Ciências e Tecnologia | Comunicações em congressos, conferências, seminários/Communications in congresses, conferences, seminars
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Browsing Ciências e Tecnologia | Comunicações em congressos, conferências, seminários/Communications in congresses, conferences, seminars by Sustainable Development Goals (SDG) "08:Trabalho Digno e Crescimento Económico"
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- An overview of the systemic risk measuresPublication . Basílio, Jorge; Oliveira, Amilcar; Mahmoudvand, RahimSystemic risk is a specific type of risk that refers to the risk of an complex system to be affect or even collapse due to individual action taken by the agents that compounds that complex system. The goals of this work is based on an axiomatic approach establish a critic description of the most relevant methods used in the determination of systemic risk and identify advantages and disadvantages associated to those methods.
- Fitting heavy Tail distributions with mixture modelsPublication . Basílio, Jorge; Oliveira, AmilcarThe normal probability distribution as assumption for financial returns have been recognized as inappropriate, and a source of inaccurate estimation of Value at Risk. Empirical evidence also have been shown that financial returns shows a more accentuated leptokurtic distribution when compared with a Normal distribution and also skewed. This is usually a cause of underestimated values of VaR, specially when the quantiles are very low. Therefore it is necessary to focus on the tail of the distribution and identify models to fit that behavior. We will highlight the differences between the quality of fitting in the tails of the distribution and the fitting for all the distribution. This work compares and interprets the results obtained by applying mixture models as a method to estimate the behavior on the extremes for heavy tail data distributions. This results will be then used to describe an analytical solution of VaR under mixture models.
- Preface of the “Symposium on Exploring Statistical Methodologies and Applications”Publication . Oliveira, Teresa; Oliveira, Amilcar
- Statistics and big data: different perspectivesPublication . Nunes, Sandra; Oliveira, Teresa; Oliveira, AmilcarBig Data has become the new slang in the world of information collection and analysis. The researches we conduct and the data we collect continue to grow, due to rapidly expansion of technology. Disciplines such as Computer Science, Engineering, and Statistics play a key role in the analysis of big data, each with its specificity but all equally important, an opinion that is not shared by all, being the Statistic considered the weakest link. This work attempts to show that Statistics have a distinct and essential role in this new world of Big Data, showing that Statistics and Big Data denote a crucial union. We will start with a brief introduction to Big Data and the several existing definitions.