In this paper the authors introduce a new hybrid approach based on the Extreme Value Theory (EVT) to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. The ...

In this paper, we discuss the transition from secure employment to risky self-employment (entrepreneurship) caused by a small increase in wealth. Building on the apportioning risk literature, we prove that the transition ...

In this paper, we discuss the transition from secure employment to risky selfemployment (entrepreneurship) caused by a small increase in wealth. Building on the apportioning risk literature, we prove that the transition ...

Criminal risk models are used to assist security forces both in the identification of zones with high of criminal activity for better resource allocation and prediction of future criminal events for the prevention of new ...

Este trabalho aplica a teoria de cópulas à mensuração do risco de mercado, através do cálculo do Value at Risk (VaR). A função de cópula oferece uma maior flexibilidade para a agregação de riscos quando comparada com ...

The Cue Utilization Theory establishes that all products are made of multiples cues that may be seen as surrogates for the intangible attributes that make up any given product. However, the results of many years of research ...