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Análise do Índice Brasileiro de Sustentabilidade Empresarial em uma perspectiva de retorno e risco: estudo de eventos da divulgação das carteiras teóricas no período de 2005 a 2010; Analysis of Brazilian Corporate Sustainability Index in a risk and return perspective: event study of theoretical portfolios release from 2005 to 2010

Figlioli, Bruno
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Dissertação de Mestrado Formato: application/pdf
Publicado em 17/09/2012 Português
Relevância na Pesquisa
45.63%
Este trabalho investigou o comportamento dos retornos e risco das ações quando da divulgação das carteiras teóricas do Índice de Sustentabilidade Empresarial (ISE). Este índice foi implementado em 2005 pela Bolsa de Valores São Paulo e é considerado referência de boas práticas de sustentabilidade e responsabilidade corporativa no Brasil. No entanto, a inclusão de uma empresa em indicadores de sustentabilidade não garante, necessariamente, um melhor desempenho de suas ações. Neste contexto foram utilizadas as metodologias de estudo de eventos, análise de repetições, backtesting, regressão logit e análise envoltória de dados para analisar a reação dos retornos das ações do ISE e verificar se fatores ligados ao desempenho econômico, impacto ambiental e níveis de governança corporativa são fatores que influenciam esses retornos. Foram analisadas as ações pertencentes à carteira teórica do ISE no período de 2005 a 2010. Os resultados sugerem que os retornos das ações que integram o ISE foram influenciados pela divulgação das carteiras teóricas do ISE, uma vez que foi constatado: i) retornos anormais ao mercado; ii) não aleatoriedade dos retornos anormais ao mercado; iii) concentração dos retornos anormais ao mercado após a divulgação das carteiras teóricas e; iv) retornos anormais ao Value at RisK (VaR). Os resultados constataram que...

Simulações Financeiras em GPU; Finance and Stochastic Simulation on GPU

Souza, Thársis Tuani Pinto
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Dissertação de Mestrado Formato: application/pdf
Publicado em 26/04/2013 Português
Relevância na Pesquisa
45.64%
É muito comum modelar problemas em finanças com processos estocásticos, dada a incerteza de suas variáveis de análise. Além disso, problemas reais nesse domínio são, em geral, de grande custo computacional, o que sugere a utilização de plataformas de alto desempenho (HPC) em sua implementação. As novas gerações de arquitetura de hardware gráfico (GPU) possibilitam a programação de propósito geral enquanto mantêm alta banda de memória e grande poder computacional. Assim, esse tipo de arquitetura vem se mostrando como uma excelente alternativa em HPC. Com isso, a proposta principal desse trabalho é estudar o ferramental matemático e computacional necessário para modelagem estocástica em finanças com a utilização de GPUs como plataforma de aceleração. Para isso, apresentamos a GPU como uma plataforma de computação de propósito geral. Em seguida, analisamos uma variedade de geradores de números aleatórios, tanto em arquitetura sequencial quanto paralela. Além disso, apresentamos os conceitos fundamentais de Cálculo Estocástico e de método de Monte Carlo para simulação estocástica em finanças. Ao final, apresentamos dois estudos de casos de problemas em finanças: "Stops Ótimos" e "Cálculo de Risco de Mercado". No primeiro caso...

Alocação de potencia em sistemas de comunicações sem fio : abordagens estocastica via o CVaR e robusta; Power allocation in wireless communication systems : stochastic via CVaR and robust approaches

