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Assets
Kinds of Assets Terms modified by Assets Selected AbstractsThree-dimensional dynamic time-resolved contrast-enhanced MRA using parallel imaging and a variable rate k -space sampling strategy in intracranial arteriovenous malformationsJOURNAL OF MAGNETIC RESONANCE IMAGING, Issue 1 2009Mina Petkova MD Abstract Purpose To evaluate the effectiveness of three-dimensional (3D) dynamic time-resolved contrast-enhanced MRA (TR-CE-MRA) using a combination of a parallel imaging technique (ASSET: array spatial sensitivity encoding technique) and a time-resolved method (TRICKS: time-resolved imaging of contrast kinetics) and to compare it with 3D dynamic TR-CE-MRA using ASSET alone in the assessment of intracranial arteriovenous malformations (AVMs). Materials and Methods Twenty consecutive patients with angiographically confirmed AVMs were investigated using both 3D dynamic TR-CE-MRA techniques. Examinations were compared with respect to image quality, spatial resolution, number and type of feeders and drainers, nidus size, presence of early venous filling and temporal resolution. Digital subtraction angiography was used as standard of reference. Results The higher temporal and spatial resolution of 3D dynamic TR-CE-MRA TRICKS ASSET allowed a better assessment of intracranial vascular malformations, namely better depiction of feeders, drainers and better detection of early venous drainage. There was no significant difference between them in terms of nidus size. Conclusion 3D dynamic TR-CE-MRA combining parallel imaging and a time-resolved method with subsecond and submillimeter resolution could become the first-line investigation technique in both diagnosis and follow-up of intracranial AVMs. J. Magn. Reson. Imaging 2009;29:7,12. © 2008 Wiley-Liss, Inc. [source] Parallel imaging of knee cartilage at 3 TeslaJOURNAL OF MAGNETIC RESONANCE IMAGING, Issue 4 2007Jin Zuo PhD Abstract Purpose To evaluate the feasibility and reproducibility of quantitative cartilage imaging with parallel imaging at 3T and to determine the impact of the acceleration factor (AF) on morphological and relaxation measurements. Materials and Methods An eight-channel phased-array knee coil was employed for conventional and parallel imaging on a 3T scanner. The imaging protocol consisted of a T2-weighted fast spin echo (FSE), a 3D-spoiled gradient echo (SPGR), a custom 3D-SPGR T1rho, and a 3D-SPGR T2 sequence. Parallel imaging was performed with an array spatial sensitivity technique (ASSET). The left knees of six healthy volunteers were scanned with both conventional and parallel imaging (AF = 2). Results Morphological parameters and relaxation maps from parallel imaging methods (AF = 2) showed comparable results with conventional method. The intraclass correlation coefficient (ICC) of the two methods for cartilage volume, mean cartilage thickness, T1rho, and T2 were 0.999, 0.977, 0.964, and 0.969, respectively, while demonstrating excellent reproducibility. No significant measurement differences were found when AF reached 3 despite the low signal-to-noise ratio (SNR). Conclusion The study demonstrated that parallel imaging can be applied to current knee cartilage quantification at AF = 2 without degrading measurement accuracy with good reproducibility while effectively reducing scan time. Shorter imaging times can be achieved with higher AF at the cost of SNR. J. Magn. Reson. Imaging 2007;26:1001,1009. © 2007 Wiley-Liss, Inc. [source] THE DEMAND FOR A RISKY ASSET: SIGNING, JOINTLY AND SEPARATELY, THE EFFECTS OF THREE DISTRIBUTIONAL SHIFTSMETROECONOMICA, Issue 2 2005Thomas Paulsson ABSTRACT We show that, if an individual's utility function exhibits a degree of relative temperance smaller than one, the individual will react, in a plausible way, to each of three common shifts in the stochastic distribution of his wealth, namely to FSD shifts, mean-preserving spreads and increases in downside risk. First, we derive, in a unified setting, necessary and sufficient conditions for signing the comparative-static effects of each of these shifts separately, and, second, we invoke implications of the property of mixed risk aversion to merge these separate conditions into a single sufficient condition for jointly signing all comparative-static effects. [source] WEALTH EFFECT OF PUBLIC FUND INJECTIONS TO AILING BANKS: DO DEFERRED TAX ASSETS AND AUDITING FIRMS MATTER?,THE JAPANESE ECONOMIC REVIEW, Issue 4 2007NOBUYOSHI YAMORI This paper examines the wealth effect on other banks by the public fund injection into Resona Bank. This paper finds that the injection initially conveyed the auditing firms' strict stance towards deferred tax assets. More importantly, the procedure that the government employed was regarded by market participants as a too-big-to-fail policy. Therefore, although the Resona injection was effective in obviating a financial crisis, the policy was inevitably accompanied with the moral hazard problem. [source] INTANGIBLE ASSETS, BOOK-TO-MARKET, AND COMMON STOCK RETURNSTHE JOURNAL OF FINANCIAL RESEARCH, Issue 1 2006James M. Nelson Abstract I examine