crotone NPCS.Methods and analysisOverall, approximately 1300 subjects of both sexes will be enrolled in the three NPCSs according to specific inclusion criteria. For each subject, serum and urine specimens are collected, on which the determination of biological markers of exposure and early effects for the selected outcomes are performed. Individual information on environmental and occupational exposure, medical history, diet and life habits is obtained through questionnaires provided by web platform. In Milazzo-Valle del Mela and Crotone NPCSs, not invasive instrumental and imaging examinations are performed in order to evaluate further risk factors of thyroid carcinoma and cardiovascular disease, respectively.Ethics and disseminationThe protocol studies have been approved by the Ethics Committees responsible for the three involved NPCSs: the Ethics Committee ‘Catania 2’ for the NPCS of Priolo (21 July 2017, n. 500/2017/CECT2), the Ethics Committee of the University Hospitals of Messina for the NPCS of Milazzo-Valle del Mela (19 February 2018, n.2/2018); the Ethics Committee of the Region of Calabria for the NPCS of Crotone (20 July 2017, n. 174). Results will be disseminated among policy-makers, citizens, stakeholders and scientific community through the organisation of conferences and events, and the publication on international peer/reviewed journals.

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Ratto, Sara, Franco Bonetto et Claudio Comoglio. « The October 2000 flooding in Valle d'Aosta (Italy) : Event description and land planning measures for the risk mitigation ». International Journal of River Basin Management 1, n^o 2 (juin 2003) : 105–16. http://dx.doi.org/10.1080/15715124.2003.9635197.

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BERNALTE, M. JOSEFA, M. TERESA HERNÁNDEZ, M. CARMEN VIDAL-ARAGÓN et EDUARDO SABIO. « PHYSICAL, CHEMICAL, FLAVOR AND SENSORY CHARACTERISTICS OF TWO SWEET CHERRY VARIETIES GROWN IN 'VALLE DEL JERTE' (SPAIN) ». Journal of Food Quality 22, n^o 4 (octobre 1999) : 403–16. http://dx.doi.org/10.1111/j.1745-4557.1999.tb00173.x.

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Vicedo-Cabrera, Ana M., Dolores Catelan, Laura Grisotto, Franca Rusconi, Neil Pearce, Fabio Barbone et Annibale Biggeri. « Respiratory disorders and air pollution in children living in the High Risk Area of Milazzo – Valle del Mela (Sicily). » ISEE Conference Abstracts 2013, n^o 1 (19 septembre 2013) : 3903. http://dx.doi.org/10.1289/isee.2013.p-1-05-32.

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Peña-Quistial, Magda Gileydi, Javier Antonio Benavides-Montaño, Nestor Javier Roncancio Duque et Gerardo Alejandro Benavides-Montaño. « Prevalence and associated risk factors of Intestinal parasites in rural high-mountain communities of the Valle del Cauca—Colombia ». PLOS Neglected Tropical Diseases 14, n^o 10 (9 octobre 2020) : e0008734. http://dx.doi.org/10.1371/journal.pntd.0008734.

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Byczkowska, Katarzyna. « Katz Frailty Syndrom has no Predictive Value in Low-Risk Patients Undergoing Transcatheter Aortic Valve Implantation ». Clinical Cardiology and Cardiovascular Interventions 04, n^o 16 (12 octobre 2021) : 01–08. http://dx.doi.org/10.31579/2641-0419/227.

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Background: Aortic stenosis is a disease of the elderly people, with multiple comorbidities and often with the frailty syndrome. Therefore, we decided that frailty as a clinical factor requires precise characterization as it is a valuable supplement to the risk stratification in transcatheter aortic Valve implantation (TAVI). Objective: The aim of our study was to evaluate the prognostic value of the Katz frailty scale in patients undergoing TAVI in relation to the risk of mortality assessed with the STS scale. Material and methods: The study included 105 patients with severe aortic stenosis (AS) treated with TAVI at the Department of Invasive Cardiology, Central Clinical Hospital of the Ministry of Interior. In our group, the Katz frailty syndrome confirmed in all patients, and 48% in the advanced stage. Results: Statistical analysis showed a significant difference between survival and Katz frailty score before TAVI. Analysis using Cox's model confirmed a significant prognostic value for the Katz frailty syndrome before TAVI. Patients with moderate to severe frailty on the Katz score (values ≤ 4) had a 13,68 times higher risk of death per year compared to the group with Katz frailty syndrome ≥ 5. Multivariate regression analysis indicated that Katz frailty score and STS score were prognostically significant factors of cardiovascular death in patients undergoing TAVI. Conclusion: The Katz frailty score had a significant prognostic value in the high- and intermediate risk patients. Katz frailty score and STS risk score significantly correlated with the risk of death from cardiovascular causes in frailty patients undergoing TAVI.

