313 research outputs found
CVaR sensitivity with respect to tail thickness
We consider the sensitivity of conditional value-at-risk (CVaR) with respect to the tail index assuming regularly varying tails and exponential and faster-than-exponential tail decay for the return distribution. We compare it to the CVaR sensitivity with respect to the scale parameter for stable Paretian, the Student's t, and generalized Gaussian laws and discuss implications for the modeling of daily returns and marginal rebalancing decisions. Finally, we explore empirically the impact on the asymptotic variability of the CVaR estimator with daily returns which is a standard choice for the return frequency for risk estimation. --fat-tailed distributions,regularly varying tails,conditional value-at-risk,marginal rebalancing,asymptotic variability
On a class of distributions stable under random summation
We investigate a family of distributions having a property of
stability-under-addition, provided that the number of added-up random
variables in the random sum is also a random variable. We call the
corresponding property a \,-stability and investigate the situation with
the semigroup generated by the generating function of is commutative.
Using results from the theory of iterations of analytic functions, we show that
the characteristic function of such a -stable distribution can be
represented in terms of Chebyshev polynomials, and for the case of -normal
distribution, the resulting characteristic function corresponds to the
hyperbolic secant distribution. We discuss some specific properties of the
class and present particular examples.Comment: 12 pages, 1 figur
A Taxonomy of Essential Services
Communities, countries and alliances cannot be efficient in preparing to meet diverse threats to their security
within traditional organizational stovepipes. The boundaries between ‘internal’ and ‘external’ threats are getting fuzzier, and the vulnerabilities of governments, businesses and communities feed on each other, while the
comprehensive approach is gaining traction in ever more security fields. The implementation of the comprehensive
approach poses a number of methodological challenges. While it clearly requires coordination of various
capabilities of a multitude of actors, it is less apparent which is the suitable organising concept. This paper
takes as a starting point the concept of ‘essential services’ and suggests a taxonomy, that would allow to
treat threats, vulnerabilities and risk in a common comprehensive framework. The taxonomy has been developed
with a specific purpose in mind, and thus refers to European Essential Services (EES). We nevertheless
reason that it can be replicated to support decision making at other levels, e.g. in national security policy making
and planning
Fat-tailed models for risk estimation
In the post-crisis era, financial institutions seem to be more aware of the risks posed by extreme events. Even though there are attempts to adapt methodologies drawing from the vast academic literature on the topic, there is also skepticism that fat-tailed models are needed. In this paper, we address the common criticism and discuss three popular methods for extreme risk modeling based on full distribution modeling and and extreme value theory. --
The Financial Market of Indices of Socioeconomic Wellbeing
The financial industry should be involved in mitigating the risk of downturns
in the financial wellbeing indices around the world by implementing
well-developed financial tools such as insurance instruments on the underlying
wellbeing indices. We define a new quantitative measure of the wellbeing of a
country's population for those countries using the world development indicators
provided by the World Bank. We monetize the indices of socioeconomic wellbeing,
which serve as "risky assets," and consequently develop a global financial
market for them, which serves as a "market of indices of socioeconomic
wellbeing." Then, we compare the wellbeing of different countries using
financial econometric analysis and dynamic asset pricing theory. We provide the
optimal portfolio weight composition along with the efficient frontiers of the
wellbeing socioeconomic indices with different risk-return measures. We derive
insurance instruments, such as put options, which allow the financial industry
to monitor, manage, and trade these indices, creating the funds for insurance
against adverse movements of those indices. Our findings should help financial
institutions to incorporate socioeconomic issues as an additional dimension to
their "two-dimensional" risk-return adjusted optimal financial portfolios.Comment: 33 pages, 20 figure
Audio reader of electronic music as a means of teaching high school seniors the subject «World art culture»
The article considers the problems of formation of musical culture of high school seniors and shows the educational potential of an audio reader as a learning toolВ статье рассмотрены проблемы формирования музыкальной культуры старшеклассников, показан образовательный потенциал аудио-хрестоматии как средства обучени
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