1,720,981 research outputs found
La misurazione del market liquidity risk: l’aggiustamento delle misure VAR
No full textIl market liquidity risk è stato riportato in auge dalla crisi finanziaria internazionale diventata, nel tempo, crisi di illiquidità di strumenti e mercati finanziari. Esso è intrinsecamente connesso alla liquidabilità/liquidità di un asset finanziario. Una breve analisi comparativa dei modelli di Liquidity Adjusted VaR permetterà di analizzarne i fondamenti logici e metodologici. Obiettivo del presente lavoro è quello di applicare il modello valutativo di Meucci a un campione di titoli azionari per verificare l’impatto, sulle misure di rischio complessivo, del market liquidity risk anche in presenza di differenti livelli di diversificazione del portafoglio, diverse strategie di liquidazione, differenti fasi del mercato. Il modello scelto integra in un unico framework di misurazione le due componenti di rischio legate alla negoziazione di strumenti finanziari: il market risk «puro» e il market liquidity risk. Le ultime modifiche regolamentari in materia di assorbimenti patrimoniali obbligatori per il rischio di mercato sembrano ispirarsi alla stessa logica di integrazione.The international financial crises is also an illiquidity of securities and financial markets crises. This has given rise to market liquidity risk that is something different and more than «pure market risk» that asks financial intermediaries to be properly measured and managed. In this perspective, the paper aims: a) to compare the Liquidity Adjusted VaR methodologies and b) to apply the Meucci model’s on equity securities portfolio to measure the market liquidity risk and pure market risk in the presence of different levels of diversification, liquidity strategies, market’s periods
La gestione del rischio operativo negli intermediari finanziari: l’inclusione delle correlazioni
No full textLa tesi sviluppa l’analisi del rischio operativo degli intermediari bancari ed assicurativi, a partire dagli aspetti regolamentari, passando per quelli gestionali fino ad arrivare al tema centrale: la misurazione del rischio. Questa viene affrontata prima tramite un’approfondita review della letteratura, poi sviluppando una proposta di modello di misurazione, utilizzabile da ogni intermediario che cerchi di coniugare da una parte le esigenze di semplicità e comparabilità, dall’altra quelle di robustezza, tutte richieste anche dal regolatore.
A tale scopo viene assemblato un particolare database, contenente i dati perdita operativa di entrambe le tipologie di intermediari, bancari ed assicurativi, in modo da riuscire a cogliere le caratteristiche comuni. La metodologia seguita è quella del Loss Distribution Approach, con le distribuzioni di Poisson e Log-normale rispettivamente per frequenza ed impatto, secondo le best practice di mercato.
Il contributo innovativo è rappresentato dalla modalità con cui si giunge alla misura di rischio operativo complessiva: solitamente, infatti, l’analisi delle perdite operative avviene all’interno di sottocategorie di rischio, e per la misura aggregata si calcola la semplice somma delle singole misure; tale procedimento, sebbene incoraggiato dal normatore di vigilanza bancaria in ottica prudenziale, non consente di cogliere in modo adeguato la rischiosità effettiva: su questa tematica viene svolto il secondo approfondimento, ed all’aggregazione dei rischi si guarda ancora dalla prospettiva regolamentare, letteraria, implementativa.
L’aggregazione pone la questione delle dipendenze tra i rischi in esame: un’analisi preliminare indaga le relazioni tra perdite operative e variabili macroeconomiche, senza però confermare la predittività di tali fattori, quindi le correlazioni vengono ricavate direttamente a partire dai dati storici di perdita. Infine la metodologia utilizza lo strumento delle copule, che permette di tenere conto delle dipendenze di coda, caratteristica peculiare del rischio operativo ed emergente ancor di più nei periodi di stress; i risultati vedono emergere un beneficio da diversificazione non trascurabile, in linea con i rarissimi contributi della letteratura sul tema
Orchestrating heterogeneous MEC-based applications for connected vehicles
No full textIn the near future, 5G-connected vehicles will be able to exchange messages with each other, with the roadside infrastructure, with back-end servers, and with the Internet. They will do so with reduced latency, increased reliability, and large throughput under high mobility and user density. Different services with different requirements, such as Advanced Driving Assistance (ADA) and High Definition (HD) Video Streaming, will share the same physical resources, such as the wireless channel. Thus, a rigid orchestration among them becomes necessary to prioritize network resource allocation. This study proposes a Connected Vehicle Service Orchestrator (CVSO) which optimizes the Quality of Experience (QoE) of an in-vehicle infotainment video delivery service, while taking into account the required bandwidth for coexisting high priority services, such as ADA. To this end, we provide an Integer Linear Programming (ILP) formulation for the problem of optimally assigning a video streaming bitrate/quality per user to maximize the overall QoE, considering information from the video service and the Radio Access Network (RAN) levels. Our system takes advantage of recent developments in the area of Multi-access Edge Computing (MEC). In particular, we have implemented the CVSO and other service-level components and have deployed them on top of a standards-compliant MEC platform that we have developed. We exploit MEC-native services such as the Radio Network Information Service (RNIS) to offer the CVSO the necessary level of RAN awareness. Experiments on a full LTE network testbed featuring our MEC platform demonstrate the performance improvements our system brings in terms of video QoE. Furthermore, we propose and evaluate different algorithms to solve the ILP, which exhibit different trade-offs between solution quality and execution time
Requirements for 5G fronthaul
No full textThis paper first overviews possible evolved NodeB (eNB) functional splits. Then it illustrates which requirements the Radio Access Network (RAN) shall satisfy to effectively transport 5G protocol data units (PDUs) as a function of the considered functional split
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Full text link“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Full text linkWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Dispelling the Myths Behind First-author Citation Counts
Full text linkWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
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