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Wilhelm, Bruno, Hendrik Vogel et Flavio S. Anselmetti. « A multi-centennial record of past floods and earthquakes in Valle d'Aosta, Mediterranean Italian Alps ». Natural Hazards and Earth System Sciences 17, n^o 5 (8 mai 2017) : 613–25. http://dx.doi.org/10.5194/nhess-17-613-2017.

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Abstract. Mediterranean Alpine populations are particularly exposed to natural hazards like floods and earthquakes because of both the close Mediterranean humidity source and the seismically active Alpine region. Knowledge of long-term variability in flood and earthquake occurrences is of high value since it can be useful to improve risk assessment and mitigation. In this context, we explore the potential of a lake-sediment sequence from Lago Inferiore de Laures in Valle d'Aosta (Northern Italy) as a long-term record of past floods and earthquakes. The high-resolution sedimentological study revealed 76 event layers over the last ca. 270 years; 8 are interpreted as most probably induced by earthquakes and 68 by flood events. Comparison to historical seismic data suggests that the recorded earthquakes are strong (epicentral Medvedev–Sponheuer–Kárník (MSK) intensity of VI–IX) and/or close to the lake (distance of 25–120 km). Compared to other lake-sediment sequences, Lago Inferiore de Laures sediments appear to be regionally the most sensitive to earthquake shaking, offering a great potential to reconstruct the past regional seismicity further back in time. Comparison to historical and palaeoflood records suggests that the flood signal reconstructed from Lago Inferiore de Laures sediments represents the regional and (multi-)decadal variability of summer–autumn floods well, in connection to Mediterranean mesoscale precipitation events. Overall, our results reveal the high potential of Lago Inferiore de Laures sediments to extend the regional earthquake and flood catalogues far back in time.

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Zelinková, Kateřina, et Aleš Kresta. « DETERMINATION OF VALUE AT RISK AND CONDITIONAL VALUE AT RISK BY ASSUMING ELLIPTICAL DISTRIBITION ». Acta academica karviniensia 16, n^o 2 (30 juin 2016) : 95–105. http://dx.doi.org/10.25142/aak.2016.017.

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Thèses sur le sujet "Valle at risk"

Sica, Nicola. « Risk management e value at risk : l'influenza del profilo dell'investitore nell'operatività di consulenza ». Doctoral thesis, Universita degli studi di Salerno, 2017. http://hdl.handle.net/10556/2563.

