Many financial time series show heavy tail behavior. Such tail characteristic is important for risk management. In this research, we focus on the calculation of Value-at-Risk (VaR) for portfolios of financial assets. We consider nonlinear autoregressive models with heavy tail innovations to model the return. Predictive distribution of the return are used to compute the VaR of the portfolios of financial assets. Examples are also given to compare the VaR computed by our approach with those by other methods.

An essential requirement of cloud computing or data centers is to simultaneously achieve good performance and high utilization for cost efficiency. High utilization through virtualization and hardware resource sharing is critical for both cloud providers and cloud consumers to reduce management and infrastructure costs (e.g., energy cost, hardware cost) and to increase cost-efficiency. Unfortunately, achieving good performance (e.g., low latency) for web applications at high resource utilization remains an elusive goal. Both practitioners and researchers have experienced the latency long-tail problem in clouds during periods of even moderate utilization (e.g., 50%). In this dissertation, we show that transient bottlenecks are an important contributing factor to the latency long-tail problem. Transient bottlenecks are bottlenecks with a short lifespan on the order of tens of milliseconds. Though short-lived, transient bottleneck can cause a long-tail response time distribution that spans a spectrum of 2 to 3 orders of magnitude, from tens of milliseconds to tens of seconds, due to the queuing effect propagation and amplification caused by complex inter-tier resource dependencies in the system. Transient bottlenecks can arise from a wide range of factors at different system layers. For example, we have identified transient bottlenecks caused by CPU dynamic voltage and frequency scaling (DVFS) control at the CPU architecture layer, Java garbage collection (GC) at the system software layer, and virtual machine (VM) consolidation at the application layer. These factors interact with naturally bursty workloads from clients, often leading to transient bottlenecks that cause overall performance degradation even if all the system resources are far from being saturated (e.g., less than 50%). By combining fine-grained monitoring tools and a sophisticated analytical method to generate and analyze monitoring data, we are able to detect and study transient bottlenecks in a systematic way.

The most widely used classification method for statistical mapping is Jenks’s natural breaks. However, it has been found that natural breaks is not good at classifying data which have scaling property. Scaling property is ubiquitous in many societal and natural phenomena. It can be explained as there are far more smaller things than larger ones. For example, there are far more shorter streets than longer ones, far more smaller street blocks than bigger ones, and far more smaller cities than larger ones. Head/tail breaks is a new classification scheme that is designed for values that exhibit scaling property. In Digital Elevation Models (DEMs), there are far more lower elevation points than higher elevation points. This study performs both head/tail breaks and natural breaks for values from five resolutions of DEMs. The aim of this study is to examine advantages and disadvantages of head/tail breaks classification scheme compared with natural breaks. One of the five resolutions of DEMs is given as an example to illustrate the principle behind the head/tail breaks in the case study.The results of head/tail breaks for five resolutions are slightly different from each other in number of classes or level of details. The similar results of comparisons support the previous finding that head/tail breaks is advantaged over natural breaks in reflecting the hierarchy of data. But the number of classes could be reduced for better statistical mapping. Otherwise the top values, which are very little, would be nearly invisible in the map.A main conclusion to be drawn from this study is that head/tail breaks classification scheme is advantaged over natural breaks in presenting hierarchy or scaling of elevation data, with the top classes gathered into one. Another conclusion is when the resolution gets higher; the scaling property gets more striking.

My dissertation is based on a unified self-consistent scaling framework which is consistent with key behavior exhibited by many spatially/temporally varying earth, environmental and other variables. This behavior includes tendency of increments to have symmetric, non-Gaussian frequency distributions characterized by heavy tails that often decay with lag; power-law scaling of sample structure functions (statistical moments of absolute increments) in midranges of lags, with breakdown in power-law scaling at small and/or large lags; linear relationships between log structure functions of successive orders at all lags, also known as extended self-similarity; and nonlinear scaling of structure function power-law exponents with function order. The major question we attempt to answer is: given data measured on a given support scale at various points throughout a 1D/2D/3D sampling domain, which appear to be statistically distributed and to scale in a manner consistent with that scaling framework, what can be said about the spatial statistics and scaling of its extreme values, on arbitrary separation or domain scales? To do so, we limit our investigation in 1D domain for simplicity and generate synthetic signals as samples from 1D sub-Gaussian random fields subordinated to truncated monofractal fractional Brownian motion (tfBm) or truncated fractional Gaussian noise (tfGn). Such sub-Gaussian fields are scale mixtures of stationary Gaussian fields with random variances that we model as being log-normal or Lévy α/2-stable. This novel interpretation of the data allows us to obtain maximum likelihood estimates of all parameters characterizing the underlying truncated sub-Gaussian fields. Based on synthetic data, we find these samples conform to the aforementioned scaling framework and confirm the effectiveness of generation schemes. We numerically investigate the manner in which variables, which scale according to the above scaling framework, behave at the tails of their distributions. Ours is the first study to explore the statistical scaling of extreme values, specifically peaks over thresholds or POTs, associated with such families of sub-Gaussian fields. Before closing this work, we apply and verify our analysis by investigating the scaling of statistics characterizing vertical increments in neutron porosity data, and POTs in absolute increments, from six deep boreholes in three different depositional environments.

