scholarly journals Investigating the Viability of Applying a Lower Bound Risk Metric for Altman’s z-Score

2021 ◽  
Author(s):  
Hardo Holpus ◽  
Ahmad Alqatan ◽  
Muhammad Arslan
Keyword(s):  
Lower Bound ◽  
Value At Risk ◽  
Random Number Generator ◽  
Lower Boundary ◽  
Supplementary Information ◽  
Z Score ◽  
First Results ◽  
Risk Metric ◽  
Boundary Limits ◽  
T Distribution

The study aimed to build a risk metric for finding the lower boundary limits for Altman’s z-score bankruptcy model. The new metric included a volatility of Altman’s variables and predicted the riskiness of a firm bankrupting in adverse situations. The research examined whether the new risk metric is feasible and whether it provides satisfying outcomes compared to Altman’s z-score values during the same period. The methods to conduct the analysis were based on Value at Risk methodology. The main tools used in constructing the model were Monte Carlo simulation, Lehmer random number generator, normal and t-distribution, matrices and Cholesky decomposition. The sample firms were selected from FTSE 250 index. The important variables used in the analysis were all Altman’s z-score variables, and the period under observation was 2001–2007. The selected risk horizon was the first quarter of 2008. The first results were promising and showed that the model does work to the specified extent. The research demonstrated that Altman’s z-score does not provide a full and accurate overview. Therefore, the lower bound risk metric developed in this research, produces valuable supplementary information for a well-informed decision making. To verify the model, it must be back- and forward tested, neither of which was carried out in this research. Furthermore, the research elaborated on limitations and suggested further improvement options for the model.

Bayesian Value at Risk Metric for Equity Portfolios

2014 ◽  
Author(s):  
Eric Hendries ◽  
Jun Huang ◽  
Rachel Li ◽  
Xiao Li ◽  
Yiyang Qi ◽  
...  
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Equity Portfolios ◽  
Risk Metric

A Lower Bound for the Most Deviant Z Score

2004 ◽  
Vol 26 (3) ◽  
pp. 89-91 ◽  
Author(s):  
Kevin Hayes
Keyword(s):  
Lower Bound ◽  
Z Score

scholarly journals STRATEGI PENANGANAN RISIKO OPERASIONAL PEMASARAN PRODUK TEH CELUP HIJAU WALINI PADA INDUSTRI HILIR TEH PT PERKEBUNAN NUSANTARA VIII, BANDUNG, JAWA BARAT

2019 ◽  
Vol 11 (2) ◽  
pp. 100-115
Author(s):  
Idzhar Jaya Nugraha ◽  
Akhmad Riyadi Wastra ◽  
Lilis Imamah Ichdayati
Keyword(s):  
Green Tea ◽  
Value At Risk ◽  
Operational Risk ◽  
International Market ◽  
Mitigation Strategy ◽  
Z Score ◽  
Is Strategy ◽  
Plantation Company ◽  
The One ◽  
Brand Product

Tea is an Indonesian excellent product that has been recognized worldwide. Indonesia is the seventh best tea producer which have international market potential.Therefore Tea Indonesia is expected to take advantage on existing opportunities from downstream industry of tea. The one of stated-owned plantation company who have downstream industry of tea is PT Perkebunan Nusantara VIII. Walini’s tea is a one famous brand product for this company. The development downstream industry of tea PTPN VIII is faced with yet achieved the expected sales. Amount of cost operational marketing and sales are indicated of operational risk. The objective of this study is strategy handling of marketing operational risk Walini Green tea bag product in downstream industry of tea PTPN VIII. Identification risk is first step to know the problem of marketing operational in downstream industry of tea PTPN VIII. By using Z-Score and Value at Risk (VAR) metode, it be showed the result of probability and impact of marketing operational risk. Preventif and mitigation strategy can be handling this company to growth up the expected sales.

