scholarly journals Expected Shortfall Reliability—Added Value of Traditional Statistics and Advanced Artificial Intelligence for Market Risk Measurement Purposes

Mathematics ◽  
2021 ◽  
Vol 9 (17) ◽  
pp. 2142
Author(s):  
Santiago Carrillo Carrillo Menéndez ◽  
Bertrand Kian Hassani
Keyword(s):  
Risk Measure ◽  
Sampling Technique ◽  
Market Risk ◽  
Expected Shortfall ◽  
Risk Measurement ◽  
Added Value ◽  
Sufficient Information ◽  
Distribution Fitting ◽  
Expectation Maximisation ◽  
Capital Standard

The Fundamental Review of the Trading Book is a market risk measurement and management regulation recently issued by the Basel Committee. This reform, often referred to as “Basel IV”, intends to strengthen the financial system. The newest capital standard relies on the use of the Expected Shortfall. This risk measure requires to get sufficient information in the tails to ensure its reliability, as this one has to be alimented by a sufficient quantity of relevant data (above the 97.5 percentile in the case of the regulation or interest). In this paper, after discussing the relevant features of Expected Shortfall for risk measurement purposes, we present and compare several methods allowing to ensure the reliability of the risk measure by generating information in the tails. We discuss these approaches with respect to their relevance considering the underlying situation when it comes to available data, allowing practitioners to select the most appropriate approach. We apply traditional statistical methodologies, for instance distribution fitting, kernel density estimation, Gaussian mixtures and conditional fitting by Expectation-Maximisation as well as AI related strategies, for instance a Synthetic Minority Over-sampling Technique implemented in a regression environment and Generative Adversarial Nets.

scholarly journals Risk Measurement by G-Expected Shortfall

2021 ◽  
Vol 2021 ◽  
pp. 1-13
Author(s):  
Ziting Pei ◽  
Xuhui Wang ◽  
Xingye Yue
Keyword(s):  
Explicit Formula ◽  
Empirical Analysis ◽  
Risk Measure ◽  
Computational Cost ◽  
Expected Shortfall ◽  
Risk Measurement ◽  
Worst Case ◽  
New Type ◽  
The Empirical Analysis ◽  
Low Computational Cost

G-expected shortfall (G-ES), which is a new type of worst-case expected shortfall (ES), is defined as measuring risk under infinite distributions induced by volatility uncertainty. Compared with extant notions of the worst-case ES, the G-ES can be computed using an explicit formula with low computational cost. We also conduct backtests for the G-ES. The empirical analysis demonstrates that the G-ES is a reliable risk measure.

scholarly journals Pomiar ryzyka rynkowego miarą wartoś​ci zagrożonej. Metoda kombinowania prognoz ​

2018 ◽  
pp. 183-198
Author(s):  
Piotr Mazur
Keyword(s):  
At Risk ◽  
Financial Institutions ◽  
Value At Risk ◽  
Risk Measure ◽  
Market Risk ◽  
Risk Measurement ◽  
Conditional Value At Risk ◽  
Parametric Methods ◽  
Combining Forecasts

The article discusses the measurement of market risk by Value at Risk method. Value at Risk measure is an important element of risk measurement mainly for financial institutions but can also be used by other companies. The Value at Risk is presented together with its alternative Conditional Value at Risk. The main methods of VaR estimation were divided into nonparametric, parametric and semi-parametric methods. The next part of the article presents a method of combining forecasts, which can be used in the context of forecasting Value at Risk.

scholarly journals The Symbiotic Mutualism between Co-Creation and Entrepreneurship

2021 ◽  
Vol 13 (11) ◽  
pp. 6285
Author(s):  
Sandra Misiak-Kwit ◽  
Małgorzata Wiścicka-Fernando ◽  
Kelaniyage Shihan Dilruk Fernando
Keyword(s):  
Pilot Study ◽  
Small Sample Size ◽  
Strong Association ◽  
Sampling Technique ◽  
Small Sample ◽  
Entrepreneurial Intentions ◽  
Added Value ◽  
Primary Data ◽  
Exploratory Research ◽  
Symbiotic Mutualism