two anomalies where the Fama and French three-factor model fails to adequately explain monthly industry and index returns. Both anomalies are consistent with a bad model problem where the book-to-market factor introduces a negative bias in the intercepts. I propose the intangibles model as an alternative where the three-factor model is known to have difficulty. This alternative model, which replaces the book-to-market factor with zero investment portfolio returns based on prior investments in intangible assets, is well specified in random samples, has comparable power, and fully explains both anomalies. [source] Equity-Based, Asset-Based and Asset-Backed Transactional Structures in Shari'a -Compliant Financing: Reflections on the Current Financial Crisis,ECONOMIC PAPERS: A JOURNAL OF APPLIED ECONOMICS AND POLICY, Issue 3 2009Razi Pahlavi Abdul Aziz F33; G21; P45; P49 This paper presents interest-free equity-based, asset-based and asset-backed transactional structures endorsed by Shari'a -compliant finance. These structures could explain the potential and relative insulation, yet not immunity, of Islamic financial institutions from the financial crisis. Although Shari'a -compliant financing cannot solve the current financial crisis, the recovering market could consider incorporating some of the insulating principles underlying Shari'a -compliant financing and securitization products, as exemplified in the sample of Shari'a -compliant products in this paper, so as to offer better consumer protection. [source] Implications for Asset Pricing Puzzles of a Roll-over Assumption for the Risk-Free Asset,INTERNATIONAL REVIEW OF FINANCE, Issue 3-4 2008GEOFFREY J. WARREN ABSTRACT The equity risk premium and risk-free rate puzzles are largely resolved by combining persistent uncertainty over the long-term consumption growth rate with analysis of the risk-free asset on a ,roll-over' basis. Under these conditions, cash equivalents are evaluated as a multi-period investment strategy that hedges against adverse growth rate outcomes. The premium on the risky asset is raised and the risk-free rate lowered due to their respective relation with multi-period consumption risk. Historical average asset returns are matched at plausible risk aversion. [source] Depressive Symptoms and Self-Rated Health in Community-Dwelling Older Adults: A Longitudinal StudyJOURNAL OF AMERICAN GERIATRICS SOCIETY, Issue 9 2002Beth Han MD OBJECTIVES: To test whether baseline depressive symptoms in older adults increase the risk of subsequent decline in self-rated health and decrease the likelihood of subsequent improvement in self-rated health. DESIGN: A 2-year prospective cohort study. SETTING: Six thousand seven hundred fourteen community-dwelling older persons who completed the first and second wave of the Asset and Health Dynamics among the Oldest-Old Survey in the United States. PARTICIPANTS: Community-dwelling older people in the United States. MEASUREMENTS: Baseline depressive symptoms were measured using a short-form of the Center for Epidemiological Studies Depression Scale. Self-rated health was measured using a single item of global health rating. RESULTS: After adjustment for covariates, a high burden of depressive symptoms at baseline was predictive of greater decline in self-rated health (odds ratio (OR) for decline in those with high burden of depressive symptoms vs those without = 1.47, 95% confidence interval (CI) = 1.26,1.70). Likewise, high burden of depressive symptoms at baseline predicted less improvement in self-rated health (OR for improvement in those with high burden of depressive symptoms vs those without = 0.57, 95% CI = 0.50,0.65). CONCLUSIONS: Depressive symptomatology is an independent risk factor for subsequent changes in self-rated health in older adults. Thus, early prevention and intervention of depressive symptoms in community-dwelling older adults might be critical to promote and maintain their self-rated health. [source] Informal Caregiving Time and Costs for Urinary Incontinence in Older Individuals in the United StatesJOURNAL OF AMERICAN GERIATRICS SOCIETY, Issue 4 2002Kenneth M. Langa MD OBJECTIVES: To obtain nationally representative estimates of the additional time, and related cost, of informal caregiving associated with urinary incontinence in older individuals. DESIGN: Multivariate regression models using data from the 1993 Asset and Health Dynamics Study, a nationally representative survey of people aged 70 and older (N = 7,443). SETTING: Community-dwelling older people. PARTICIPANTS: National population-based sample of community-dwelling older people. MEASUREMENTS: Weekly hours of informal caregiving, and imputed cost of caregiver time, for community-dwelling older people who reported (1) no unintended urine loss, (2) incontinence that did not require the use of absorbent pads, and (3) incontinence that required the use of absorbent pads. RESULTS: Thirteen percent of men and 24% of women reported incontinence. After adjusting for sociodemographics, living situation, and comorbidities, continent men received 7.4 hours per week of care, incontinent men who did not use