Showing 1 - 10 of 101
area sovereign debt crises. We find that macro and default-specific world factors are a primary source of default …
Persistent link: https://www.econbiz.de/10010484886
Persistent link: https://www.econbiz.de/10000980737
Persistent link: https://www.econbiz.de/10000986130
Persistent link: https://www.econbiz.de/10003979849
Accurate prediction of the frequency of extreme events is of primary importance in many financialapplications such as Value-at-Risk (VaR) analysis. We propose a semi-parametric method for VaRevaluation. The largest risks are modelled parametrically, while smaller risks are captured by the...
Persistent link: https://www.econbiz.de/10010533206
Persistent link: https://www.econbiz.de/10009722706
Persistent link: https://www.econbiz.de/10008771823
Persistent link: https://www.econbiz.de/10000884776
Persistent link: https://www.econbiz.de/10000151692
Persistent link: https://www.econbiz.de/10003641950