Parametric VaR with goodness-of-fit tests based on EDF statistics for extreme returns

Parametric VaR (Value-at-Risk) is widely used due to its simplicity and easy calculation. However, the normality assumption, often used in the estimation of the parametric VaR, does not provide satisfactory estimates for risk exposure. Therefore, this study suggests a method for computing the parametric VaR based on goodness-of-fit tests using the empirical distribution function (EDF) for extreme returns, and compares the feasibility of this method for the banking sector in an emerging market and in a developed one. The paper also discusses possible theoretical contributions in related fields like enterprise risk management (ERM). © 2013 Elsevier Ltd.

HTS and HTSn: New shape descriptors based on Hough transform statistics

With the widespread proliferation of computers, many human activities entail the use of automatic image analysis. The basic features used for image analysis include color, texture, and shape. In this paper, we propose a new shape description method, called Hough Transform Statistics (HTS), which uses statistics from the Hough space to characterize the shape of objects or regions in digital images. A modified version of this method, called Hough Transform Statistics neighborhood (HTSn), is also presented. Experiments carried out on three popular public image databases showed that the HTS and HTSn descriptors are robust, since they presented precision-recall results much better than several other well-known shape description methods. When compared to Beam Angle Statistics (BAS) method, a shape description method that inspired their development, both the HTS and the HTSn methods presented inferior results regarding the precision-recall criterion, but superior results in the processing time and multiscale separability criteria. The linear complexity of the HTS and the HTSn algorithms, in contrast to BAS, make them more appropriate for shape analysis in high-resolution image retrieval tasks when very large databases are used, which are very common nowadays. (C) 2014 Elsevier Inc. All rights reserved.