pads received 11.3 hours, and incontinent men who used pads received 16.6 hours (P < .001). Women in these groups received 5.9, 7.6, and 10.7 hours (P < .001), respectively. The additional yearly cost of informal care associated with incontinence was $1,700 and $4,000 for incontinent men who did not and did use pads, respectively, whereas, for women in these groups, the additional yearly cost was $700 and $2,000. Overall, this represents a national annual cost of more than $6 billion for incontinence-related informal care. CONCLUSIONS: The quantity of informal caregiving for older people with incontinence and its associated economic cost are substantial. Future analyses of the costs of incontinence, and the cost-effectiveness of interventions to prevent or treat incontinence, should consider the significant informal caregiving costs associated with this condition. [source] The Obama Victory, Asset-Based Development and the Re-Politicization of Community OrganizingNORTH AMERICAN DIALOGUE (ELECTRONIC), Issue 2 2008Susan B. Hyatt Abstract: In this commentary, I argue that Obama's victory in the recent Democratic primary was largely a consequence of his early experiences as an Alinsky-style community organizer in Chicago. I compare the nature of the broad-based organizing that Obama was trained in to a newer model of "community building" called Asset-Based Community Development (ABCD). ABCD promotes the belief that communities suffering the effects of economic restructuring, such as abandoned housing, crime, and deindustrialization among others, can "heal themselves" by looking within for resources,or "assets",rather than by making demands on the state, a stance its proponents stigmatize as evidence of a "client" mentality. I argue that however chimerical its promises of redemption are, ABCD illustrates an important shift in contemporary understandings of citizenship, away from the possibilities for collective action that characterize Alinsky-style organizing and toward a view that is both radically neoliberal and potentially totalitarian in its homogenizing notions of its two key concepts,"community" and "assets." I suggest that the grassroots nature of the Obama campaign may have the potential to reanimate an interest in broad-based organizing toward the end of creating a more just distribution of resources. [source] Members: AAPM's Greatest AssetPAIN MEDICINE, Issue 2 2008Kenneth A. Follett MD No abstract is available for this article. [source] Empirical Evaluation of Asset,Pricing Models: A Comparison of the SDF and Beta MethodsTHE JOURNAL OF FINANCE, Issue 5 2002Ravi Jagannathan The stochastic discount factor (SDF) method provides a unified general framework for econometric analysis of asset,pricing models. There have been concerns that, compared to the classical beta method, the generality of the SDF method comes at the cost of efficiency in parameter estimation and power in specification tests. We establish the correct framework for comparing the two methods and show that the SDF method is as efficient as the beta method for estimating risk premiums. Also, the specification test based on the SDF method is as powerful as the one based on the beta method. [source] Financialisation, Financial Literacy and Asset-Based WelfareBRITISH JOURNAL OF POLITICS & INTERNATIONAL RELATIONS, Issue 3 2009Alan Finlayson This article examines New Labour's policies of asset-based welfare in the broader context of financialisation. It argues that these are indicative of a mode of government concerned to alter individual outlooks and aspirations, and that asset-based welfare, as developed by New Labour, is primarily a strategy for enhancing financial literacy. Exploring and identifying the general contours of New Labour's reform of welfare provision (particularly the rise of conditionality and personalisation), the article presents a case study of the Child Trust Fund, its development and marketing. The article closes with reflections on the fate of such policies after the sub-prime mortgage crisis. [source] Assets in Place, Growth Opportunities, and IPO ReturnsFINANCIAL MANAGEMENT, Issue 3 2005Kee H. Chung We consider a simple model positing that initial public offering price is equal to the present value of an entity's assets in place and growth opportunities. The model predicts that initial return is positively related to both the size and risk of growth opportunities. Consistent with this prediction, we find initial return to be positively related to both the fraction of the offer price that is accounted for by the present value of growth opportunities and various proxies of issue uncertainty. We also find that IPO investors equate one dollar of growth opportunities to approximately three quarters of tangible assets. [source] Securitization: The Transformation of Illiquid Financial Assets into Liquid Capital Market Securities Examples from the European MarketFINANCIAL MARKETS, INSTITUTIONS & INSTRUMENTS, Issue 3-4 2000Charles Austin Stone Since the benefits a firm can derive from securitization are universal, the discussion of a market bounded by national borders is somewhat artificial