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2014 - 2015
Basel accords define the capital requirements for banks. There are three types of risk on which is based the calculation of this requirement: operational risk, i.e. the risk of losses related to potential inefficiencies of the system of control of the bank, the market risk, i.e. the risk related to any eventual leakage of the securities portfolio (of the institute or belonging to a single customer) determined by the market and credit risk, i.e. the risk incurred by the banks for any inability partial or total of the counterparty to fulfill the obligation assumed. The three risks defined within the Basel Agreement, define the three cornerstones of the activity of banking advice. The main responsibility of each operator banking, resides in the ability to perceive and anticipate the risks of positions in acquisition and on which the Institute will expose, evaluating the acceptability by defining appropriate actions to be taken. The need to measure and adequately control the risks taken by a bank is felt particularly in investment activity and trading of securities, which is exposed to the volatility of prices of assets exchanged. For institutions which take speculative positions in currencies, bonds or shares, there is in fact a real possibility that the losses associated with a single position broke, within a short time interval, the profits made in the course of months. In the first part of the work is analyzed the typology of risk indicated with the term "market risk". More precisely, with the term market risk is the risk of changes in the market value of an instrument or of a portfolio of financial instruments linked to unexpected changes in market conditions. One of the indicators is widely used to measure the market risk of active and follow him in his temporal evolution is the VaR (Value at Risk) that can be defined as the "…maximum loss in which an investor may incur, with a predetermined level of probability α, for a time horizon future N+H". If ζ N = ( r1...Rn) are available information at the time n, the VaR will be a function of ζ N , α, h by synthesizing VaR N (h; α) with h=1,2…and 0 < a <1. The VaR is essentially a synthetic index that measure the market risk of the 3 active or portfolio analysis. The financial risks relate to unexpected changes and unfavorable market value of certain financial positions because it is not certain whether the issuer will be able or not to fulfill its obligations (coupon or capital). On the same conceptual basis defines the credit risk, understood as the risk of default of the counterparty in a financial contract for medium long term. The second chapter is dedicated to the analysis of models for the assessment of credit risk appeared in recent years and mainly used so far by the banks. In the literature were developed three different approaches to describe the credit risk: structural approach, a reduced form and to incomplete information. The third chapter echoing what indicated in the first part of the work is based on the examination of the fundamental principles of the protection of the customer in the provision of advice to the investment. Studies of behavioral finance that investigate the choices of asset allocation financial show that these are affected particularly by two elements: the capacity to take risks and the attitude to risk to investors. Investment firms, thanks to the MiFID Directive, have the obligation of profiling customers through a questionnaire to ensure their protection and protection against risks arising from financial investments. Aspects investigated by the MiFID questionnaires are compared with the elements that, according to the literature, influences the choices of individual investment. In confirmation of what is required by the MiFID Directive, are extracted from a sample of customers made available by a Banca di Credito Cooperativo Bell, a representative for each category of risk on which the securities portfolio is applied a model VaR aimed to verify the degree of risk related to Portfolio proposed as a result of the consultancy activities carried out .The choices of asset allocation undertaken by individuals are often addressed by investment firms which, through a questionnaire, collect personal information from the subjects to recommend investments in line with their needs and characteristics. For portfolio management services or consultancy service, investment firms shall submit the subject to the test of adequacy and, in the case in which I do not answer to certain requirements, 4 they will be precluded the investment in financial instruments risky. Consequently, the decisions of asset allocation financial does not always arise from an individual choice made by the investor but are often addressed by a person competent to allow the customer the attainment of its objectives. However, many studies demonstrate the impact of certain aspects of the profile of the investors in their propensity to risk and consequently in the choices of allocation of assets. The analysis has allowed us to compare the aspects that according to the literature influence the risk propensity of investors with what is required in the phase of practical placement of the product. In the daily advice, tools made available are mainly focused on the aspects linked to the capacity of taking risks, then on the study of the investment objectives and the elucidation of theholding period. As regards the risk tolerance literature amply investigates the influence of socio demographic and personal, that are not always considered to be at the basis of the risk assessment in the questionnaires MiFID. The fundamental variables, confirmed in literature at the end of the definition of a proper risk profile of the counterparty, are the consistency of the income and wealth of the respondent. Are collected information with regard to the profession and the bachgraud risk borne by investors, elements considered capable of influencing choices of asset allocation. The study title knowledge in the field of investments and the experience gained in the financial aspects are considered influential at a theoretical level that are reflected in the questions asked to customers through the questionnaire. To support what is proposed, and signed by the customer, is estimated for the set data obtained, a model VaR applied to each single portfolio for the three customers identified. The period considered runs from 01/01/2016 to 16/09/2016. On the basis of the frequency of transactions are identified three representative positions of the three risk profiles defined in the process of profiling of the customer previously argued. Specifically: - Low risk : Position historically entered in the registers of the institute for a period exceeding 10 years. Employee private company. 5 Preparation of Upper Medium in financial activities. The total capital invested € 30,000 managed in n. 15 portfolio transactions thus distributed : 9 purchase transactions and 4 sales operations. The number of securities in the portfolio : n.2 _ Unicredit and Mediolanum. - Medium risk : Position entered by more than 5 years in the demographics of the isitituto.Public employee, profile financially diversified, are not present phenomena of concentration of capital in savings products inside of the institute or of third parties. Preparation Upper Medium in financial activities. The total capital invesstito 25,000 € managed in n. 36 portfolio transactions thus distributed : 16 purchase transactions and 20 sales operations. The number of securities in the portfolio: n.2 _, UNICREDIT and ENEL - High risk: Position entered from less than 5 years in the demographics of the Institute.Free professional expert in the financial sector, diversified profile, are not present phenomena of concentration of capital in savings products inside of the institute or of third parties. The total capital invested 80.000 € managed in n. 196 portfolio transactions thus distributed : 110 operations of purchase and 86 sales operations. Nuemro of securities in the portfolio : n.5 _ Mps, Saipem, Unicredit,Fincantieri,Ubi. In all three cases the pattern formulated with α = 5% is not infringed, in fact, on the basis of risk criteria and prudence defined by the Institute during placement and management of savings and the ratio between the actual violations of the model and the number of observations is maintained below the 5 % target. The same result is obtained as a result of an arbitrary remodulation of three portfolios considered, in fact, while modifying the compositions by reversing the titles between the same customers, the model retains its effectiveness while remaining in the margins of the 5% defined. A first reason can be found in the increasing diversification of the sector, namely a merch diversification of the portfolio on the basis of the nature of the title 6 (banking, energy, etc.) . In the case of low risk, in fact, with respect to the initial establishment of the portfolio is introduced the principle of diversification of the sector that allows the subject to reduce the concentration of capital in a same sector (see the banking systems in the specific case) and improve the values of risk. In the other two cases, on the contrary, is violated the component of sectoral diversification by increasing the concentration of the portfolio in bank shares thus obtaining a worsening of the riskiness of the model and an increase in violations of VaR. The estimation of the model has allowed us to validate the proposed and accepted by the customer, by dropping a tool typically used within the scope of financial corporate governance on private portfolios in order to confirm statistically as proposed within the consulting business. [edited by Author]
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Tran, Manh. « Value-at-risk estimates ». Thesis, Aston University, 2018. http://publications.aston.ac.uk/37813/.

