Most hypotheses in binary response models are composite. The null hypothesis is usually that one or more slope coefficients are zero. Typically, the sequence of alternatives of interest is one in which the slope coefficients are increasing in absolute value. In this papar, we prove that the...

The Value-at-Risk (VAR) measurements are widely applied to estimate exposure to market risks. The traditional approaches to VAR computations - the variance-covariance method, historical simulation, Monte Carlo simulation, and stress-testing - do not provide satisfactory evaluation of possible...