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Meta-Recognition: The Theory and Practice of Recognition Score Analysis
(Ieee Computer SocLos AlamitosEUA, 2011)
Tail risk in the hedge fund industry
(2015-05-28)
The dissertation goal is to quantify the tail risk premium embedded into hedge funds' returns. Tail risk is the probability of extreme large losses. Although it is a rare event, asset pricing theory suggests that investors ...
Aplicação de diferentes metodologias do Value at Risk (VaR) para mensuração do risco de mercado de uma carteira teórica de ações
(Universidade Estadual Paulista (Unesp), 2022-03-17)
Value at Risk is a risk measure widely used by financial institutions to assist in the allocation of the minimum capital requirement. This study presents the regulation of risk management for financial institutions and the ...
HEAVY RAINFALL AND TEMPERATURE PROYECTIONS IN A CLIMATE CHANGE SCENARIO OVER QUITO, ECUADOR
(2017-01)
This research analyzes daily extreme events of minimum, maximum temperatures and rain in the Metropolitan District of Quito using data of more than 30 years from the meteorological network of INAMHI (Instituto Nacional de ...
Aplicação da Teoria dos valores extremos em estratégias "Long-Short"
(Universidade Federal do Espírito SantoBRTeoria economica; Economia da inovação; Economia regional; Métodos quantitativosPrograma de Pós-Graduação em EconomiaUFES, 2010-12-17)
Increasingly has appeared on the market of investment Absolute Return Funds (Hedge Funds), which have the main objective to improve their performance through arbitrage strategies, as long-short strategies. It is the ...
Interfaces between statistical learning and risk management.
(2020)
The recent hype on Artificial Intelligence, Data Science, and Machine Learning has been leading to a revolution in the industries of Banking and Finance. Motivated by this revolution, this
thesis develops novel statistical ...
Downscaling estocástico para extremos climáticos via interpolação espacial
(Universidade Federal do Rio Grande do NorteBRUFRNPrograma de Pós-Graduação em Matemática Aplicada e EstatísticaProbabilidade e Estatística; Modelagem Matemática, 2010-05-31)
Present day weather forecast models usually cannot provide realistic descriptions of local and particulary extreme weather conditions. However, for lead times of about a small number of days, they provide reliable forecast ...