unless the focus is on constraints particular to the country which promote or inhibit the use of securitization. With the exception of the United Kingdom, regulatory constraints have been an important factor in slowing the development of a European market for asset and mortgage backed securities. In addition to the regulatory hurdles, securitization in Europe has been inhibited by segmented corporate bond markets and the relatively slow development of money market savings vehicles for households. Liquidity across credit spectrums has been enhanced since the introduction of the Euro, as has been the competition for savings. European companies are developing the ability to securitize even if the technique is not yet being widely exploited. What is the European market for mortgage and asset backed securities? Does it include the U.S. credit card banks, Citicorp, Chase, MBNA, and First USA that have refinanced U.S. credit card receivables in European currencies and in Euro? Does it include GMAC which has structured Swiss Franc and Euro ABS backed by its U.S. dealer floor plan loans? Does it include Japanese banks that have refinanced Yen denominated leases with Euro and Swiss Franc ABS? Does it include Barclays' issue of $1 billion of ABS backed by sterling credit card receivables? Of course the answer is yes. Markets are defined by both the supply and demand sides. Our analysis focuses on the supply side of the domestic European market. [source] County-Level Income Inequality and Depression among Older AmericansHEALTH SERVICES RESEARCH, Issue 6p2 2003Naoko Muramatsu Objectives. To examine (1) whether county-level income inequality is associated with depression among Americans aged 70 and older, taking into consideration county-level mean household income and individual-level socioeconomic status (SES), demographic characteristics, and physical health, and (2) whether income inequality effects are stronger among people with lower SES and physical health. Data Sources. The individual-level data from the first wave of the Assets and Health Dynamics among the Oldest Old survey (1993,1994) were linked with the county-level income inequality and mean household income data from the 1990 Census. Study Design. Multilevel analysis was conducted to examine the association between income inequality (the Gini coefficient) and depression. Principal Findings. Income inequality was significantly associated with depression among older Americans. Those living in counties with higher income inequality were more depressed, independent of their demographic characteristics, SES, and physical health. The association was stronger among those with more illnesses. Conclusions. While previous empirical research on income inequality and physical health is equivocal, evidence for income inequality effects on mental health seems to be strong. [source] Exploring Youth Development With Diverse Children: Correlates of Risk, Health, and Thriving BehaviorsJOURNAL FOR SPECIALISTS IN PEDIATRIC NURSING, Issue 1 2009Laureen H. Smith PURPOSE.,This study explored the relationships between internal and external assets, risk behaviors, health behaviors, and thriving behaviors in diverse children. DESIGN AND METHODS.,The strength of relationships existing between measures, differences between group means based on gender, grades earned, and school, and confidence interval (p , .05) were tested in a sample of 61 urban sixth graders. RESULTS.,Few assets were related to substance use. Assets were related to delinquency acts, health behaviors, and thriving indicators. Group differences between schools and gender and the total number of assets were noted. PRACTICE IMPLICATIONS.,Supporting assets are important to consider when nurses perform assessments and design interventions to support youths in their maturation processes. [source] Why Should the Boss Own the Assets?JOURNAL OF ECONOMICS & MANAGEMENT STRATEGY, Issue 3 2002Birger Wernerfelt In the context of an employment relationship, I present an argument suggesting that it is more efficient for the boss to own the productive assets. The idea is that a conflict between productivity and depreciation is internalized if the player deciding what an asset is used for also has residual claims. An empirical test finds evidence consistent with this. By asking whether the boss should own the assets, the paper reverses the reasoning from the literature in which it is argued that the owner has power and thus is the boss. [source] Management Motivation and Market Assessment: Revaluations of Fixed AssetsJOURNAL OF INTERNATIONAL FINANCIAL MANAGEMENT & ACCOUNTING, Issue 2 2001Bikki Jaggi The study examines Hong Kong managers' motivation for upward revaluation of fixed assets. The results show that revaluations are positively associated with the firms' future operating performance, suggesting that the managers' primary motivation for upward revaluation of fixed assets has been to signal fair value of assets to financial statements users. Another motivation for revaluations has been to improve the firm's borrowing capacity. The results also indicate a significantly positive association