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Distributions

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  1. Cutting edge intro: Righting wrong-way risk

    Commonly used exposure-weighting methods are based on exposure distributions at each time point. So, as you go forward in time, you have to work with a series of different distributions, making it impossible to model the path of exposure.

  2. Rand Fishkin Talks New Approach to Link Building, Content Marketing & Contextual Search

    He basically analyzes a bunch of big content pieces that he's done, compares them to all the blog posts he's ever written, and sort of the time and effort distributions and comes to the conclusion that huge content that takes a ton of time and...

  3. Clear and present danger

    Let me hypothesise that, unfortunate hyperbole and observations that take appropriate account of distributions really used in developing risk models (which aren’t normal curves) aside, the data set Basel II protected is too time-constrained, too...

  4. Calculation of aggregate loss distributions

    Estimation of the operational risk capital under the loss distribution approach requires evaluation of aggregate (compound) loss distributions, which is one of the classic problems in risk theory. Closed-form solutions are not available for the...

  5. Journal of Operational Risk Volume 5/Issue 2, Summer 2010

    Pavel Shevchenko notices that the estimation of operational risk capital under the loss distribution approach requires the evaluation of aggregate (compound) loss distributions. As closed-form solutions are not usually available for the...

  6. Kernel quantile based estimation of expected shortfall

    Bias reduction is particularly effective in reducing the tail estimation bias as well as the consequential bias that arises in kernel smoothing and finite-sample fitting and, thus, serves as a natural approach to the estimation of extreme...

    Published
  7. Pricing problems

    Investors redeeming at overstated NAVs might expect to be the subject of ‘claw-back’ claims.Pending resolution of these issues redemptions or distributions are likely to remain suspended and investors are unlikely to be able even to extract what...

  8. Risk needs new clothes

    I reckon that most people didn’t get taken in by it,” he says.Nightingale thinks the way analysts are looking at risk is flawed, based on a belief that the distribution tail is shorter than it really is.He says: “The distributions are wrong, the...

  9. How Valid Are Your Landing Page Test Conclusions?

    Since more of the mass of the normal distributions lies close to the mean, the actual numbers are more likely to be near it. Internet marketing produces a detailed and quantifiable view of your online campaign activities.

    Published
  10. Algorithms for handling CVaR constraints in dynamic stochastic programming models with applications to finance

    Hence they allow shaping distributions according to the decisionmaker’s preferences. Research Papers Csaba I. Fábián Department of Operations Research, Eötvös Loránd University of Budapest, Pázmány Péter sétány 1/c, Budapest H-1117, Hungary and...

  11. External loss data helps: evidence from the ORX database

    The study first assessed what similarities could be observed among the loss severity distributions among different banks in various loss categories, focusing primarily on event type, business line and combined business line/event type categories.

  12. Imitation - or replication - is the sincerest form of flattery

    To form the joint distributions (or bivariate distributions), two univariate distributions and a copula are combined. It gives 54 (three possible types of distribution for the first distribution x three types of distribution for the second...

    Published