Yusef Rafael Caceres Zuniga
Fonte: Biblioteca Digital da Unicamp Publicador: Biblioteca Digital da Unicamp
Tipo: Tese de Doutorado Formato: application/pdf
Publicado em 28/11/2007 Português
Relevância na Pesquisa
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Nesta tese, estuda-se o problema da alocação de potência através de duas abordagens: estocástica e robusta, sendo os ganhos do canal, que descrevem o estado do sistema de comunicações sem fio, parcialmente observados pelo decisor. Na abordagem estocástica, considera-se que os ganhos do canal são variáveis aleatórias, que representam a variação rápida do sinal de rádio. Nesse contexto, reformula-se o índice de desempenho do sistema através do CVaR (Conditional. Value-at-Risk). Na abordagem robusta, considera-se que os ganhos do canal e o ruído pertencem a um determinado conjunto convexo. Em ambas as abordagens, a solução ótima é obtida em termos de um problema de otimização convexa. Adicionalmente, na abordagem estocástica, apresenta-se um algoritmo recursivo e distribuído, que converge para uma solução subótima, quando o ruído é nulo e a potência transmitida é limitada tanto superior como inferiormente. Também mostra-se que, em um sistema onde os ganhos do canal coincidem com o seu valor esperado, esse algoritmo converge para a soluçãã ótima quando a qualidade do enlace é muito maior que a mínima requerida.; This thesis deals with the power allocation problem under the stochastic and robust approaches...

Monitorização da compreensão da leitura : resultados de alunos em risco de apresentar dificuldades de aprendizagem específicas

Lages, Marta Sofia Marcos
Fonte: Universidade do Minho Publicador: Universidade do Minho
Tipo: Dissertação de Mestrado
Publicado em //2014 Português
Relevância na Pesquisa
45.62%
Dissertação de mestrado em Educação Especial (área de especialização em Dificuldades de Aprendizagem Específicas); A finalidade do presente estudo consistiu em descrever e explorar a utilização da Monitorização com Base no Currículo, para a identificação de alunos em risco de apresentar Dificuldades de Aprendizagem Específicas na leitura. Desenvolvi um estudo quantitativo, tendo, para a recolha de dados, aplicado a Prova Maze a 1394 alunos do segundo ano de escolaridade do 1.º Ciclo do Ensino Básico, pertencentes aos doze agrupamentos de escolas do concelho de Braga. Consideraram-se em risco os alunos cujo resultado se encontrava no percentil 20 ou abaixo deste (Deno, 2003). Os dados foram analisados e apresentados descritiva e inferencialmente. A partir dos resultados deste estudo, concluiu-se que: 1) A prova MBC – Maze se revelou económica, rápida e de fácil aplicação e cotação, tendo sido bem aceite por professores e alunos; 2) Apesar de o crescimento semanal dos alunos em risco e dos não em risco não ter sido muito díspar, 0,100 e 0,123, respetivamente, em ambas as aplicações a média dos alunos em risco é inferior à dos demais alunos; 3) Nos dois momentos de recolha de dados existiram diferenças estatisticamente significativas entre as pontuações obtidas nos doze agrupamentos...

Hurricane Loss Modeling and Extreme Quantile Estimation

Yang, Fan
Fonte: FIU Digital Commons Publicador: FIU Digital Commons
Tipo: Artigo de Revista Científica Formato: application/pdf
Português
Relevância na Pesquisa
45.62%
This thesis reviewed various heavy tailed distributions and Extreme Value Theory (EVT) to estimate the catastrophic losses simulated from Florida Public Hurricane Loss Projection Model (FPHLPM). We have compared risk measures such as Probable Maximum Loss (PML) and Tail Value at Risk (TVaR) of the selected distributions with empirical estimation to capture the characteristics of the loss data as well as its tail distribution. Generalized Pareto Distribution (GPD) is the main focus for modeling the tail losses in this application. We found that the hurricane loss data generated from FPHLPM were consistent with historical losses and were not as heavy as expected. The tail of the stochastic annual maximum losses can be explained by an exponential distribution. This thesis also touched on the philosophical implication of small probability, high impact events such as Black Swan and discussed the limitations of quantifying catastrophic losses for future inference using statistical methods.

