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Date: 3-10-2019 Initiator: BarrySchachter
Estimating Hedged Portfolio Value-at-Risk Using the Conditional Copula: An Illustration of Model RiskThe conventional portfolio value-at-risk model with the assumption of normal joint distribution, which is commonly practiced, exhibits considerable biases due to model specification errors. This paper...
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Date: 3-9-2019 Initiator: BarrySchachter
Are Banks too Big to Fail?We consider three measures on the systemic importance of a ¯nancial institu- tion within a interconnected ¯nancial system. Based on the measures, we study the relation between the size of a ¯nancial i...
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Date: 3-9-2019 Initiator: BarrySchachter
Dynamic Operational Risk: Modeling Dependence and Combining Different Sources of InformationIn this paper, we model dependence between operational risks by allowing risk profiles to evolve stochastically in time and to be dependent. This allows for a flexible correlation structure where the ...
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Date: 3-9-2019 Initiator: BarrySchachter
Analysis of Mean-VaR Model for Financial Risk ControlFinancial risk control is a kind of complicated system engineering. This paper studies validity of portfolio investment of the mean-VaR model under holding period condition. The model is analyzed thro...
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Date: 3-9-2019 Initiator: BarrySchachter
Regular Variation and Extremal Dependence of GARCH Residuals with Application to Market Risk MeasuresStock returns exhibit heavy tails and volatility clustering. These features, motivating the use of GARCH models, make it difficult to predict times and sizes of losses that might occur. Estimation of ...
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Date: 3-9-2019 Initiator: BarrySchachter
Taylor, Black and Scholes: Series Approximations and Risk Management PitfallsRisk Managers make frequent use of finite Taylor approximations to option pricing formulas, particularly of the first and second order. This paper shows that the Taylor series for the Black-Scholes f...
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Date: 3-6-2019 Initiator: BarrySchachter
Density Forecasting: A SurveyA density forecast of the realization of a random variable at some future time is an estimate of the probability distribution of the possible future values of that variable. This chapter presents a s...
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Date: 3-6-2019 Initiator: BarrySchachter
Report to the Boards of Directors of AIB, Allfirst Financial, and Allfirst Bank Concerning Currency This report is submitted by Promontory Financial Group LLC and the lawfirm of Wachtell, Lipton, Rosen & Katz to advise the Boards of Directors of Allied IrishBanks, p.l.c. (“AIB”), Allfirst Financial ...
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Date: 3-6-2019 Initiator: BarrySchachter
Options, Futures, and Other DerivativesWidely-adopted for its comprehensive coverage, exceptionally clear explanations of difficult material, and avoidance of nonessential math, this text bridges the gap between the theory and practice of ...
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Date: 3-5-2019 Initiator: BarrySchachter
Value at Risk Estimation with Entropy-Based Wavelet Analysis in Exchange MarketsIn this paper we propose the entropy-based multivariate wavelet based approaches to analyze the multiscale characteristic in the multidimensional domain and improve further the Value at Risk estimatio...
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Date: 3-4-2019 Initiator: BarrySchachter
Forward Hedges that Increase Value at RiskNo abstract available....
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Date: 3-2-2019 Initiator: BarrySchachter
An EVT Primer for Credit RiskWe review, from the point of view of credit risk management, classical Extreme Value Theory in its one–dimensional (EVT) as well as more–dimensional (MEVT) setup. The presentation is highly coloured b...
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Date: 3-2-2019 Initiator: BarrySchachter
Mortality-Dependent Financial Risk MeasuresThis paper uses a recently developed two-factor stochastic mortality model to estimate financialrisk measures for four illustrative types of mortality-dependent financial position: investments in zero...
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Date: 3-2-2019 Initiator: BarrySchachter
Stress Testing the German Banking SystemIn the first half of 2003, the IMF appraised the stability of the German financial system as part of the Financial Sector Assessment Program (FSAP). This included the performance of stress tests for t...
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Date: 3-2-2019 Initiator: BarrySchachter
Banks Interactions with Highly Leveraged InstitutionsThis report serves three primary objectives:Evaluating the potential risks resulting from the activities of HLIs, with particularregard to their interactions with banks.Assessing the deficiencies in b...
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