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31.969  Articles
1 of 3.198 pages  |  10  records  |  more records»
AbstractOrientation: In light of the global financial instabilities, investors and risk analysts need extreme risk management tools to help them accurately monitor and reduce market exposure in an investment portfolio.Research purpose: The main ... see more

Severe floods in the Western Cape Province of South Africa have caused significant damage to property and infrastructure over the past decade (2003–2014). The hydrological design criteria for exposed structures and design flood calculations are based most... see more

AbstractOrientation: Exchange market pressure (EMP) is the selling pressure of domestic currency or excess demand needed for foreign currency.Research purpose: The purpose of this study was to analyse EMP using extreme value theory (EVT) and to ... see more

AbstractOrientation: Value-at-risk (VAR) and other risk management tools, such as expected shortfall (conditional VAR), are heavily reliant on a suitable set of underlying distributional conjecture. Thus, distinguishing the underlying distribution that be... see more

This paper uses closing prices of the BRICS (Brazil, Russia, India, China, and South Africa) financial markets to implement a risk model that generates point estimates of both Value at Risk (VaR); and Expected Shortfall (ES). The risk model is thereafter ... see more

In the paper, the problem of determination of the number of observations necessary for the appropriate use of the non-parametric Mann-Whitney test in the case of Pareto distribution is presented. Using the method provided by Noether, the sample size is ca... see more

Nofal and El Gebaly (2017), presented certain characterizations of the Pareto distribution based on the conditional expectations of power of the order statistics. In this short note we show that the same results can easily be obtained in terms of the powe... see more

A new lifetime class of distributions is introduced by compounding the exponential Pareto and power series distributions. The compounding procedure follows the same set-up carried out by Adamidis and Loukas (1998). We obtain several properties of the new ... see more

Characterization results have great importance in statistics and probability applications. Some characterizations of Pareto of the rst kind and Pareto of the second kind distributions are presented by using conditional expectation in terms of their failur... see more

1 of 3.198 pages  |  10  records  |  more records»