ANALISIS RISIKO PRODUKSI USAHA SARANG BURUNG WALET (Collacalia Fuciphagus) DI KABUPATEN TANA TIDUNG

2021 ◽  
Vol 4 (1) ◽  
Author(s):  
Anang Sulistyo ◽  
Megawati Ayu Putri
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Descriptive Analysis ◽  
Preventive Strategy ◽  
Z Score ◽  
Production Risk ◽  
Measuring Device ◽  
Air Ventilation ◽  
Risk Source ◽  
Weather Changes

AbstrakMembangun usaha sarang burung walet rumahan bukanlah hal yang mudah, selain harus benar-benar memahami cara mendatangkan burung,merawat sarang sampai tahap panen. Penelitian ini bertujuan untuk, 1) mengetahui sumber–sumber risiko produksi dan  dampaknya terhadap usaha sarang burung walet; 2) merumuskan strategi mengatasi risiko produksi usaha sarang burung walet di Kabupaten Tana Tidung. Penelitian ini dilakukan pada 30 peternak sarang walet di Kecamatan Sesayap Kabupaten Tana Tidung. Analisis yang digunakan yaitu analisis deskriptif, analisis probabilitas, Z-score dan Value At Risk (VaR). Hasil penelitian menunjukkan bahwa sumber–sumber risiko produksi usaha sarang burung walet yang teridentifikasi yaitu perubahan cuaca dan kesalahan tenaga kerja. Sumber risiko terbesar adalah perubahan cuaca pada periode ke II dengan probabilitas sebesar 72% dan dampak yang paling sebesar pada periode ke III sebesar Rp. 2.630.704. Sedangkan sumber risiko kesalahan tenaga kerja pada periode II dengan probabilitas sebesar 68% dan dampak yang paling besar pada periode ke I sebesar Rp. 589.111. Strategi penanganan sumber risiko perubahan cuaca/iklim dengan strategi preventif yaitu membuat ventilasi udara dan menggunakan alat pengukur thermo hygrometer, selanjutnya strategi mitigasi yaitu pengisian air menggunakan wadah bak atau baskom. Sumber risiko kesalahan tenaga kerja menggunakan strategi preventif yaitu memberikan pengetahuan dan keterampilan melalui penyuluhan. Kata Kunci : Sarang Burung Walet, Sumber Risiko, Analisis Risiko, Penanganan Risiko AbstractBuilding a home swallow nest business is not easy, apart from having to really understand how to bring in birds, care for the nest until the harvest stage. This study aims to, 1) determine the sources of production risk and their impact on swallow's nest business; 2) formulating a strategy to overcome the risk of production in the swallow's nest business in Tana Tidung Regency. This research was conducted on 30 swallow nest breeders in Sesayap District, Tana Tidung Regency. The analysis used is descriptive analysis, probability analysis, Z-score and Value At Risk (VaR). The results showed that the identified sources of risk in the production of swallow's nest business were weather changes and labor errors. The biggest risk source is weather changes in the second period with a probability of 72% and the greatest impact in the third period of Rp. 2,630,704. While the source of the risk of labor error in period II with a probability of 68% and the greatest impact in the first period of Rp. 589,111. The strategy for handling the risk source of weather / climate change with a preventive strategy is to make air ventilation and use a thermo hygrometer measuring device, then the mitigation strategy is to fill water using a tub or basin container. The source of the risk of labor error using a preventive strategy, namely providing knowledge and skills through counseling.. Keywords: Swallow's Nest, Risk Sources, Risk Analysis, Risk Management

scholarly journals Risk Model Validation: An Intraday VaR and ES Approach Using the Multiplicative Component GARCH

Risks ◽  
2019 ◽  
Vol 7 (1) ◽  
pp. 10
Author(s):  
Ravi Summinga-Sonagadu ◽  
Jason Narsoo
Keyword(s):  
Loss Function ◽  
Value At Risk ◽  
Garch Model ◽  
Innovation Process ◽  
Expected Shortfall ◽  
Error Distribution ◽  
Garch Models ◽  
Intraday Data ◽  
Distributional Assumptions ◽  
T Distribution

