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Date: 3-15-2019 Initiator: BarrySchachter
Robustness Analysis and Algorithm of Expected Shortfall Based on Extreme-Value Block Minimum ModelTo measure effectively the risk of stock market, the algorithm of expected shortfall is presented by using the extreme-value block minimum method. By transforming the distribution of standardized mini...
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Date: 3-14-2019 Initiator: BarrySchachter
Asset Price Dynamics, Volatility and PredictionThis book shows how current and recent market prices convey information about the probability distributions that govern future prices. Moving beyond purely theoretical models, Stephen Taylor applies m...
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Date: 3-14-2019 Initiator: BarrySchachter
Optimal Risk Management Before, During and After the 2008-09 Financial CrisisA risk management strategy is proposed as being robust to the Global Financial Crisis (GFC) by selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models. The robust ...
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Date: 3-14-2019 Initiator: BarrySchachter
Does Decomposing Realized Volatility Help in Risk Prediction: Evidence from Chinese Mainland StocksThis article studies the risk forecasting properties of three realized volatility models for three Chinese individual stocks, and reveals the important role that jumps can play in risk prediction. I f...
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Date: 3-14-2019 Initiator: BarrySchachter
Risk Management in an Asset Management Company: a practical caseThis article concerns the differences between the meaning of risk management in a bank and in an asset management company, and then it illustrates the solution found, both from the methodological and ...
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Date: 3-14-2019 Initiator: BarrySchachter
Finanzmarkt Ekonometrie am Beispiel des Value at RiskSp‰testens seit Mitte der 90er Jahre hat die Anwendung okonometrischer Modelle zur Risikosteuerung Eingang in die bankinterne Praxis gefunden. Im Wesentlichen beruhen diese Modelle auf mathematisch-st...
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Date: 3-14-2019 Initiator: BarrySchachter
Coherent Allocation of Risk CapitalThe allocation problem stems from the diversification effect observed in risk measurements of financial portfolios: the sum of the “risks” of many portfolios is larger than the “risk” of the sum of th...
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Date: 3-13-2019 Initiator: BarrySchachter
Multivariate Extreme Value Theory and CopulasThis thesis tries to give an overview of the main aspects of classical EVT as well as an introduction to a more recent method of multivariate EVT: that of copulas. ...
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Date: 3-13-2019 Initiator: BarrySchachter
Correlation: Pitfalls and AlternativesThis article will tell you when it is safe and unproblematic to use correlation in the way that you imagine you can use it, and when you should take care. In particular it will tell you about two fall...
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Date: 3-13-2019 Initiator: BarrySchachter
Value at Risk in Bank Risk ManagementThis research project discusses a popular risk measurement methodology known as Value at Risk and its use in bank risk management. Value at Risk is an approach to risk management that gained popularit...
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Date: 3-13-2019 Initiator: BarrySchachter
A VaR Methodology for Portfolios that Include OptionsRisk managers who implement Value at Risk (VaR) systems frequently face the daunting task of measuring the risk of a portfolio that contains options. The nature of this problem results from the standa...
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Date: 3-12-2019 Initiator: BarrySchachter
Tail Dependence for Multivariate t-Copulas and Its MonotonicityThe tail dependence indexes of a multivariate distribution describe the amount of dependence in the upper right tail or lower left tail of the distribution and can be used to analyse the dependence am...
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Date: 3-12-2019 Initiator: BarrySchachter
Indirect Cycle Time Quantile Estimation Using the Cornish-Fisher ExpansionThis paper proposes a new technique for estimating cycle time quantiles from discrete-event simulation models of manufacturing systems. The Cornish-Fisher expansion is used as a medium for this estima...
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Date: 3-11-2019 Initiator: BarrySchachter
An Analysis of VaR-Based Capital RequirementsWe study the dynamic investment and reporting problem of a financial institution subject to capital requirements based on self-reported VaR estimates, as in the Basel Committee’s Internal Models Appro...
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Date: 3-11-2019 Initiator: BarrySchachter
Operational Risk: Practical Approaches to ImplementationSplit into 4 easy access sections: 1) Loss data collection and modelling – offers a range of novel, practical approaches to solve the notoriously complex challenges associated with the collection and ...
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