Statistics and Probability Commons^™

Modeling And Simulation Of Value -At -Risk In The Financial Market Area, Xiangyin Zheng

Doctoral Dissertations

Value-at-Risk (VaR) is a statistical approach to measure market risk. It is widely used by banks, securities firms, commodity and energy merchants, and other trading organizations. The main focus of this research is measuring and analyzing market risk by modeling and simulation of Value-at-Risk for portfolios in the financial market area. The objectives are (1) predicting possible future loss for a financial portfolio from VaR measurement, and (2) identifying how the distributions of the risk factors affect the distribution of the portfolio. Results from (1) and (2) provide valuable information for portfolio optimization and risk management.

The model systems chosen …

A Comparison For Longitudinal Data Missing Due To Truncation, Rong Liu

Theses and Dissertations

Many longitudinal clinical studies suffer from patient dropout. Often the dropout is nonignorable and the missing mechanism needs to be incorporated in the analysis. The methods handling missing data make various assumptions about the missing mechanism, and their utility in practice depends on whether these assumptions apply in a specific application. Ramakrishnan and Wang (2005) proposed a method (MDT) to handle nonignorable missing data, where missing is due to the observations exceeding an unobserved threshold. Assuming that the observations arise from a truncated normal distribution, they suggested an EM algorithm to simplify the estimation.In this dissertation the EM algorithm is …