In this paper, we employ 99% intraday value-at-risk (VaR) and intraday expected shortfall (ES) as risk metrics to assess the competency of the Multiplicative Component Generalised Autoregressive Heteroskedasticity (MC-GARCH) models based on the 1-min EUR/USD exchange rate returns. Five distributional assumptions for the innovation process are used to analyse their effects on the modelling and forecasting performance. The high-frequency volatility models were validated in terms of in-sample fit based on various statistical and graphical tests. A more rigorous validation procedure involves testing the predictive power of the models. Therefore, three backtesting procedures were used for the VaR, namely, the Kupiec’s test, a duration-based backtest, and an asymmetric VaR loss function. Similarly, three backtests were employed for the ES: a regression-based backtesting procedure, the Exceedance Residual backtest and the V-Tests. The validation results show that non-normal distributions are best suited for both model fitting and forecasting. The MC-GARCH(1,1) model under the Generalised Error Distribution (GED) innovation assumption gave the best fit to the intraday data and gave the best results for the ES forecasts. However, the asymmetric Skewed Student’s-t distribution for the innovation process provided the best results for the VaR forecasts. This paper presents the results of the first empirical study (to the best of the authors’ knowledge) in: (1) forecasting the intraday Expected Shortfall (ES) under different distributional assumptions for the MC-GARCH model; (2) assessing the MC-GARCH model under the Generalised Error Distribution (GED) innovation; (3) evaluating and ranking the VaR predictability of the MC-GARCH models using an asymmetric loss function.

Recommendations for Kübler Index standardization

Clay Minerals ◽  
2015 ◽  
Vol 50 (3) ◽  
pp. 283-286 ◽  
Author(s):  
L.N. Warr ◽  
R. Ferreiro Mählmann
Keyword(s):  
Lower Boundary ◽  
Crystallinity Index ◽  
Round Table ◽  
Rock Fragment ◽  
Round Table Discussion ◽  
Working Definition ◽  
Kübler Index ◽  
Definition Of ◽  
Boundary Limits ◽  
Index Standardization

AbstractFollowing a round-table discussion at the Mid-European Clay Conference in Dresden 2014, new recommendations for illite ‘crystallinity’ Kübler index standardization have been agreed upon. The use of Crystallinity Index standards in the form of rock-fragment samples will be continued, along with the same numerical scale of measurement presented by Warr & Rice (1994). However, in order to be compatible with the original working definition of Kübler's (1967) anchizone, the upper and lower boundary limits of the Crystallinity Index Standard (CIS) scale are adjusted appropriately from 0.25°2θ and 0.42°2θ to 0.32°2θ and 0.52°2θ. This adjustment is based on an inter-laboratory correlation between the laboratories of Basel, Neuchâtel and the CIS scale. The details of this correction are presented in this first note, as discussed at the round-table meeting and will be further substantiated by a correlation program between CIS and former Kübler–Frey–Kisch standards.

Statistical Analysis of the ASME KIc Database

1998 ◽  
Vol 120 (1) ◽  
pp. 24-28 ◽  
Author(s):  
M. A. Sokolov
Keyword(s):  
Fracture Toughness ◽  
Distribution Function ◽  
Lower Bound ◽  
Weibull Distribution ◽  
Master Curve ◽  
Lower Boundary ◽  
Transition Range ◽  
Weibull Distribution Function ◽  
American Society ◽  
Function Models

The American Society of Mechanical Engineers (ASME) KIc curve is a function of test temperature (T) normalized to a reference nil-ductility temperature, RTNDT, namely, T – RTNDT. It was constructed as the lower boundary to the available KIc database. Being a lower bound to the unique but limited database, the ASME KIc curve concept does not discuss probability matters. However, a continuing evolution of fracture mechanics advances has led to employment of the Weibull distribution function to model the scatter of fracture toughness values in the transition range. The Weibull statistic/master curve approach was applied to analyze the current ASME KIc database. It is shown that the Weibull distribution function models the scatter in KIc data from different materials very well, while the temperature dependence is described by the master curve. Probabilistic-based tolerance-bound curves are suggested to describe lower-bound KIc values.