In this manuscript, the authors aim to explore firstly the association between entrepreneurial mindset and co-creation experience, secondly the association between co-creation experience and entrepreneurial intentions, and thirdly the association between entrepreneurial mindset and entrepreneurial intentions within the sustainability context. In this paper, the authors present the results of the pilot study. Primary data were collected from 500 university students from China, Georgia, Poland, Romania, and Sri Lanka by using a convenient sampling technique, and a literature review was the primary method of the concept development. The authors selected the above-mentioned countries to collect primary data by using a convenient sampling technique based on accessibility; they also visited all analysed countries in order to conduct the pilot survey personally. Descriptive statistics and the Spearman’s rank correlation coefficient were applied as primary statistical methods. The findings reveal that there is a very strong association between co-creation experience and entrepreneurial intentions, a very weak negative association between entrepreneurial mindset and co-creation experience, and, surprisingly, a weak association between entrepreneurial mindset and entrepreneurial intentions. The added value of the conducted pilot research involves filling in a gap regarding the relationship between experience and the subjective norm. In the presented pilot research, co-creation experience was compared with not only entrepreneurial mindset but with entrepreneurial intentions as well. An additional value of this exploratory research is compiling an international comparison. The main contribution of this pilot study is examining the symbiotic mutualism between co-creation and entrepreneurship. Among many platforms of associations, the following can be differentiated: creativity, innovativeness, openness, engagement, awareness, motivation, trust (level of social capital), and recognizing the significance of social and sustainable development objectives. Due to the small sample size, the results cannot be generalised. Results refer only to the respondents. However, the findings of the pilot study are the basis for further research studies on symbiotic mutualism between entrepreneurship and co-creation.

A Study to Evaluate the Effectiveness of Webinar on Knowledge Regarding the Strategies to Prevent Covid 19 among Nursing Students of SIIHS, Honavar, Uttara Kannada

2021 ◽  
Vol 3 (2) ◽  
Author(s):  
Sagaya Arockiya Mary. A ◽  
Susai Mari.A ◽  
Wincy. C ◽  
Thirumurugan. M ◽  
Verginia Dsouza ◽  
...  
Keyword(s):  
Nursing Students ◽  
Student Nurses ◽  
Sampling Technique ◽  
Knowledge Score ◽  
P Value ◽  
Sufficient Information ◽  
Knowledge Level ◽  
Chi Square ◽  
Significant Difference ◽  
Post Test

Background: The one virus stumbled the whole universe is the novel corona virus and impacted physical, emotional and social health status of almost every individual in the world irrespectively. Since the existence of Covid-19 till now it is been noticed that student nurses also affected by this fatal viral infection during their clinical practice. Objectives: The study focused on evaluating the effectiveness of webinar on knowledge regarding the strategies to prevent Covid -19 among student nurses of SIIHS, Honavar, Uttara Kannada. The study aimed at enhancing the knowledge level and influences others through effective health teaching at clinical areas and even in community settings. Methodology: An evaluative approach with pre- experimental, non-randomized, one group pre and post-test research design was adapted. The sample size was 294, purposive sampling technique was adapted. Data collected through testmoz web page and webinar was conducted by google meet app for one week. Data analysed by descriptive and statistical methods (chi-square and z-test) and interpreted by graphs. Results: The findings show that in pre-test 10(3.41%) had poor, 127(43.19%) had average, 157(53.40%) Good and 00% excellent knowledge level whereas in post-test 00% had Poor, 59(20.06%) Average, 176(59.86%) Good and 59 (20.06%) had excellent knowledge level. The pre-test mean score was 23.1 (46.2 %.) and of post-test was 35.6 (71.2%). The computed z’-test value showing significant difference in the pre (x?1=23.1) and post-test (x?2=35.6) knowledge score (p=1.18357, < z= -5.1679, critical z score=-1.6449 ? =0.05 level of significance). Hence the p value is greater than the z value (p(x?Z) = 1.18357e-7), it indicates the webinar was effective and the null hypothesis (H0) is rejected. Conclusion: The study was concluded as the webinar was highly effective and influenced the participant to gain sufficient information on prevention and the spread of Covid 19. Hopefully this enables them to apply

scholarly journals Impact of Service Quality and Service Innovations on Competitive Advantage in Retailing

2019 ◽  
Vol 2 (2) ◽  
pp. 366-374
Author(s):  
R. Neni Kusumadewi ◽  
Otong Karyono
Keyword(s):  
Service Quality ◽  
Competitive Advantage ◽  
Random Sampling ◽  
Structural Equation ◽  
Industrial Revolution ◽  
Sampling Technique ◽  
Added Value ◽  
Equation Modeling ◽  
Stratified Random Sampling ◽  
Analysis Method