between revaluations and stock prices and returns, suggesting that the market's assessment aligns with the managers' revaluations. [source] Examining the Conditional Limits of Relational Governance: Specialized Assets, Performance Ambiguity, and Long-Standing TiesJOURNAL OF MANAGEMENT STUDIES, Issue 7 2008Laura Poppo abstract Despite recognition of the benefits of relational governance in inter-organizational exchanges, factors that may erode its value have received little examination. We extend the literature by asking whether self-interested opportunities and long-standing ties erode the positive association between relational governance and performance. Consistent with transaction cost and moral hazard logics, exchange hazards, particularly asset specificity and difficult performance measurement, dampen the positive association of relational governance and performance. We further find, consistent with recent inquiries into the dark side of embedded ties that the performance benefits associated with relational governance decline when parties rely on repeated partnerships. [source] Developmental Assets: Profile of Youth in a Juvenile Justice FacilityJOURNAL OF SCHOOL HEALTH, Issue 2 2010Weslee Chew BACKGROUND: Possessing high numbers of developmental assets greatly reduces the likelihood of a young person engaging in health-risk behaviors. Since youth in the juvenile justice system seem to exhibit many high-risk behaviors, the purpose of this study was to assess the presence of external, internal, and social context areas of developmental assets in at-risk youth attending a northeast Missouri juvenile justice center. METHODS: Male and female middle and high school students moved to a residential juvenile justice center voluntarily completed the Developmental Assets Profile (DAP) instrument during a regularly scheduled "intake" session. RESULTS: Most respondents reported lacking risk-protective factors in the internal and social context areas. Respondents noted their lack of community involvement in the social context area and their overinvolvement with negative influences in the internal context area. Specifically in the internal and external context areas, most respondents reported having trouble with substance abuse and not having positive peer or parental support. In the social context area, many noted that they wanted to do well in activities and were encouraged to do well; however, they scored service to others and involvement in religious groups or activities as low. CONCLUSIONS: Students who lack protective qualities, especially those who do not feel committed to their community, are more likely to be involved in substance abuse and risky behaviors. School-community partnerships may provide the targeted health protective factors that encourage more community involvement and more positive health behaviors in these youth. [source] Effect of SMEs' International Experience on Foreign Intensity and Economic Performance: The Mediating Role of Internationally Exploitable Assets and Competitive StrategyJOURNAL OF SMALL BUSINESS MANAGEMENT, Issue 2 2010César Camisón In this paper, we study the relationship between the international experience of small and medium-sized enterprises (SMEs) and their economic performance using intangible and financial asset stock, competitive strategy, and international intensity as mediating factors. The RBV provides the theoretical framework to develop a theoretical model postulating that international experience has an indirect effect on foreign growth and economic performance. This model was used to test a sample of 394 Spanish SMEs through the modelization of a structural equations system. Results show that superior economic performance is only achieved by SMEs that can turn the knowledge they gain from international experience into a large endowment of internationally exploitable intangible assets (irrespective of the fact that these assets form the basis for strengthening international intensity) and into a differentiation competitive strategy. [source] MSM Estimators of European Options on Assets with JumpsMATHEMATICAL FINANCE, Issue 2 2001Joăo Amaro de Matos This paper shows that, under some regularity conditions, the method of simulated moments estimator of European option pricing models developed by Bossaerts and Hillion (1993) can be extended to the case where the prices of the underlying asset follow Lévy processes, which allow for jumps, with no losses on their asymptotic properties, still allowing for the joint test of the model. [source] Timely Assets: The Politics of Resources and Their Temporalities edited by Elizabeth Emma Ferry and Mandana E. LimbertAMERICAN ETHNOLOGIST, Issue 3 2010MICHAEL SHERIDAN No abstract is available for this article. [source] The Why and How of the New Capital Asset Reporting RequirementsPUBLIC BUDGETING AND FINANCE, Issue 3 2001Terry K. Patton New requirements for reporting capital assets associated with the governmental funds of state and local governments are among the most significant changes that will be required by Government Accounting Standards Board (GASB) Statement No. 34. Under