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This thesis consists of three empirical essays on the Value-at-Risk (VaR) estimates. The first empirical study (Chapter 2) evaluates the performance of bank VaRs. The second empirical study (Chapter 3) investigates the predictive power of various VaR models using bank data. The third empirical study (Chapter 4) explores VaR estimates with high-frequency data. The first study examines the performance of VaR estimates at seven international banks from 2001 to 2012. Using statistical tests, we find that bank VaRs were conservatively estimated in pre-crisis and post-crisis periods. During financial crisis, while some banks continued to overstate their VaRs, the others significantly underestimated their risk. The potential causes of the poor performance of bank VaRs are also discussed. The second study investigates the predictive power of various VaR models using bank data. We find that the GARCH-based models are superior in estimating bank VaRs in both normal and crisis periods. We conclude that good VaR estimates at banks can be obtained using simple, accessible models rather than the complicated approach or banks’ internal model. Thus, we argue that VaR should not be blamed for misleading risk estimates during financial crisis. The third study evaluates VaR estimates using 5-minute sampling data of WTI Futures. First, we acknowledge the value of high-frequency data on the measure of volatility to characterize the quantile forecast of asset returns. Second, we find that quantile combination can improve the forecast accuracy. With the VaR implication, we show that VaR combination provides more accurate and robust results than individual VaR estimates.

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Novák, Martin. « Value at Risk models for Energy Risk Management ». Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-71889.

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The main focus of this thesis lies on description of Risk Management in context of Energy Trading. The paper will predominantly discuss Value at Risk and its modifications as a main overall indicator of Energy Risk.

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Hager, Peter. « Corporate Risk Management : Cash Flow at Risk und Value at Risk / ». Frankfurt am Main : Bankakademie-Verl, 2004. http://www.gbv.de/dms/zbw/378196367.pdf.

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Heidrich, Matthias [Verfasser]. « Conditional Value-at-Risk Optimization for Credit Risk Using Asset Value Models / Matthias Heidrich ». München : Verlag Dr. Hut, 2012. http://d-nb.info/1020299681/34.

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Samiei, Saeid. « Studies in value-at-risk ». Thesis, Cardiff University, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.273586.

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Garbanovas, Gintautas. « Bank value and risk's portfolio interdependence and management ». Doctoral thesis, Lithuanian Academic Libraries Network (LABT), 2010. http://vddb.laba.lt/obj/LT-eLABa-0001:E.02~2010~D_20101221_114433-10503.