Bakalauro baigiamajame darbe nagrinėjama Lietuvos interneto vartotojų naudojimasis elektronine prekyba (toliau – e. prekyba). Pagrindinis tyrimo tikslas, aptarus e. prekybą teoriniu požiūriu ir atlikus anketinę apklausą, ištirti naudojimosi e. prekyba mąstą, respondentų nuomonę apie e. prekybą, bei priežastis, kodėl neperkama elektroninėje erdvėje. Anketinis tyrimas atliktas internetu, kuriame dalyvavo 300 respondentų. Gauti tyrimo rezultatai parodė, kad trečdalis apklaustųjų yra išbandę e. prekybą. Beveik pusė pirkėjų perka užsienio e. parduotuvėse, kuriose respondentai teigia, didesnis prekių pasirinkimas, bei žemesnės kainos. Svariausias e. prekybos privalumas, yra galimybė nusipirkti prekių žemesnėmis kainomis. Pabaigoje pateikiamos rekomendacijos elektroninių parduotuvių paslaugas norinčioms teikti ar jau teikiančioms įmonėms, padėsiančios pritraukti daugiau klientų. / In this Bachelor‘s degree work Lithuanian electronic tailing situation is researched. The main objective is after researching theoretical background of the subject to conduct a survey to find out about e-tailing usage, opinion and main reason, why some users don‘t use it. Conducted survey on the internet, in which participated 300 persons. Research results showed, that three parts of persons surveys have tried buying products online. Half of them are buying products abroad, instead of domestic purchases. As of reason that there is more products and the prices are lower. The main advantage of e-tailing is that products are cheaper on the internet. In the end of the research there are recommendations for e-tailing companies, which might help to attract more customers.

Cystatin Related Epididymal Spermatogenic protein (CRES) is expressed in both the testis and epididymis and found associated with spermatozoa. It appears as non-glycosylated (14 and 12 kDa) and glycosylated isoforms (19 and 17 kDa). The role of CRES is enigmatic and dependent on localization of its isoforms, which is the objective of this study. The initial approach was to investigate testicular and epididymal origins of these isoforms by immunohistochemistry and immunogold cytochemistry. To further pinpoint CRES localization we then selectively extracted and fractionated epididymal spermatozoa in order to find by immunoblotting which sperm fractions contained CRES isoforms. Immunohistochemical analysis of mouse spermatogenesis showed that CRES was expressed in the tail cytoplasm of elongating spermatids from step 9-16, with a pattern reminiscent of outer dense fibre (ODF) proteins. Ultrastructural immunocytochemistry revealed that the immunogold label was concentrated over growing ODFs and mitochondrial sheath in the testes which persisted in spermatozoa through the epididymis. Sequential extractions of isolated sperm tails with Triton X-100-dithiothreitol (DTT) to remove the mitochondrial sheath, whose extract contained an unrelated 66 kDa immunoreactive band, followed by either sodium dodecyl sulfate (SDS)-DTT or urea-DTT to solubilise accessory fibres of the tail revealed a 14 kDa immunoreactive band associated with the ODF. In addition, Western blots revealed glycosylated and non-glycosylated CRES isoforms in nonyl phenoxylpolyethoxylethanol (NP40) extracts of the caput, but not cauda, sperm. Immunohistochemical analysis of the caput and cauda epithelium showed that CRES is secreted by the Golgi apparatus of the ii initial segment, fills the proximal caput lumen, and disappears by mid caput. Western blots of caput and cauda tissue and luminal fluid revealed 14 and 19 kDa immunoreactive bands in caput tissues and luminal fluid, but not in the cauda. This study concludes that there are two origins of CRES, one arising in the testis and the other in the epididymis. Testicular CRES is ionically and covalently associated with the ODF while epididymal CRES is detergent soluble and is most likely associated temporarily with the surface of caput epididymal sperm. / Thesis (Master, Anatomy & Cell Biology) -- Queen's University, 2010-09-03 14:22:01.913