Current competitive environment induced by 4.0 industrial revolution has forced companies to focus on managing service to customer by provide added value to customers, so that it will increase competitiveness. This study aims to find out and analyze impact of service quality and service innovations on competitive advantage. Analysis method is descriptive statistical and Structural Equation Modeling with AMOS software. The sampling Technique was purposive sampling with combination cluster proportional stratified random sampling, the instrument to collect the data was questionnaire with manager, supervisor or employee of retailing. The results indicate that the service quality and service innovations impact on competitive advantage.

scholarly journals Role of Cooperative Societies in Boosting Agricultural Production & Entrepreneurship in the Kebbi State of Nigeria.

2017 ◽  
pp. 234-351
Author(s):  
Kamelshewer Lohana Et al.,
Keyword(s):  
Local Government ◽  
Sample Size ◽  
Agricultural Production ◽  
Null Hypothesis ◽  
Food Production ◽  
Sampling Technique ◽  
Added Value ◽  
Cluster Sampling ◽  
Survey Results

The study Assess the Role & contributions of cooperative societies in boosting agricultural production & Entrepreneurship in the Kebbi State of Nigeria. A total of 120 sample size was used for the study. Cluster sampling technique was used to obtaining information from sample respondents (members of farmers’ cooperative societies). Sixty (60) questionnaires were administered to sixty respondents, each in both Zuru and Yauri Local Government Areas. Data collected was analysed and interpreted using simple percentage and descriptive methods. The major conclusions drawn from this research were: survey results, regarding effectiveness of cooperative societies in improving agricultural production & Entrepreneurship, have shown that 33.3% and 25% of the respondents in Zuru and Yauri Local Government Areas reported promoting farmers’ participation in agriculture, while 25% and 46% agreed to boost agricultural production in the study areas. About 36.6% and 35% believed in the effectiveness of cooperative societies in increasing food production. Sample respondents in the two Local Government Areas 5% and 3.3% reported all of the above indicators increase the effectiveness of cooperatives to agriculture. Survey results regarding the role of cooperatives in boosting Entrepreneurship in the study areas shows that 75% Zuru 88.3% Yauri agreed that cooperatives have added value to boosting Agric production & Entrepreneurship and only 15% and 11.6% did not agree with the above opinion. Many problems were identified that affects the smooth functioning of cooperatives and solutions for addressing the problems were recommended. Therefore it was concluded that Null Hypothesis HO is rejected and Alternate Hypothesis HA is accepted.

scholarly journals Efektivitas Media Leaflet dan Film dalam Peningkatan Pengetahuan Pubertas di SMP N 226 Pondok Labu

2020 ◽  
Vol 14 (1) ◽  
pp. 46
Author(s):  
Yanti Harjiono Hadiwiardjo ◽  
Mila Citrawati Asiyanto ◽  
Citra Ayu Aprilia
Keyword(s):  
High School ◽  
Health Promotion ◽  
Junior High School ◽  
Junior High ◽  
Sampling Technique ◽  
Visual Media ◽  
Wilcoxon Test ◽  
P Value ◽  
Sufficient Information ◽  
Development Failure

Background: Adolescent is a trantition phase from childhood to adulthood. Knowledge about puberty is important during this phase. If there is no sufficient information about it, it could cause several problems such as adolescence growth and development failure and healt problems. Health promotion to increase awareness of puberty is definitely needed by junior high students aged around 8 to 14 years old. Puberty health promotion could be delivered through visual media such as leaflet or audiovisual media such as animation film. The aim of this study was to discover effectivity of leaflet and animation film in increasing puberty awareness in students of Public Junior High School 226, Pondok Labu, South Jakarta. Method: This study was a quasi experiment with one group pre test-posttest design. Population of this study was whole students of 7th grade Public Junior High School 226. Sampling technique used was total sampling as many as 256 students. Data was analyzed by Wilcoxon test to find out effectivity of leaflet and animation film, meanwhile Mann Whitney test was used to discover effectivity between leaflet and animation film. Results: Both leaflet and animation film were effective to improving knowledge for adolescent (p-value<0,001). Conclusion: Either leaflet or animation film increased puberty awareness of students. There was no effectivity difference between both media in increasing puberty awareness of students at Public Junior High School 226.

Sign in / Sign up

Export Citation Format

Share Document