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The main idea of current PhD thesis is the analysis of bank value and risk interdependence, and that bank value is conected with bank activity riskiness on consistent pattern and that this dependency is advisable to measure on probability basis with simulation modeling. In the work are presented systemic view of risk, risk sorts, risk management including cash flow risk management and credit risk management, bank value and valuation methodology, modeling and use in practical tasks.
Disertacijoje nagrinėjamos banko vertės ir rizikos sąveikos problemos, ginama tezė, kad banko vertė susijusi su banko veiklos rizikų portfeliu dėsningai ir kad šią priklausomybę tikslinga matuoti per tikimybės ir patikimumo prizmes imitavimo būdu. Darbe pateikiamas susistemintas požiūris į riziką, jos rūšis, rizikos valdymą išskiriant pinigų srautų rizikos valdymą bei kredito rizikos val-dymą atskirai, bei į banko vertę ir banko vertinimo metodologiją, modeliavimą, jų taikymą praktikoje.

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Agarwal, Anna. « Managing risks in energy capital projects -- the value of contractual risk-sharing in CCS-EOR ». Thesis, Massachusetts Institute of Technology, 2014. http://hdl.handle.net/1721.1/90038.

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Thesis: Ph. D., Massachusetts Institute of Technology, Department of Civil and Environmental Engineering, 2014.
Cataloged from PDF version of thesis.
Includes bibliographical references (pages 124-129).
This thesis addresses the question of how to maximize the value of energy capital projects in light of the various risks faced by these projects. The risks can be categorized as exogenous risks (not in control of involved entities) and endogenous risks (arising from sub-optimal decisions by involved entities). A dominant reason for poor project performance is the endogenous risks associated with weak incentives to deliver optimal project outcomes. A key objective of this research is to illustrate that risk-sharing through contracts is central to incentivize the involved entities to maximize overall project value. The thesis presents a risk management framework for energy capital projects that accounts for both exogenous risks and endogenous risks to evaluate the optimal risk management strategies. This work focuses on a carbon capture and storage project (CCS) with enhanced oil recovery (EOR). CCS is projected to play a key role in reducing the global CO₂ emissions. However, the actual deployment of CCS is likely to be lower than projected because of the various risks and uncertainties involved. The analysis of CCS-EOR projects presented in this thesis will help encourage the commercial deployment of CCS by identifying the optimal risk management strategies. This work analyzes the impact of the exogenous risks (market risks, geological uncertainty) on the value of the CCS-EOR project, and evaluates the optimal contingent decisions. Endogenous risks arise from the involvement of multiple entities in the CCS-EOR project; this thesis evaluates alternate CO₂ delivery contracts in terms of incentives offered to the individual entities to make the optimal contingent decisions. Key findings from this work illustrate that the final project value depends on both the evolution of exogenous risk factors and on the endogenous risks associated with response of the entities to change in the risk factors. The results demonstrate that contractual risk-sharing influences decision-making and thus affects project value. For example, weak risk-sharing such as in fixed price CO₂-EOR contracts leads to a high likelihood of sub-optimal decision-making, and the resulting losses can be large enough to affect investment and project continuity decisions. This work aims to inform decision-makers in capital projects of the importance of considering strong contractual risk-sharing structures as part of the risk management process to maximize project value.
by Anna Agarwal.
Ph. D.

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Broll, Udo, Andreas Förster et Wilfried Siebe. « Market Risk : Exponential Weightinh in the Value-at-Risk Calculation ». Technische Universität Dresden, 2020. https://tud.qucosa.de/id/qucosa%3A72009.

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When measuring market risk, credit institutions and Alternative Investment Fund Managers may deviate from equally weighting historical data in their Value-at-Risk calculation and instead use an exponential time series weighting. The use of expo-nential weighting in the Value-at-Risk calculation is very popular because it takes into account changes in market volatility (immediately) and can therefore quickly adapt to VaR. In less volatile market phases, this leads to a reduction in VaR and thus to lower own funds requirements for credit institutions. However, in the ex-ponential weighting a high volatility in the past is quickly forgotten and the VaR can be underestimated when using exponential weighting and the VaR may be un-derestimated. To prevent this, credit institutions or Alternative Investment Fund Managers are not completely free to choose a weighting (decay) factor. This article describes the legal requirements and deals with the calculation of the permissible weighting factor. As an example we use the exchange rate between Euro and Polish zloty to estimate the Value-at-Risk. We show the calculation of the weighting factor with two different approaches. This article also discusses exceptions to the general legal requirements.

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Karlsson, Malin, et Jonna Flodman. « Value at Risk : A comparison of Value at Risk models during the 2007/2008 financial crisis ». Thesis, Örebro universitet, Handelshögskolan vid Örebro universitet, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-16023.

