dependent on the underlying probability distribution of the portfolio. We show how copulas can be introduced to any problem that … framework to extend our approach to Worst Case CVaR (WCVaR). WCVaR is achieved through the use of rival copulas. These rival … copulas have the advantage of exploiting a variety of dependence structures, symmetric and not. We compare our model against …

on the asset class and the time period considered. Second, different goodness-of-fit tests for copulas can yield very … different results and these differences can vary for different asset classes and for different tested copulas. Third, even when … using various goodness-of-fit tests for copulas, it is not always possible to differentiate between various copula …

use simulation based data sets to compare the performance for parameter recovery. In terms of both predictive performance …

Discrete event simulation (DES) studies in healthcare are thought to benefit from stakeholder participation during the … participative simulation studies. PartiSim combines DES, a traditionally hard OR approach, with soft systems methodology (SSM) in … activities and outputs as part of the stages involved in the simulation lifecycle, which include study initiation, finding out …

analytic and simulation approaches we develop both Continuous-Time Markov Chain and Discrete Event Simulation models, to …

model (state representation) and the analysis of its dynamic response via simulation. A real case application in the textile …

literature has discussed the main issues, no known report includes a comprehensive and dynamic simulation exercise that assesses … quality, security of supply and economic sustainability. Using lessons learned from simulation, the paper concludes that …