Robust bootstrap densities for dynamic conditional correlations: implications for portfolio selection and value-at-risk
Many financial decisions such as portfolio allocation, risk management, option pricing and
hedge strategies are based on the forecast of the conditional variances, covariances and …
hedge strategies are based on the forecast of the conditional variances, covariances and …
Growth in stress
G González-Rivera, J Maldonado, E Ruiz - International Journal of …, 2019 - Elsevier
We propose a new global risk index, Growth-in-Stress (GiS), that measures the expected fall
in a country's GDP as the global factors, which drive world growth, are subject to stressful …
in a country's GDP as the global factors, which drive world growth, are subject to stressful …
金融机构房地产贷款的压力测试: 以江苏省为例
周源， 施建军 - 上海金融, 2009 - cqvip.com
房地产价格下行给金融机构贷款会带来多大风险? 本文采用向量自回归方法,
以江苏省的数据为例, 实证分析房地产价格, 成交量, 利率变化对金融机构房地产贷款不良资产的 …
以江苏省的数据为例, 实证分析房地产价格, 成交量, 利率变化对金融机构房地产贷款不良资产的 …
Measuring uncertainty of factors extracted using principal components
J Maldonado - 2019 - e-archivo.uc3m.es
In the context of Dynamic Factor Models (DFMs), one of the most popular procedures for
factor extraction is Principal Components (PC). Measuring the uncertainty associated to PC …
factor extraction is Principal Components (PC). Measuring the uncertainty associated to PC …
The multivariate directional approach: high level quantile estimation and applications to finance and environmental phenomena
RA Torres Díaz - 2016 - e-archivo.uc3m.es
The aim of this thesis is to introduce a directional multivariate approach to analyze extremes.
The proposal point out the importance of two factors from the dimensional world we live in …
The proposal point out the importance of two factors from the dimensional world we live in …
[PDF][PDF] UPRAVLJANJE Z VALUTNIM TVEGANJEM V STOPANSKI BANKI SKOPJE (MANAGING THE FOREIGN EXCHANGE RISK
INS BANKA - cek.ef.uni-lj.si
UNIVERSITY OF LJUBLJANA Page 1 UNIVERSITY OF LJUBLJANA FACULTY OF
ECONOMICS MASTER’S THESIS MIRJANA TRAJANOVSKA Page 2 UNIVERSITY OF …
ECONOMICS MASTER’S THESIS MIRJANA TRAJANOVSKA Page 2 UNIVERSITY OF …
[PDF][PDF] Measuring uncertainty of factors extracted using principal components
J de Vicente Maldonado - 2019 - core.ac.uk
In the context of Dynamic Factor Models (DFMs), one of the most popular procedures for
factor extraction is Principal Components (PC). Measuring the uncertainty associated to PC …
factor extraction is Principal Components (PC). Measuring the uncertainty associated to PC …
混合分布形式下预期损失的压力测试及实证检验
袁芳英 - 商业时代, 2013 - cqvip.com
本文提出运用混合分布模型来模拟生成比较符合市场实际情况的压力情景, 采用压力测试方法来
量化极端情况下的预期损失. 本文以2007 年1 月4 日至2010 年9 月17 日上证综指每个交易目的 …
量化极端情况下的预期损失. 本文以2007 年1 月4 日至2010 年9 月17 日上证综指每个交易目的 …