Prognostic value of treadmill exercise echocardiography

Peteiro-Vázquez, Jesús; Monserrat Iglesias, Lorenzo; Mariñas-Dávila, Javier; Garrido, Iris P.; Bouzas-Caamaño, María; Muñiz, Javier; Bouzas-Mosquera, Alberto; Bouzas-Zubeldia, Beatriz; Álvarez-García, Nemesio; Castro-Beiras, Alfonso
Fonte: Elsevier Publicador: Elsevier
Tipo: Artigo de Revista Científica
Português
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45.62%
[Abstract] Introduction and objectives. Exercise echocardiography (EE) is useful for diagnosing coronary disease, but little is known about its value for risk stratification. We aimed to determine: a) whether data from EE supplemented clinical data and data from exercise testing and resting echocardiography in predicting cardiac events; and b) whether the number and location of abnormal regions and their responses to exercise influenced risk stratification. Patients and method. The 2,436 patients referred for EE were followed up for 2.1 ±1.5 years. Some 120 serious cardiovascular events (i.e., non-fatal myocardial infarction or cardiovascular death) occurred before revascularization. Results. In 1203 patients (49%), EE gave abnormal results. There were 89 events in patients with an abnormal result (7.3%) and 31 in those with a normal result (2.5%; P <.0001). Multivariate analysis of clinical data, and data from exercise testing, resting echocardiography, and EE showed that male sex (RR=1.7; 95% CI, 1.1–2.8; P = .02), metabolic equivalents or METs (RR=0.9; 95% CI, 0.86–0.98; P=.01), peak heart rate × blood pressure (RR= 0.9; 95% CI, 0.9; P=.002), resting wall motion score index (RR=2.5; 95% CI, 1.5–4.1; P <.0001), and number of abnormal regions at peak exercise (RR=1.4; 95% CI...

For all my family's sake, I should go and find out: An Australian report on genetic counseling and testing uptake in individuals at high risk of breast and/or ovarian cancer

Wakefield, C.; Ratnayake, P.; Meiser, B.; Suthers, G.; Price, M.; Duffy, J.; Tucker, K.
Fonte: Mary Ann Liebert Inc Publ Publicador: Mary Ann Liebert Inc Publ
Tipo: Artigo de Revista Científica
Publicado em //2011 Português
Relevância na Pesquisa
45.63%
Context: Despite proven benefits, the uptake of genetic counseling and testing by at-risk family members of BRCA1 and BRCA2 mutation carriers remains low. Aims: This study aimed to examine at-risk individuals’ reported reasons for and against familial cancer clinic (FCC) attendance and genetic testing. Methods: Thirty-nine telephone interviews were conducted with relatives of high-risk mutation carriers, 23% (n¼9) of whom had not previously attended an FCC. Interview responses were analyzed using the frameworks of Miles and Huberman. Results: The reasons most commonly reported for FCC attendance were for clarification of risk status and to gain access to testing. While disinterest in testing was one reason for FCC nonattendance, several individuals were unaware of their risk (n¼3) or their eligibility to attend an FCC (n¼2), despite being notified of their risk status through their participation in a large-scale research project. Individuals’ reasons for undergoing testing were in line with that reported elsewhere; however, concerns about discrimination and insurance were not reported in nontestees. Conclusions: Current guidelines regarding notifying individuals discovered to be at increased risk in a research, rather than clinical setting...

Choix de portefeuille de grande taille et mesures de risque pour preneurs de décision pessimistes

