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Date: 3-23-2019 Initiator: BarrySchachter
Penalized Sieve Estimation and Inference of Semi-Nonparametric Dynamic Models: A Selective ReviewWe present penalized sieve extremum (PSE) estimation as a general method for semi-nonparametric models with cross-sectional, panel, time series, or spatial data. The method is especially powerful in e...
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Date: 3-22-2019 Initiator: BarrySchachter
An Academic Response to Basel 3.5Recent crises in the financial industry have shown weaknesses in the modeling of Risk-Weighted Assets (RWA). Relatively minor model changes may lead to substantial changes in the RWA numbers. Similar ...
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Date: 3-20-2019 Initiator: BarrySchachter
Are Independent Risks Substitutes According to the Generalized Sharpe Ratio?Independent risks are substitutes if the opportunity to invest in one risk cuts down the demand in the others. Intuition seems to sustain this idea, but if the problem is tackled in a normative framew...
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Date: 3-20-2019 Initiator: BarrySchachter
Analysis of the Trading Book Quantitative Impact StudyThe results of the impact study indicate an average (median) increase of at least 11.5% (3.2%) of overall capital requirements and of 223.7% (102.0%) of market risk capital requirements. 3 This exclud...
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Date: 3-20-2019 Initiator: BarrySchachter
Proprietary Trading Losses in Banks: Do Banks Invest Sufficiently in Control?This paper analyzes management and control issues linked to the employment of traders who engage in proprietary trading activity for their employer (a bank). The bank can invest in control and monitor...
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Date: 3-20-2019 Initiator: BarrySchachter
Analytical Value-at-Risk and Expected Shortfall under regime-switchingIt is well known that the use of Gaussian models to assess financial risk leads to an underestimation of risk. The reason is because these models are unable to capture some important facts such as hea...
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Date: 3-20-2019 Initiator: BarrySchachter
Portfolio Risk Management with CVaR-Like ConstraintsA current research stream in the portfolio allocation literature develops models that take into account the asymmetric nature of asset return distributions. Our paper contributes to this research stre...
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Date: 3-20-2019 Initiator: BarrySchachter
Return Distribution and Value at Risk Estimation for BelexisThe aim of this paper is to find distributions that adequately describe returns of the Belgrade Stock Exchange index BELEX15. The sample period covers 1067 trading days from 4 October 2005 to 25 Decem...
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Date: 3-20-2019 Initiator: BarrySchachter
Sound Practices for Hedge Fund ManagersThe sound practices recommendations that follow (the “Recommendations”) are intendedto respond to the PWG Report by contributing to a continuing evolution of hedge fund managerpractices. Many recommen...
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Date: 3-19-2019 Initiator: BarrySchachter
Energy Budgets at Risk (EBaR): A Risk Management Approach to Energy Purchase and Efficiency ChoicesProvides everyone from facility energy managers and financial managers to government policy-makers and electric utilities program planners with the background information required to understand energy...
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Date: 3-19-2019 Initiator: BarrySchachter
Financial Disclosure in the Banking, Insurance and Securities Sectors: Issues and AnalysisJune 1999, a Multidisciplinary Working Group on Enhanced Disclosure (Fisher IIworking group) was established to provide advice to its sponsoring organisations1 on stepsthat would advance the state of ...
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Date: 3-19-2019 Initiator: BarrySchachter
Finding Optimal Portfolios with Constraints on Value at RiskValue at risk is an important measure of extent to which a given portfolio is subject to different kinds of risk present in ?nancial markets. Considerable amount of research was dedicated during recen...
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Date: 3-19-2019 Initiator: BarrySchachter
Identifying Contagion Risk in the International Banking System: An Extreme Value Theory ApproachExtreme value theory framework is used to analyse contagion risk across the international banking system. Results reveal several trends: contagion risk among banks exhibits home bias and banks are aff...
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Date: 3-19-2019 Initiator: BarrySchachter
Statistical Analysis of Extreme Values: From Insurance, Finance, Hydrology and Other FieldsProvides broad statistical background as well as instruction in the statistical analysis of extreme values. Includes special chapters about flood frequency analysis, insurance, and finance. The CD-ROM...
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Date: 3-19-2019 Initiator: BarrySchachter
A Survival Kit on Quantile EstimationQuestions concerning risk management in finance and premium calculation in non-life insurance often involve quantile estimation. We give an introduction to the basic extreme value theory which yields ...
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