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The financial crisis of 2007/2008 brought about a debate concerning the quality of risk management models, such as Value at Risk (VaR) models. Several studies have tried to make conclusions about multiple VaR models in periods around the crisis. The conclusions differ, but the Extreme Value Theory (EVT) is considered to be a good prediction model in times of unstable financial markets. In this thesis, the VaR for six financial instruments; the OMXS 30, the OMX Stockholm Financials PI, the OMX Stockholm Materials PI and the currencies USD/SEK, GBP/SEK and EUR/SEK are estimated with the Historical Simulation, the Monte Carlo Simulation and the Variance- Covariance Method, with a 95 percent confidence interval. The risk is estimated both for single instruments as well as portfolios in times before, during and after the crisis with the purpose of concluding which of the VaR models more accurately predict risk for specific instruments/portfolios in different time periods of the crisis. No direct conclusions can be made about the accuracy of the models before, during or after the crisis. The only clear conclusion can be drawn for the single instruments regarding the EUR. All methods predict more accurate results for this instrument compared to the other instruments. The clearest conclusion for the portfolios is that portfolios holding larger weights of indexes show on larger VaR estimations. Also, the modified Monte Carlo Simulation and the Variance-Covariance Method estimate lower risk in general than the Historical Simulation.

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Plus de sources

Livres sur le sujet "Valle at risk"

Convivere con i rischi ambientali : Il caso Acna-Valle Bormida. Milano : F. Angeli, 1995.

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Dempster, M. A. H. 1938-, dir. Risk management : Value at risk and beyond. Cambridge : Cambridge University Press, 2002.

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K, Bansal Vipul, dir. Measuring market risk with value at risk. New York : John Wiley, 2001.

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Rogers, Jamie. Strategy, Value and Risk. London : Palgrave Macmillan UK, 2009. http://dx.doi.org/10.1057/9780230353930.

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Rogers, Jamie. Strategy, Value and Risk. Cham : Springer International Publishing, 2019. http://dx.doi.org/10.1007/978-3-030-21978-9.

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Rogers, Jamie. Strategy, Value and Risk. London : Palgrave Macmillan UK, 2013. http://dx.doi.org/10.1057/9780230392687.

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Wong, Max C. Y., dir. Bubble Value at Risk. Hoboken, NJ, USA : John Wiley & Sons, Inc., 2012. http://dx.doi.org/10.1002/9781119198925.

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Best, Philip. Implementing Value at Risk. Chichester, UK : John Wiley & Sons, Ltd, 1998. http://dx.doi.org/10.1002/0470013303.

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Dallas, Michael, dir. Value and Risk Management. Oxford, UK : Blackwell Publishing Ltd, 2006. http://dx.doi.org/10.1002/9780470759448.

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Implementing value at risk. Chichester, West Sussex, England : J. Wiley & Sons, 1998.

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Chapitres de livres sur le sujet "Valle at risk"

Rogers, Jamie. « Risk ». Dans Strategy, Value and Risk, 63–69. Cham : Springer International Publishing, 2019. http://dx.doi.org/10.1007/978-3-030-21978-9_3.

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Rogers, Jamie. « Risk ». Dans Strategy, Value and Risk, 49–56. London : Palgrave Macmillan UK, 2013. http://dx.doi.org/10.1057/9780230392687_4.

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Rabinowicz, Wlodek. « Incommensurability Meets Risk ». Dans Value Incommensurability, 201–30. New York : Routledge, 2021. http://dx.doi.org/10.4324/9781003148012-15.

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Lee, Hongmu. « Value at Risk ». Dans Risk Management, 75–87. Singapore : Springer Singapore, 2021. http://dx.doi.org/10.1007/978-981-16-3468-0_7.

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Rogers, Jamie. « Value ». Dans Strategy, Value and Risk, 29–62. Cham : Springer International Publishing, 2019. http://dx.doi.org/10.1007/978-3-030-21978-9_2.

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Rogers, Jamie. « Value ». Dans Strategy, Value and Risk, 23–48. London : Palgrave Macmillan UK, 2013. http://dx.doi.org/10.1057/9780230392687_3.

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Rogers, Jamie. « Investment Risk ». Dans Strategy, Value and Risk, 16–18. London : Palgrave Macmillan UK, 2009. http://dx.doi.org/10.1057/9780230353930_4.