Noumon, Codjo Nérée Gildas Maxime
Fonte: Université de Montréal Publicador: Université de Montréal
Tipo: Thèse ou Mémoire numérique / Electronic Thesis or Dissertation
Português
Relevância na Pesquisa
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Cette thèse de doctorat consiste en trois chapitres qui traitent des sujets de choix de portefeuilles de grande taille, et de mesure de risque. Le premier chapitre traite du problème d’erreur d’estimation dans les portefeuilles de grande taille, et utilise le cadre d'analyse moyenne-variance. Le second chapitre explore l'importance du risque de devise pour les portefeuilles d'actifs domestiques, et étudie les liens entre la stabilité des poids de portefeuille de grande taille et le risque de devise. Pour finir, sous l'hypothèse que le preneur de décision est pessimiste, le troisième chapitre dérive la prime de risque, une mesure du pessimisme, et propose une méthodologie pour estimer les mesures dérivées. Le premier chapitre améliore le choix optimal de portefeuille dans le cadre du principe moyenne-variance de Markowitz (1952). Ceci est motivé par les résultats très décevants obtenus, lorsque la moyenne et la variance sont remplacées par leurs estimations empiriques. Ce problème est amplifié lorsque le nombre d’actifs est grand et que la matrice de covariance empirique est singulière ou presque singulière. Dans ce chapitre, nous examinons quatre techniques de régularisation pour stabiliser l’inverse de la matrice de covariance: le ridge...

Supervisão dos fundos de pensões baseada na avaliação dos riscos

Santos, Célia Cristina Antunes dos
Fonte: Instituto Superior de Economia e Gestão Publicador: Instituto Superior de Economia e Gestão
Tipo: Dissertação de Mestrado
Publicado em /06/2008 Português
Relevância na Pesquisa
45.64%
Mestrado em Ciências Actuariais; Os sistemas de pensões privados têm um papel primordial na economia de um país, nomeadamente em Portugal. Dado o clima de incerteza da sustentabilidade financeira a longo prazo da Segurança Social portuguesa, os fundos de pensões revestem-se de um carácter fundamental na constituição de poupanças para a reforma, bem como constituem um meio de desenvolvimento do mercado financeiro e de capitais. De tal forma, a exigência de uma supervisão proactiva, atenta aos diversos riscos incorridos por um determinado fundo de pensões, não se restringindo apenas ao seu estado de solvência ou à respectiva entidade gestora, ganha cada vez maior expressão no contexto actual. A presente dissertação procura apresentar linhas orientadoras para a construção de um modelo baseado na avaliação dos riscos de um fundo de pensões, passando pela situação actuarial, as características do plano de pensões e da população, bem como pelos parâmetros exógenos a ele afectos, designadamente os relacionados com o associado, o mercado de capitais e a qualidade de gestão. Ainda, tendo em conta alguns riscos quantificáveis, tais como os financeiros e os demográficos, é efectuada uma aplicação prática com vista à determinação do requisito de capital de um determinado fundo de pensões para a cobertura daqueles riscos...

Extreme value modelling of Ghana stock exchange index

Nortey, Ezekiel N. N.; Asare, Kwabena; Mettle, Felix Okoe
Fonte: Springer International Publishing Publicador: Springer International Publishing
Tipo: Artigo de Revista Científica
Publicado em 12/11/2015 Português
Relevância na Pesquisa
45.64%
Modelling of extreme events has always been of interest in fields such as hydrology and meteorology. However, after the recent global financial crises, appropriate models for modelling of such rare events leading to these crises have become quite essential in the finance and risk management fields. This paper models the extreme values of the Ghana stock exchange all-shares index (2000–2010) by applying the extreme value theory (EVT) to fit a model to the tails of the daily stock returns data. A conditional approach of the EVT was preferred and hence an ARMA-GARCH model was fitted to the data to correct for the effects of autocorrelation and conditional heteroscedastic terms present in the returns series, before the EVT method was applied. The Peak Over Threshold approach of the EVT, which fits a Generalized Pareto Distribution (GPD) model to excesses above a certain selected threshold, was employed. Maximum likelihood estimates of the model parameters were obtained and the model’s goodness of fit was assessed graphically using Q–Q, P–P and density plots. The findings indicate that the GPD provides an adequate fit to the data of excesses. The size of the extreme daily Ghanaian stock market movements were then computed using the value at risk and expected shortfall risk measures at some high quantiles...