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<p>This dissertation explores issues regarding the short-lived temporal variation of the equity risk premium. In the past decade, the equity risk premium puzzle is resolved by many competing consumption-based asset pricing models. However, before \cite{btz:vrp:rfs}, the return predictability as an outcome of such models has limited empirical support in the short-run. Nowadays, there has been a consensus of the literature that the short-run equity return's predictability is intimately linked with the variance risk premium---the difference between options-implied and actual realized variation measures.</p><p>In this work, I continue to argue the importance of the short-lived components in the equity risk premium. Specifically, I first provide simulation evidence of the strong return predictability based on the variance risk premium in the U.S. aggregate market, and document new empirical findings in the international setting. Then I attempt to use a structural macro-finance model to guide through the predictability estimation with much more efficiency gain. Finally I decompose the equity risk premium into two short-lived parts --- tail risk and diffusive risk --- and propose a semi-parametric estimation method for each part. The results are arranged in the following order.</p><p>Chapter 1 of the dissertation is co-authored with Tim Bollerslev, James Marrone and Hao Zhou. In this chapter, we demonstrate that statistical finite sample biases cannot ``explain'' this apparent predictability in U.S. market based on variance risk premium. Further corroborating the existing evidence of the U.S., we show that country specific regressions for France, Germany, Japan, Switzerland, the Netherlands, Belgium and the U.K. result in quite similar patterns. Defining a ``global'' variance risk premium, we uncover even stronger predictability and almost identical cross-country patterns through the use of panel regressions. </p><p>Chapter 2 of the dissertation is co-authored with Tim Bollerslev and Hao Zhou. In this chapter, we examine the joint predictability of return and cash flow within a present value framework, by imposing the implications from a long-run risk model that allow for both time-varying volatility and volatility uncertainty. We provide new evidences that the expected return variation and the variance risk premium positively forecast both short-horizon returns \textit{and} dividend growth rates. We also confirm that dividend yield positively forecasts long-horizon returns, but that it does not help in forecasting dividend growth rates. Our equilibrium-based ``structural'' factor GARCH model permits much more accurate inference than %the reduced form VAR and</p><p>univariate regression procedures traditionally employed in the literature. The model also allows for the direct estimation of the underlying economic mechanisms, including a new volatility leverage effect, the persistence of the latent long-run growth component and the two latent volatility factors, as well as the contemporaneous impacts of the underlying ``structural'' shocks.</p><p>In Chapter 3 of the dissertation, I develop a new semi-parametric estimation method based on an extended ICAPM dynamic model incorporating jump tails. The model allows for time-varying, asymmetric jump size distributions and a self-exciting jump intensity process while avoiding commonly used but restrictive affine assumptions on the relationship between jump intensity and volatility. The estimated model implies that the average annual jump risk premium is 6.75\%. The model-implied jump risk premium also has strong explanatory power for short-to-medium run aggregate market returns. Empirically, I present new estimates of the model based equity risk premia of so-called "Small-Big", "Value-Growth" and "Winners-Losers" portfolios. Further, I find that they are all time-varying and all crashed in the 2008 financial crisis. Additionally, both the jump and volatility components of equity risk premia are especially important for the "Winners-Losers" portfolio.</p> / Dissertation

Enhancing the ability to predict airflow around the Vertical Tail Plane (VTP) of an aircraft is vital in the aviation industry. The size of the VTP is driven by a particular flight condition - loss of an engine during take-off and low speed climb. Nowadays, Computational Fluid Dynamics (CFD) is the main tool used by engineers to assess VTP flows. However, due to uncertainties in the prediction of VTP effectiveness, aircraft designers keep to a conservative approach, which risks oversizing of the tail plane, adding more drag. Uncertainties emerge from difficulties in predicting the massive separation that occurs on the swept tail when it is approached by a flow at high incidence. Furthermore, the deployment of the control surface (the rudder) over the tail plane and the skewed flow along the span increase the CFD challenges. Improved predictive capabilities of the flow around VTPs would enable a more optimal design approach with potential drag saving. The correct prediction of flow separation is the essence of this study. Currently, the industry uses steady Reynolds-Averaged Navier-Stokes (RANS) simulations to analyse VTPs flow. In order to assess RANS performance, the study of airflow detaching from a backward rounded ramp is performed and the results are compared to Large-Eddy Simulations (LES). The analysis shows that, even though RANS may predict the onset of flow separation correctly, they completely miss the location of flow reattachment over the ramp, and this affects the whole flow solution. Moreover, the flow features a strong anisotropy at the onset of separation, difficult to be captured by RANS. The analysis shows that RANS cannot predict production of turbulent kinetic energy in the detached flow region correctly, discouraging flow mixing, and delaying flow reattachment. A hybrid RANS/LES carried out on the same test case shows the benefits of using eddy-resolving simulations for detached flows. The prediction of the locations of the separation and reattachment points differs by only 1% from the highly-resolved simulation. The VTP investigation carried out in this thesis uses a wind tunnel model tested at Airbus. The study starts with steady RANS approaches for different turbulence models. RANS simulations produce acceptable results for the flow at low incidence levels. On the contrary, at high incidence, when flow separation occurs, RANS methods fail. The second step of the research consists of using unsteady RANS (URANS) simulations for VTP flows at high sideslip angles. The introduction of time-accuracy brings important benefits. Nevertheless, the results still show some inaccuracies (around 20% error). Finally, restarting from the flow solutions obtained by URANS simulations, higher fidelity hybrid RANS/LES techniques in the form of Delayed Detached-Eddy Simulations (DDES) are used to assess the characteristics of the separated flow around the tail plane. Results show a remarkable improvement of the flow solution. The pressure distribution matches experimental results favourably, and this translates into an improved prediction of the aerodynamic loads over the VTP. This leads towards a new strategy for the assessment of the flow over aircraft VTPs, amounting to an important contribution to the design of future aircraft.