LOCAL HEDGING OF VARIABLE ANNUITIES IN THE PRESENCE OF BASIS RISK

2018 ◽  
Vol 48 (02) ◽  
pp. 611-646 ◽  
Author(s):  
Denis-Alexandre Trottier ◽  
Frédéric Godin ◽  
Emmanuel Hamel
Keyword(s):  
Regime Switching ◽  
Value At Risk ◽  
Capital Requirements ◽  
Optimization Criterion ◽  
Local Optimization ◽  
Conditional Value At Risk ◽  
Variable Annuities ◽  
Basis Risk ◽  
Hedging Strategies ◽  
Risk Metric

AbstractA method to hedge variable annuities in the presence of basis risk is developed. A regime-switching model is considered for the dynamics of market assets. The approach is based on a local optimization of risk and is therefore very tractable and flexible. The local optimization criterion is itself optimized to minimize capital requirements associated with the variable annuity policy, the latter being quantified by the Conditional Value-at-Risk (CVaR) risk metric. In comparison to benchmarks, our method is successful in simultaneously reducing capital requirements and increasing profitability. Indeed the proposed local hedging scheme benefits from a higher exposure to equity risk and from time diversification of risk to earn excess return and facilitate the accumulation of capital. A robust version of the hedging strategies addressing model risk and parameter uncertainty is also provided.

scholarly journals Frequency domain interferometry mode observations of PMSE using the EISCAT VHF radar

2000 ◽  
Vol 18 (12) ◽  
pp. 1599-1612 ◽  
Author(s):  
P. B. Chilson ◽  
S. Kirkwood ◽  
I. Häggström
Keyword(s):  
Frequency Domain ◽  
Middle Atmosphere ◽  
Lower Boundary ◽  
Doppler Velocity ◽  
Vhf Radar ◽  
Radio Science ◽  
First Results ◽  
Summer Echoes ◽  
Polar Mesosphere Summer Echoes ◽  
Frequency Coherence

Abstract. During the summer of 1997 investigations into the nature of polar mesosphere summer echoes (PMSE) were conducted using the European incoherent scatter (EISCAT) VHF radar in Norway. The radar was operated in a frequency domain interferometry (FDI) mode over a period of two weeks to study the frequency coherence of the returned radar signals. The operating frequencies of the radar were 224.0 and 224.6 MHz. We present the first results from the experiment by discussing two 4-h intervals of data collected over two consecutive nights. During the first of the two days an enhancement of the FDI coherence, which indicates the presence of distinct scattering layers, was found to follow the lower boundary of the PMSE. Indeed, it is not unusual to observe that the coherence values are peaked around the heights corresponding to both the lower- and upper-most boundaries of the PMSE layer and sublayers. A Kelvin-Helmholtz mechanism is offered as one possible explanation for the layering structure. Additionally, our analysis using range-time-pseudocolor plots of signal-to-noise ratios, spectrograms of Doppler velocity, and estimates of the positions of individual scattering layers is shown to be consistent with the proposition that upwardly propagating gravity waves can become steepened near the mesopause.Key words: Ionosphere (polar ionosphere) · Meteorology and Atmospheric Dynamics (middle atmosphere dynamics) · Radio Science (Interferometry)

scholarly journals The mean-value at risk static portfolio optimization using genetic algorithm

2014 ◽  
Vol 11 (1) ◽  
pp. 89-109 ◽  
Author(s):  
Vladimir Rankovic ◽  
Mikica Drenovak ◽  
Boban Stojanovic ◽  
Zoran Kalinic ◽  
Zora Arsovski
Keyword(s):  
Genetic Algorithm ◽  
At Risk ◽  
Value At Risk ◽  
Computation Time ◽  
Mean Value ◽  
Portfolio Allocation ◽  
Local Optima ◽  
Coherent Risk ◽  
Portfolio Returns ◽  
Risk Metric

In this paper we solve the problem of static portfolio allocation based on historical Value at Risk (VaR) by using genetic algorithm (GA). VaR is a predominantly used measure of risk of extreme quantiles in modern finance. For estimation of historical static portfolio VaR, calculation of time series of portfolio returns is required. To avoid daily recalculations of proportion of capital invested in portfolio assets, we introduce a novel set of weight parameters based on proportion of shares. Optimal portfolio allocation in the VaR context is computationally very complex since VaR is not a coherent risk metric while number of local optima increases exponentially with the number of securities. We presented two different single-objective and a multiobjective technique for generating mean-VaR efficient frontiers. Results document good risk/reward characteristics of solution portfolios while there is a trade-off between the ability to control diversity of solutions and computation time.

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