Résumé: En esta nota se corrigen algunos errores del algoritmo de Kohn y Ansley (1982), que tienen que
ver con la construcción de un sistema de ecuaciones lineales para calcular las matrices de autocovarianzas
teóricas de un modelo ARMA multivariante.
Résumé: Under the Basel II Accord, banks and other Authorized Deposit-taking Institutions
(ADIs) have to communicate their daily risk estimates to the monetary authorities at the
beginning of the trading day, using a variety of Value-at-Risk (VaR) models to measure
risk. Sometimes the risk estimates communicated using these models are too high,
thereby leading to large capital requirements and high capital
costs. At other times, the
risk estimates are too low, leading to excessive violations, so that realised losses are
above the estimated risk. In this paper we propose a learning strategy that complements
existing methods for calculating VaR and lowers daily capital requirements, while
restricting the number of endogenous violations within the Basel II Accord penalty
limits. We suggest a decision rule that responds to violations in a discrete and
instantaneous manner, while adapting more slowly in periods of no violations. We
apply the proposed strategy to Standard & Poor’s 500 Index and show there can be
substantial savings in daily capital charges, while restricting the number of violations to
within the Basel II penalty limits.
Mots-clés: Daily capital charges, Endogenous violations, Frequency of
violations, Optimizing strategy, Risk forecasts, Value-at-risk.
Résumé: In this article the authors generalize the position value, defined by Meessen (1988) for the class of deterministic communication situations, to the class of generalized probabilistic communication situation (Gómez et al.)They provide two characterization of this new allocation rule, They characterize the probabilistic position value using probabilistic version of component efficiency and balanced
link contribution. The They generalize the notion of link potential, defined by Slikker for the class of deterministic communication situations, to the class of generalizad probabilistic commnication situations, and use it charasterized their allocation rules. Finally, They show that these two characterizations are logically equivalent.
Mots-clés: Game theory, TU games, Graph-restricted games, Position value
Résumé: Modeling volatility, or “predictable changes” over time and space in a
variable, is crucial in the natural and social sciences. Life can be volatile, and anything
that matters, and which changes over time and space, involves volatility. Without volatility, many temporal and spatial variables would simply be constants.
Our purpose is to propose a scientific classification of the alternative volatility models and approaches that
are available in the literature, following the Linnaean taxonomy.
This scientific classification is used because the literature has evolved as a living organism, with the birth of numerous new species of models.
Résumé: In this paper it propose a social capital measure for individuals belonging to a social network. to do this, It uses a game theoretical approach and so it suppose that these indivuduals are involved in a cooperative TU-game modelling the economic or social interest that motivate their interest.
Mots-clés: Social capital, Centrality, TU games, Shapley value, Myerson value
Résumé: Se presentan diferentes aplicaciones de los agentes inteligentes para la gestión de información científica, técnica y comercial. Se estudian los diferentes servicios existentes y se analizan algunas herramientas que pueden contribuir el desarrollo de servicios de información especializados.
Mots-clés: Agentes inteligentes; Gestión de información; Investigación científica
Matière: Biblioteconomía y Documentación; Estadística; Informática
Résumé: Breve presentación de los conceptos básicos sobre Lógica Difusa (Fuzzy Set), así como algunas aplicaciones de la misma y resultados, en la enseñanza del trabajo social y en la adquisisción de competencias profesionales en la Universidad.
Mots-clés: Lógica Difusa, Tratamiento de datos, Lógica tradicional, Competencias profesional, Trabajo Social
Résumé: Given a capacity, the set of dominating k-additive capacities is a convex polytope called the k-additive monotone core; thus, it is defined by its vertices. In this paper, we deal with the problem of deriving a procedure to obtain such vertices in the line of the results of Shapley and Ichiishi for the additive case. We propose an algorithm to determine the vertices of the n-additive
monotone core and we explore the possible translations for the k-additive case.