A Case Study on Long-tail Risks and Risk Mitigation in Risk Management.   How can Allianz Global Corporate and Specialty (AGCS) make best use of risk mitigation measures for drafting product liability policy wordings? A case study on Triclosan as a possible Endocrine Disruptor with the potential for Mass Litigation.   With external forces, the insurance industry has been facing issues since before  9/11 but the evolvement of risk managers and risk management programs in organizations has become a standard for all corporations due to the realization of the potential impact these external forces and risks possibly possess. These programs have emerged to reduce the risk and uncertainty factor that organizations are facing. The factors have been identified in previous literature, as the regulation through authorities (Carroll et al., 2016), the customer relationship that to a certain degree even embraces risk (Kerr, 2016), the agency risk in risk taking (Eling &amp; Marek, 2013). In terms to prepare for these risks, the corporations need to go through a rescaling of their business which was associated with the establishment of Risk Management Processes on all levels (Thislethwaite and Wood, 2018). As such, the rescaling in general can be seen as a Risk Management (RM) structure that would framework the communication of risk in a company.   The insurer AGCS is studied on its Risk Management (RM) processes, especially in the fourth phase of RM which is the phase of risk mitigation or reduction. Here it has previously been identified there being no other possible ethical actuarial mitigation methods for long-tail risks (Carroll et al., 2016). Therefore, a risk with such categories was studied with the study on Triclosan. Triclosan is a widely spread and commonly used chemical substance with certain and uncertain causations that can pose several risks with one of them being the possibility of mass litigation. The underwriter tool to mitigate such long-tail risks has been defined as the policy wording which can be used to create an optimal contract in the product liability insurance to reduce the risk of mass litigation.    To answer the above research question, this study has taken an interpretivist stance and the form of a quantitative study to follow the framework of Yin’s (2009) case study approach. With the goal to research the meaning behind a phenomenon, rather than to quantify a phenomenon, the use of semi structured interviews with experts of the insurance industry was conducted. These experts were found in the departments of Allianz Risk Consulting, Underwriting, and Claims.    The findings, similarly to the previous research that has been discussed in the introductory chapter, found that there are certain macro forces that shape the risk mitigation phase and here the influence on the policy wording within was touched upon. It was found that regulations do play a vital part and pose as leverage for the insurer and a pillar that would carry the weight of policy wording. It has further been identified that the costumer relationship and the costumer strength in the market are responsible for a functioning risk mitigation and also that certain demands stemming from the market, will shape the product liability insurance. While the more specific answer to the research question was, yes, the corporate insurer should cover triclosan related risks on a claims-made basis, with serial-loss clause and a retroactive date, there would be other factors that influence the policy wording. The grounded theory that has been established in this research is thus;    To manage liability insurance coverage for long-tail risks, product liability policy wording language needs to reflect main pillars as being used for comparable base materials. This includes but is not limited to claims made trigger, retro-active dates and other coverage elements. Macro forces and drivers of the policy wording, include but are not limited to, costumer strength, market demand, risk perception and market regulations. To ensure a successful risk management on an enterprise level for coverage of long-tail risks, the above factors have to be accounted for when offering product liability coverage.   Based on the aforementioned theory, Triclosan is a manageable risk from a corporate liability insurers perspective, hence insurance coverage can be given under product liability policy wordings.   Here it is proposed that further research be conducted on the identified macro forces and their impact on the product liability insurance and the more general RM in organizations. Also, it is proposed to research such a possible framework for including the costumer in the process of risk mitigation in terms of reducing the risks form where they start with the starting point being at the costumer. This is a future vision that as such would need further research to reach scientific saturation.