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Date: 8-27-2014 Initiator: meegrermaggww.ru
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Date: 8-26-2014 Initiator: BarrySchachter
A Top-Down Approach to the Stress-Testing of BanksWe propose a simple, parsimonious, and easily implementable method for the stress testing of banks using a top-down approach that evaluates the impact of negative shocks to macroeconomic variables on ...
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Date: 8-26-2014 Initiator: BarrySchachter
Nonparametric Inference on Quantile Marginal EffectsWe propose a nonparametric method to construct confidence intervals for quantile marginal effects (i.e., derivatives of the conditional quantile function). Under certain conditions, a quantile margina...
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Date: 8-25-2014 Initiator: BarrySchachter
Forecasting VaR and ES of Stock Index Portfolio: A Vine Copula MethodThis paper models the internal structures among different stock markets with C-Vine, D-Vine and R-Vine copula models. Value-at-Risk (VaR) and Expected Shortfall (ES) of the international stock markets...
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Date: 8-23-2014 Initiator: BarrySchachter
Investment Portfolio Risk Analysis SystemA computer-implemented method includes receiving information identifying an investment; receiving information associated with a financial characteristic of the investment; and causing a processor to d...
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Date: 8-23-2014 Initiator: BarrySchachter
Risk Topography: Systemic Risk and Macro ModelingContributions from leading academic researchers, central bankers, and other financial-market experts to explore the possibilities for advancing macroeconomic modeling in order to achieve more accurate...
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Date: 8-22-2014 Initiator: BarrySchachter
Risk Measurement and Management of Operational Risk in Insurance Companies from an Enterprise PerspectiveOperational risk can substantially impact an insurer's risk situation and is now increasingly in the focus of insurance companies, especially due to new European risk?based regulatory framework So...
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Date: 8-20-2014 Initiator: BarrySchachter
Learning Model for Assessing Loss Severity of Operational RiskRisks, deficiencies and other issues identified within the organization should be evaluated and assessed with regard to their severity and significance. Operational risk is one of the risk categories ...
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Date: 8-20-2014 Initiator: BarrySchachter
Robust Conditional Variance and Value-at-Risk EstimationThis article is concerned with robust conditional variance and value-at-risk (VaR) estimation. Losses due to idiosyncratic events can have a disproportionate impact on traditional VaR estimates, upwar...
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Date: 8-20-2014 Initiator: BarrySchachter
Two-Step Methods in VaR Prediction and the Importance of Fat TailsThis paper proposes a two-step methodology for Value-at-Risk prediction. The first step involves estimation of a GARCH model using quasi-maximum likelihood estimation and the second step uses model fi...
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Date: 8-17-2014 Initiator: BarrySchachter
Bayesian Expected Shortfall Forecasting Incorporating the Intraday RangeThe conditional autoregressive expectile class of model, used to implicitly model ES, is generalized to incorporate information on the intraday range. An asymmetric Gaussian density model error formul...
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Date: 8-17-2014 Initiator: BarrySchachter
Multivariate Modelling of 10-Day-Ahead VaR and Dynamic Correlation for Worldwide Real Estate and Stock IndicesA 14-dimensional multivariate Diag-VECH model for seven equity indices and their relative real estate indices is estimated. The authors evaluate the VaR forecasts over a period of two weeks in calenda...
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Date: 8-17-2014 Initiator: BarrySchachter
“Spectral Risk Measures: Properties and Limitations”: Comment on Dowd, Cotter, and SorwarIn their paper “Spectral Risk Measures: Properties and Limitations”, Dowd et al. (J Financ Serv Res 341:61–75, 2008) introduce exponential and power spectral risk measures as subclasses of spectral ri...
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Date: 8-17-2014 Initiator: BarrySchachter
Accelerated Portfolio Optimization with Conditional Value-at-Risk Constraints using a Cutting-Plane MethodFinancial portfolios are often optimized for maximum profit while subject to a constraint formulated in terms of the Conditional Value-at-Risk (CVaR). This amounts to solving a linear problem. However...
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Date: 8-17-2014 Initiator: BarrySchachter
On the Time Scaling of Value-at-Risk with TradingUsing stock data that covers the period from April 6, 2001 to June 17, 2009, including data from the recent financial crisis period, we compare theVaR profiles of four different stylized daily trading...
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