Statement No. 34, the historical cost of these assets, including general infrastructure assets (for example, roads and bridges), must be reported in the government-wide Statement of Net Assets. The cost of using those assets,generally depreciation expense,must be reported in the government-wide Statement of Activities. This article explores why the GASB established these requirements and how it worked with preparers and others to make meeting these requirements less costly. [source] Optimal Valuation of Noisy Real AssetsREAL ESTATE ECONOMICS, Issue 3 2002Paul D. Childs We study the optimal valuation of real assets when true asset values are unobservable. In our model, the observed value cointegrates with the unobserved true asset value to cause serial correlation in the time series of observed values. Autocorrelation as well as total variance in the observed value are used to calculate an efficient unbiased estimate of the true asset value (the time,filtered value). The optimal value estimate is shown to have three time,weighted terms: a deterministic forward value, a comparison of observed values with previously determined time,filtered values, and a convexity correction for incomplete information. The residual variance measures the precision of the value estimate, which can increase or decrease monotonically over time as well as display a linear or nonlinear time trend. We also show how to revise time,filtered estimates based on the arrival of new information. Our results relate to work on illiquid asset markets, including appraisal smoothing, tests of market efficiency, and the valuation of options on real assets. [source] Optimal Valuation of Claims on Noisy Real Assets: Theory and an ApplicationREAL ESTATE ECONOMICS, Issue 3 2002Paul D. Childs A theory for valuing claims on noisy real assets is developed and applied. Central to the theory is determination of the dynamics for the best estimate of real asset value. The dynamics of the value estimate are shown to differ from the dynamics of the true asset value only in the arrival rate of information. The rate of information arrival in the value estimate can be faster or slower than information arrival in the true asset value, which can lead to unexpected outcomes in the valuation and exercise of options on noisy real assets. The theory we develop is illustrated through an application. An imperfectly competitive market for real estate development is examined, in which agents compete over the timing of lead investment. Information spillover and free,rider incentives are shown to cause significant delay in lead investment. Delay together with a competitive response once lead investment has occurred explain observed patterns of development in gentrified urban land markets and multistage development projects. [source] The Market for Corporate Assets: Who Engages in Mergers and Asset Sales and Are There Efficiency Gains?THE JOURNAL OF FINANCE, Issue 6 2001Vojislav Maksimovic We analyze the market for corporate assets. There is an active market for corporate assets, with close to seven percent of plants changing ownership annually through mergers, acquisitions, and asset sales in peak expansion years. The probability of asset sales and whole-firm transactions is related to firm organization and ex ante efficiency of buyers and sellers. The timing of sales and the pattern of efficiency gains suggests that the transactions that occur, especially through asset sales of plants and divisions, tend to improve the allocation of resources and are consistent with a simple neoclassical model of profit maximizing by firms. [source] Soft Power Superpowers: Cultural and National Assets of Japan and the United States , By Watanabe Yasushi and David L. McConnellASIAN POLITICS AND POLICY, Issue 3 2009Michael Strausz [source] An Importance Sampling Method to Evaluate Value-at-Risk for Assets with Jump Risk,ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, Issue 5 2009Ren-Her Wang Abstract Risk management is an important issue when there is a catastrophic event that affects asset price in the market such as a sub-prime financial crisis or other financial crisis. By adding a jump term in the geometric Brownian motion, the jump diffusion model can be used to describe abnormal changes in asset prices when there is a serious event in the market. In this paper, we propose an importance sampling algorithm to compute the Value-at-Risk for linear and nonlinear assets under a multi-variate jump diffusion model. To be more precise, an efficient computational procedure is developed for estimating the portfolio loss probability for linear and nonlinear assets with jump risks. And the titling measure can be separated for the diffusion and the jump part under the assumption of independence. The simulation results show that the efficiency of importance sampling improves over the naive Monte Carlo simulation from 7 times to 285 times under various situations. We also show the robustness of the importance sampling algorithm by comparing it with the EVT-Copula method proposed by Oh and Moon (2006). [source] | |||||||||||||||||||||||||||||||||||||||||||