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Rogers, Jamie. « Risk Management ». Dans Strategy, Value and Risk, 68–70. London : Palgrave Macmillan UK, 2009. http://dx.doi.org/10.1057/9780230353930_9.

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Broll, Udo, et Jack E. Wahl. « Value at Risk ». Dans Risikomanagement im Unternehmen, 35–48. Wiesbaden : Springer Fachmedien Wiesbaden, 2012. http://dx.doi.org/10.1007/978-3-8349-4047-6_4.

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Mostafa, Fahed, Tharam Dillon et Elizabeth Chang. « Value-at-Risk ». Dans Computational Intelligence Applications to Option Pricing, Volatility Forecasting and Value at Risk, 137–47. Cham : Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-51668-4_8.

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Actes de conférences sur le sujet "Valle at risk"

Campos e Matos, António, José Luís Barbosa, Mário Durão et Ricardo Leite. « "Autopista Urbana Siervo de la Nación" - Flyover at México City Lake Zone : The importance of design to achieve a sustainable infrastructure during ist life-cycle ». Dans IABSE Symposium, Guimarães 2019 : Towards a Resilient Built Environment Risk and Asset Management. Zurich, Switzerland : International Association for Bridge and Structural Engineering (IABSE), 2019. http://dx.doi.org/10.2749/guimaraes.2019.0258.

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<p>The “Autopista Urbana Siervo de la Nación” (AUSN) Highway, is located at Mexico City, and is currently under construction. The highway, with a length of 14.5Km and 4 lanes divided in 2 carriageways (A4 type cross section), intends to target the milestone of a fast and safe road axis. The available right-of-way to built the new infrastructure presents several restrictive constrains that led to the construction of a flyover throughout approx. 90% of the AUSN total length.</p><p>The unique geotechnical scenario that characterizes the Valle de México’s lake zone, with the well- known regional settlement phenomena, along with the peculiar features that define the seismic action within the “lacustres” areas of the city, associated with high structural response amplification, lead to complex structural solutions and demanding calculations, particularly concerning the foundation´s design, optimizing the structure behaviour and minimizing the global costs during all the infrastructure’s life cycle.</p>

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Jerez, Susana, Analía Medina, Gabriela Alarcón, Liliana Sierra et Mirta Medina. « Chia Seed Oil Intake : Is It Beneficial for Preventing Cardiovascular Risk Factors ? » Dans la ValSe-Food 2021. Basel Switzerland : MDPI, 2021. http://dx.doi.org/10.3390/blsf2021008007.

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Calvello, Michele. « From the Observational Method to “Observational Modelling” of Geotechnical Engineering Boundary Value Problems ». Dans Geo-Risk 2017. Reston, VA : American Society of Civil Engineers, 2017. http://dx.doi.org/10.1061/9780784480731.008.

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Scott, Bradley J. « Risk-Informed In-Service Testing Programs ». Dans ASME/NRC 2017 13th Pump and Valve Symposium. American Society of Mechanical Engineers, 2017. http://dx.doi.org/10.1115/pvs2017-3527.

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This paper will review three options for applying risk insights to the In-service Testing (IST) Program for pumps and valves. Current regulatory framework allows for risk-informing pump and valve testing through the implementation of 10CFR50.69 or by submittal to the NRC per 10CFR50.55a for risk-informed testing in accordance with the OM Code; either using Code Case OMN-3 and the risk-related Code Cases or Subsection ISTE. This paper will offer a third option which involves the combination of the first two options. Each of these IST risk-informed program options will be explored by presenting a general discussion of each option’s risk ranking process and anticipated risk ranking results. The risk ranking review will be followed by a discussion of the implementation processes and finally a look at plant impacts and potential benefits for each option. IST program scope and testing requirements will be identified for each of these risk-informed program options. References for the implementation processes will be provided and used for the basis of this discussion. The intent of this paper is not to provide a “how to” for each of these options, but rather to provide information to the reader to allow further detailed review of each option. It is expected that through further investigation of these options and discussions with plant management each site may find the option/process that best suits their regulatory and plant safety culture. Paper published with permission.

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Sousa e Silva, D., et A. Betâmio de Almeida. « Living with dam-break flood risk : the case of a Portuguese dam-valley system ». Dans RISK ANALYSIS 2006. Southampton, UK : WIT Press, 2006. http://dx.doi.org/10.2495/risk060221.