Risk-Sensitive and Robust Decision-Making: a CVaR Optimization Approach

Chow, Yinlam; Tamar, Aviv; Mannor, Shie; Pavone, Marco
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 06/06/2015 Português
Relevância na Pesquisa
45.63%
In this paper we address the problem of decision making within a Markov decision process (MDP) framework where risk and modeling errors are taken into account. Our approach is to minimize a risk-sensitive conditional-value-at-risk (CVaR) objective, as opposed to a standard risk-neutral expectation. We refer to such problem as CVaR MDP. Our first contribution is to show that a CVaR objective, besides capturing risk sensitivity, has an alternative interpretation as expected cost under worst-case modeling errors, for a given error budget. This result, which is of independent interest, motivates CVaR MDPs as a unifying framework for risk-sensitive and robust decision making. Our second contribution is to present an approximate value-iteration algorithm for CVaR MDPs and analyze its convergence rate. To our knowledge, this is the first solution algorithm for CVaR MDPs that enjoys error guarantees. Finally, we present results from numerical experiments that corroborate our theoretical findings and show the practicality of our approach.; Comment: Submitted to NIPS 15

Exploration vs Exploitation vs Safety: Risk-averse Multi-Armed Bandits

Galichet, Nicolas; Sebag, Michèle; Teytaud, Olivier
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 06/01/2014 Português
Relevância na Pesquisa
45.64%
Motivated by applications in energy management, this paper presents the Multi-Armed Risk-Aware Bandit (MARAB) algorithm. With the goal of limiting the exploration of risky arms, MARAB takes as arm quality its conditional value at risk. When the user-supplied risk level goes to 0, the arm quality tends toward the essential infimum of the arm distribution density, and MARAB tends toward the MIN multi-armed bandit algorithm, aimed at the arm with maximal minimal value. As a first contribution, this paper presents a theoretical analysis of the MIN algorithm under mild assumptions, establishing its robustness comparatively to UCB. The analysis is supported by extensive experimental validation of MIN and MARAB compared to UCB and state-of-art risk-aware MAB algorithms on artificial and real-world problems.; Comment: 16 pages

On a Transform Method for the Efficient Computation of Conditional VaR (and VaR) with Application to Loss Models with Jumps and Stochastic Volatility

Ramponi, Alessandro
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 03/07/2014 Português
Relevância na Pesquisa
45.64%
In this paper we consider Fourier transform techniques to efficiently compute the Value-at-Risk and the Conditional Value-at-Risk of an arbitrary loss random variable, characterized by having a computable generalized characteristic function. We exploit the property of these risk measures of being the solution of an elementary optimization problem of convex type in one dimension for which Fast and Fractional Fourier transform can be implemented. An application to univariate loss models driven by L\'{e}vy or stochastic volatility risk factors dynamic is finally reported.; Comment: 23 pages, 7 figures

Scenario generation for stochastic programs with tail risk measures

Fairbrother, Jamie; Turner, Amanda; Wallace, Stein
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 10/11/2015 Português
Relevância na Pesquisa
45.65%
Tail risk measures such as Value-at-Risk and Conditional Value-at-Risk are used in stochastic programming to mitigate or reduce the probability of large losses. However, because tail risk measures only depend on the upper tail of a distribution, scenario generation for these problems is difficult as standard methods such as sampling will typically inadequately represent these areas. We present a problem-based approach to scenario generation for stochastic programs which use tail risk measures, and demonstrate this approach on a class of portfolio selection problems.

