# Questions tagged [risk]

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### How to calculate the VaR of an equally weighted portfolio of 2 assets using the copula approach?

The R-code procedure in the GARCH-EVT-Copula model estimation I have been able to do the following steps in R: Fit GARCH models to each series. Extract standardized returns. Transform standardized ...
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### A simulation risk formulation where Bayesianism and frequentism is combined

For my mathematics bachelor-thesis at the Statistics Netherlands, i became acquainted with frequentist and Bayesian statistics. I had set up a simulation-study, and I am not sure if the risk I ...
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### Different definitions of Bayes risk

I'm having trouble understanding the proper definition of Bayes risk. Let the data/variate $x \sim P(X|\theta)$, $\theta\in \Theta$, $\pi$ be a distribution on $\Theta$ (prior), $\hat \theta(x)$ be ...
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### Include predictions as feature in regression. covariate or offset?

I have a regression setting in which I would like to explore the influence of a given variable on a certain patient condition, given a level of risk for the same outcome, predicted with a more complex ...
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### Probability - Plant Production

I work for an agricultural company. We grow plant varieties that yield fruit. Some varieties do well, others do not. All plants need the key drivers of success: good soil, water, sun, etc. So here ...
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### Interpretation of VAR for non normal distribution!

I want to compute the VAR and expected shortfall for log returns of monthly wholesale gas and electricity prices. The data is not normally distributed and I only have 72 observation for each. I ...
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### help specifying a multilevel risk model

Hi and any help greatly appreciated specifying this model! I have a binary outcome, measured at the person level (coronary event). There are 9 'risk event' predictors (also binary coded as occurred/...
132 views

### I'm looking for a risk analysis book with citations from academic backgrounds that focuses on shocks and the unknown. Looking for a Taleb alternative [closed]

I'm less than ... enthusiastic about some of Taleb's claims regarding, say, the paleo diet. I make no comment on his political content, but I want someone more factual and hard, and less prone to ...
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### Relative risk calculation for effect modification testing

I was trying to replicate an example from Knol et al (Knol 2012, Int J Epidemiol, Recommendations for presenting analyses of effect modification and interaction) but I dont get the same results as the ...
431 views

### Compound Poisson Process with Weibull jumps

I need to simulate a compound Poisson Process in R, however I am not clear with the algorithm to generate it. I have conceptual gaps. I know by definition that: A compound Poisson process is the ...
I'm attending a course in mathematical statistics and it seems the lecturer tacitly assumes that given estimators $T_1,T_2 : \Omega \to \Lambda$ of a parameter $g : \Theta \to \Lambda$, a loss ...
Bayes' risk is $L^*=0$ for a classification problem. $g_n(x)$ is a classification rule (plug-in) such that $g_n=0$ is $\eta_n(x)\leq 1/2$ and $g_n=1$ otherwise. The function $\eta$ is given by \$\eta(x)...