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Date: 10-22-2019 Initiator: eillsyandex.ru
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Meet local single ladies online in Romania Romanian courting site I take and treat ppl as is also. The best dating is launched when too single hearts are for a passing fancy wavelength. I like to la...
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Date: 4-20-2019 Initiator: BarrySchachter
Aggregation of Correlated Risk Portfolios: Models and AlgorithmsThis report presents a set of tools for modeling and combining correlated risks. Various correlation structures are generated using copula, common mixture, component and distortion models. These corre...
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Date: 4-16-2019 Initiator: BarrySchachter
The Extreme Value Approach to VaR - An Introduction (1)Introduction to Extreme Value Theory and the limiting distribution of the tail of the return distribution....
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Date: 4-16-2019 Initiator: BarrySchachter
A Remark on the Structure of ExpectilesExpectiles were defined using a minimisation principle. They form a special class of coherent risk measures. We will describe the scenario set and we will show that there is a most severe commonotonic...
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Date: 4-13-2019 Initiator: BarrySchachter
Critical CrashesThe authors argue that the word "critical" in the title is not purely literary. Based on their and other previous work on nonlinear complex dynamical systems, they summarize present evidence, on the O...
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Date: 4-12-2019 Initiator: BarrySchachter
The Level and Quality of Value-at-Risk Disclosure by Commercial BanksWe study (1) the level of Value-at-Risk (VaR) disclosure and (2) the accuracy of the disclosed VaR figures for a sample of US and international commercial banks. To measure the level of VaR disclosure...
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Date: 4-12-2019 Initiator: BarrySchachter
Dependencies of Extreme Events in FinanceThe main aim of this dissertation concerns the modelling and statistical investigationof dependencies between extreme events. Several simulation studies and data analysisemphasis the applicability of ...
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Date: 4-5-2019 Initiator: BarrySchachter
Value at Risk Using Stochastic Volatility ModelsAbstract This master’s thesis deals with Value at Risk (VaR). Estimations are done inseveral different ways, using parametric and non-parametric volatility models. Underlyingdistributions that are use...
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Date: 4-5-2019 Initiator: BarrySchachter
Risk Capital Allocation by Coherent Risk Measures Based on One-Sided MomentsThis paper proposes di erentiability properties for positively homogeneousrisk measures which ensure that the gradient can be applied forreasonable risk capital allocation on non-trivial portfolios. I...
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Date: 4-5-2019 Initiator: BarrySchachter
Visualizing and Optimizing Risk Contribution and Performance within a Loss PortfolioFor financial conglomerates allocating a given risk measure (capital) to each risk unit is a popular exercise in internal risk management. In this article we propose several graphs that can visualize...
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Date: 4-5-2019 Initiator: BarrySchachter
Certainty Equivalent Measures of RiskWe study a framework for constructing coherent and convex measures of risk which is inspired by infimal convolution operator, and prove that the proposed approach constitutes a new general representat...
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Date: 4-5-2019 Initiator: BarrySchachter
Importance Sampling for Monte Carlo Estimation of QuantilesThis paper is concerned with applying importance sampling as a variance reduction tool for computing extreme quantiles. A central limit theorem is derived for each of four proposed importance sampling...
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Date: 4-4-2019 Initiator: BarrySchachter
Score Driven Exponentially Weighted Moving Average and Value-at-Risk ForecastingWe present a simple new methodology to allow for time-variation in volatilities using a recursive updating scheme similar to the familiar RiskMetrics approach. It exploits the link between exponential...
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Date: 4-4-2019 Initiator: BarrySchachter
A Semi-Parametric Approach to Estimating the Operational Risk and Expected ShortfallThis paper proposes some improvements to advanced measurement approach (AMA) to modelling operational losses and applies this approach to US business losses. The AMA involves, among others, modelling ...
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