Policy Gradient for Coherent Risk Measures

Tamar, Aviv; Chow, Yinlam; Ghavamzadeh, Mohammad; Mannor, Shie
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
45.64%
Several authors have recently developed risk-sensitive policy gradient methods that augment the standard expected cost minimization problem with a measure of variability in cost. These studies have focused on specific risk-measures, such as the variance or conditional value at risk (CVaR). In this work, we extend the policy gradient method to the whole class of coherent risk measures, which is widely accepted in finance and operations research, among other fields. We consider both static and time-consistent dynamic risk measures. For static risk measures, our approach is in the spirit of policy gradient algorithms and combines a standard sampling approach with convex programming. For dynamic risk measures, our approach is actor-critic style and involves explicit approximation of value function. Most importantly, our contribution presents a unified approach to risk-sensitive reinforcement learning that generalizes and extends previous results.

Saddlepoint methods for conditional expectations with applications to risk management

Kim, Sojung; Kim, Kyoung-kuk
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 07/10/2015 Português
Relevância na Pesquisa
45.64%
The paper derives saddlepoint expansions for conditional expectations in the form of $\mathsf{E}[\overline{X} | \overline{\mathbf Y} = {\mathbf a}]$ and $\mathsf{E}[\overline{X} | \overline{\mathbf Y} \geq {\mathbf a}]$ for the sample mean of a continuous random vector $(X, {\mathbf Y}^\top)$ whose joint moment generating function is available. Theses conditional expectations frequently appear in various applications, particularly in quantitative finance and risk management. Using the newly developed saddlepoint expansions, we propose fast and accurate methods to compute the sensitivities of risk measures such as value-at-risk and conditional value-at-risk, and the sensitivities of financial options with respect to a market parameter. Numerical studies are provided for the accuracy verification of the new approximations.; Comment: 36 pages, 5 figures

Stochastic optimal bid to electricity markets with environmental risk constraints

Cifuentes Rubiano, Julián
Fonte: Centre de Recerca Matemàtica Publicador: Centre de Recerca Matemàtica
Tipo: Dissertação de Mestrado Formato: application/pdf
Publicado em //2012 Português
Relevância na Pesquisa
45.63%
There are many factors that influence the day-ahead market bidding strategies of a generation company (GenCo) in the current energy market framework. Environmental policy issues have become more and more important for fossil-fuelled power plants and they have to be considered in their management, giving rise to emission limitations. This work allows to investigate the influence of both the allowances and emission reduction plan, and the incorporation of the derivatives medium-term commitments in the optimal generation bidding strategy to the day-ahead electricity market. Two different technologies have been considered: the coal thermal units, high-emission technology, and the combined cycle gas turbine units, low-emission technology. The Iberian Electricity Market and the Spanish National Emissions and Allocation Plans are the framework to deal with the environmental issues in the day-ahead market bidding strategies. To address emission limitations, some of the standard risk management methodologies developed for financial markets, such as Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR), have been extended. This study offers to electricity generation utilities a mathematical model to determinate the individual optimal generation bid to the wholesale electricity market...

Risk Analysis of Prostate Cancer in PRACTICAL, a Multinational Consortium, Using 25 Known Prostate Cancer Susceptibility Loci

Amin Al Olama, Ali; Benlloch, Sara; Antoniou, Antonis C.; Giles, Graham G.; Severi, Gianluca; Neal, David; Hamdy, Freddie C.; Donovan, Jenny L.; Muir, Kenneth; Schleutker, Johanna; Henderson, Brian E.; Haiman, Christopher; Schumacher, Fredrick R.; Pashaya
Fonte: AACR Publicador: AACR
Tipo: Article; accepted version
Português
Relevância na Pesquisa
45.64%
This is the author accepted manuscript. The final version is available via AACR at http://cebp.aacrjournals.org/content/early/2015/04/02/1055-9965.EPI-14-0317.long.; BACKGROUND: Genome-wide association studies have identified multiple genetic variants associated with prostate cancer (PrCa) risk which explain a substantial proportion of familial relative risk. These variants can be used to stratify individuals by their risk of PrCa. METHODS: We genotyped 25 PrCa susceptibility loci in 40,414 individuals and derived a polygenic risk score (PRS). We estimated empirical Odds Ratios for PrCa associated with different risk strata defined by PRS and derived age-specific absolute risks of developing PrCa by PRS stratum and family history. RESULTS: The PrCa risk for men in the top 1% of the PRS distribution was 30.6 (95% CI 16.4-57.3) fold compared with men in the bottom 1%, and 4.2 (95% CI 3.2-5.5) fold compared with the median risk. The absolute risk of PrCa by age 85 was 65.8% for a man with family history in the top 1% of the PRS distribution, compared with 3.7% for a man in the bottom 1%. The PRS was only weakly correlated with serum PSA level (correlation=0.09). CONCLUSIONS: Risk profiling can identify men at substantially increased or reduced risk of PrCa. The effect size...