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Wang, Hanning, et Zhiyin Yang. « Value Investing or Speculation : the Test of Chinese Investors' Stock-picking-On the Choice of Tax Policy to Promote Value Investment ». Dans Fifth Symposium of Risk Analysis and Risk Management in Western China (WRARM 2017). Paris, France : Atlantis Press, 2017. http://dx.doi.org/10.2991/wrarm-17.2017.21.

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Williams, S. « Keynote Address : Geosteering : Where are we ? Where are we Going ? » Dans Geosteering and Well Placement Workshop - Geosteering : Balancing Value and Risk. Netherlands : EAGE Publications BV, 2010. http://dx.doi.org/10.3997/2214-4609.20144230.

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Scott, Jason, et F. Salamov. « Geosteering - The Key to Late Life Appraisal on a Giant Producing Field ». Dans Geosteering and Well Placement Workshop - Geosteering : Balancing Value and Risk. Netherlands : EAGE Publications BV, 2010. http://dx.doi.org/10.3997/2214-4609.20144231.

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Denichou, J.-M., E. Stueland, C. Dupuis et N. Stevenson. « When Production Strategy based on Latest Well Placement Solutions Successfully Lead to the Re-development of a Previously Abandoned Oil Field on the Norwegian Continental Shelf ». Dans Geosteering and Well Placement Workshop - Geosteering : Balancing Value and Risk. Netherlands : EAGE Publications BV, 2010. http://dx.doi.org/10.3997/2214-4609.20144232.

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Al-Ghareeb, Aisha, R. Kotecha, A. Omran, P. Mukherjee, M. Anandan et M. Hafez. « Geophysical Support to a Challenging Horizontal Drilling- A Case History from SE Kuwait ». Dans Geosteering and Well Placement Workshop - Geosteering : Balancing Value and Risk. Netherlands : EAGE Publications BV, 2010. http://dx.doi.org/10.3997/2214-4609.20144233.

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Rapports d'organisations sur le sujet "Valle at risk"

Santos, Tano, et Pietro Veronesi. Cash-Flow Risk, Discount Risk, and the Value Premium. Cambridge, MA : National Bureau of Economic Research, décembre 2005. http://dx.doi.org/10.3386/w11816.

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Simpson, D. E. The societal impact value of risk. Office of Scientific and Technical Information (OSTI), avril 1995. http://dx.doi.org/10.2172/80993.

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Adrian, Tobias, et Hyun Song Shin. Procyclical Leverage and Value-at-Risk. Cambridge, MA : National Bureau of Economic Research, avril 2013. http://dx.doi.org/10.3386/w18943.

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Shin, Hyun-Han, et Rene Stulz. Firm Value, Risk, and Growth Opportunities. Cambridge, MA : National Bureau of Economic Research, juillet 2000. http://dx.doi.org/10.3386/w7808.

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Sanghvi, Anuj, Ryan Cryar, Jordan Smart, Nate Evans, Amanda Joyce et Stephanie Jenkins. Hydropower Cybersecurity Value-at-Risk Framework. Office of Scientific and Technical Information (OSTI), février 2023. http://dx.doi.org/10.2172/1924011.

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Johnson, Jennifer. Intimate Partner Violence Risk Assessment : The Additive Value of Victim Reported Risk. Portland State University Library, janvier 2000. http://dx.doi.org/10.15760/etd.7416.

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Engle, Robert, et Simone Manganelli. CAViaR : Conditional Value at Risk by Quantile Regression. Cambridge, MA : National Bureau of Economic Research, septembre 1999. http://dx.doi.org/10.3386/w7341.

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Borbinha, José. D4.4 Report on Risk, Benefit, Impact and Value. Collaboration to Clarify the Costs of Curation, novembre 2014. http://dx.doi.org/10.7207/4c-4.4.

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Bauer, Daniel, Darius Lakdawalla et Julian Reif. Mortality Risk, Insurance, and the Value of Life. Cambridge, MA : National Bureau of Economic Research, septembre 2018. http://dx.doi.org/10.3386/w25055.

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Chandra, Amitabh, et Andrew Samwick. Disability Risk and the Value of Disability Insurance. Cambridge, MA : National Bureau of Economic Research, septembre 2005. http://dx.doi.org/10.3386/w11605.

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