Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 20 of 199 for “"Shortfall"”.
-
Portfolio Liquidity Risk Management with Expected Shortfall Constraints
… the cash, minimum weight and portfolio expected shortfall (ES) liquidity policies on a long equity portfolio. Several numerical examples in the results demonstrate the importance associated the incorporation of the liquidity policy in the liquidity risk valuation. In the second study, we quantify …
-
Estimation of value-at-risk and expected shortfall using copulas
Includes bibliographical references (leaves 76-77).
-
Estimating value at risk and expected shortfall: a kalman filter approach
… Supervision (BCBS) replaced VaR with Expected Shortfall (ES), or Conditional VaR (CVaR), as the new primary measure for banking institutions to forecast market risk and hence allocate the relevant amount of regulatory market risk capital. ES measures the probability weighted losses beyond VaR, …
-
Expectil como medida de riesgo alterna al VaR y al Expected Shortfall (Una aplicación sobre factores de riesgo)
… a las medidas de riesgo Value at risk y Expected Shortfall. Se modela el EVaR bajo dos enfoques: Modelos Paramétricos y Semiparamétricos, utilizando la medida de riesgo basada en cuantiles como modelo de referencia en la estimación de la exposición de riesgo de las diferentes series de tiempo …
-
The impact of estimation frequency on Value at Risk (VaR) and Expected Shortfall (ES) forecasts: an empirical study on conditional extreme value models
… to calculated the Value at Risk and Expected Shortfall. The first phase involved running the daily returns through the GARCH model, and then extracting the residuals. The second phase involves using the Block Maxima Method, or Peaks over Threshold method to fit the residuals to the Generalized …
-
Portfolio risk minimization under departures from normality
… a quantile-based measure of risk which we call shortfall. Shortfall is related to Value-at-Risk and Conditional Value-at-Risk, and can be tuned to capture tail risk. We formulate the sample shortfall minimization problem as a linear program. Using results from empirical process theory, we derive …
-
Portfolio diversification for long holding periods: how many stocks do Canadian investors need?
… illustrate the probability distributions of the shortfall risks for individuals who own fewer than 100 stocks. To see if diversifying across industry groups reduces the shortfall risk faced by investors, a similar simulation is completed for investing randomly across Canada's four prime industry …
-
Quantile-based methods for prediction, risk measurement and inference
… studied is that of estimation of expected shortfall via kernel smoothing. The goal here is to introduce methods that will reduce the estimation bias of expected shortfall. To this end, several one-step bias correction expected shortfall estimators are presented and investigated via …
-
Multi-period market risk estimation and performance evaluation : evidence from univariate, multi-variate and options data
… measure of financial risk referred to as expected shortfall (hereinafter ES) was proposed by Artzner et al. (1999) to overcome problems associated with VaR. In the first part of the thesis we evaluate expected shortfall (ES) with a new 6-parameter heavy tailed distribution by Baker (2014) alongside …
-
Digital Supply Chain Connectivity and Capacity Analysis for Strategic Production Planning in Biosurgery Oxidized Regenerated Cellulose
… is presented that minimizes the revenue shortfall for Ethicon given current ORC manufacturing capacity and product demand profiles. This optimization algorithm is projected to minimize the shortfall in revenue to 11.8% of maximum expected revenue. 1Additionally, this project strives to …
-
A study of rural highway maintenance expenditures in Virginia: forecasting and policy testing
… showed that with high inflation, there will be a shortfall of maintenance funds under the present taxation policies. To avoid the future shortfall, an increase in an additional fuels tax of three percent of the price of gasoline was assumed and also a deferment of maintenance activities was …
-
Applications of quantile regression to estimation and detection of some tail characteristics
… of the dissertation, we develop the Expected Shortfall (ES), the Covariate-adjusted Expected Shortfall (COVES), and the Generalized Covariate-adjusted Expected Shortfall (q.COVES) tests under the framework of quantile regression. Those tests focus specifically on one tail of the outcome …
-
Trainable mental retardation in the Coloured and Black communities of Cape Town : prevalence and provision of services
… communities of Cape Town; estimates the present shortfall in facilities provided; and discusses implications of present conditions for the future provision of a comprehensive service network. Information regarding prevalence is necessary in order to facilitate planning: however, since detailed …
-
Issues and Trends in Surrogacy
… In the United States, there is expected to be a shortfall of more than 500,000 registered nursed by 2025 (Buerhaus et al., 2008). This shortfall comes against increased enrollment of people who pursue nursing programs. To address this challenge, the increased enrollment in nursing programs will …
-
A capital allocation process for public projects
This research was initiated to address a shortfall in some of the previous work reviewed with respect to capital budgeting and allocation. This shortfall has to do with the very general manner in which the public sector is addressed. The public sector poses problems which are unique to its …
-
The impact of inclusionary housing on property prices in Cape Town
Modern-day South Africa faces a considerable shortfall of urban housing. It also inherited a racially based system of spatial planning from the apartheid state. As a result, poor (and typically black) households reside in peripheral areas of major cities. This spatial structure denies these …
-
Kockázati mértékek és kapcsolódó kockázatkezelési kérdések
… mérőszám a Value at Risk (VaR), és az Expected Shortfall. A dolgozatban sor kerül a két mutató LDA (Loss Distribution Approach) alapú becslésre. Ezen becslések, modellezések eredményeinek kiértékelése, elemzése is megtörténik a dolgozatban, melyek tanulságosak lehetnek a becslési eljárások során.
-
Improving public sector management training in Scotland.
… needs, identification of management training shortfall and factors which may be significant in producing shortfall in management training. The analysis concludes with a prescription for an ideal internal operating environment in public sector organisations to facilitate management training …
Page 1 of 10