On the non-linear dynamics of financial market risk and liquidity.

Reusch, Christian
Fonte: London School of Economics and Political Science Thesis Publicador: London School of Economics and Political Science Thesis
Tipo: Thesis; NonPeerReviewed Formato: application/pdf
Publicado em //2008 Português
Relevância na Pesquisa
45.65%
This thesis provides a novel empirical treatment of the dynamics of financial market risk and liquidity, two very important areas both for financial research as well as to practitioners in the financial markets: We devise empirical non-linear time series models of the two concepts that specifically take into account 'explosive', self-reinforcing dynamic patterns. While 'conventional' empirical models are often 'linear' and tend to neglect these effects, real-life evidence such as e.g. the 1987 crash, the large stock market drops on February 27th, 2007 or the huge losses posted by investment banks and hedge funds during July and August 2007, suggest that such an approach is warranted: In the first part of the thesis we extend a time series model of Value-at-Risk (VaR) with non-linear multiplicative features and endogenous regime thresholds. When estimated with a Markov Chain Monte Carlo (MCMC) method against real data, the resulting 'Self- Exciting Threshold CAViaR' (Conditional Autoregressive Value-at- Risk) model is able to detect trigger thresholds for explosive market risk as well as the scale of such a possible expansion in risk. The second part of the thesis is dedicated to the 'Conditional Autoregressive Liquidity' (CARL) model...

Strategy to estimate risk progression of chronic kidney disease, cardiovascular risk, and referral to nephrology: the EPIRCE Study

Gayoso-Diz,Pilar; Otero-González,Alfonso; Rodríguez-Álvarez,M. Xosé; García,Fernando; González-Quintela,Arturo; Martín-de Francisco,Ángel L.
Fonte: Nefrología (Madrid) Publicador: Nefrología (Madrid)
Tipo: info:eu-repo/semantics/article; journal article; info:eu-repo/semantics/publishedVersion Formato: text/html; application/pdf
Publicado em 01/01/2013 Português
Relevância na Pesquisa
45.64%
Background: Although the prevalence of chronic kidney disease (CKD) is 10-14%, several prospective studies note a low rate of progression to end-stage renal disease (ESRD) in stages 3 and 4. A correct classification of risk of progression, based on demonstrated predictive factors, would allow better management of CKD. Recent studies have demonstrated the high predictive value of a classification that combines estimated (e) glomerular filtration rate (GFR) and urine albumin-creatinine ratio (ACR). We estimated the clinical risk of progression to ESRD and cardiovascular mortality predicted by the combined variable of eGFR and ACR in the Spanish general population. Materials and Methods: This study was a cross-sectional evaluation in the Epirce sample, representative of Spanish population older than 20 years. GFR was estimated using MDRD and CKD-EPI formulas; microalbuminuria was considered to be an ACR 20-200 mg/g (men) or 30-300 mg/g (women) and macroalbuminuria was indicated beyond these limits. Population-weighted prevalence of risk of progression of CKD to ESRD was estimated. Results: With MDRD, 1.4% of the adult Spanish population was at moderate risk of progression to ESRD, 0.1% at high risk, and 12.3% at low risk. With CKD-EPI...