Showing 1 - 10 of 339
exponential weighting in the Value-at-Risk calculation is very popular because it takes into account changes in market volatility … lower own funds requirements for credit institutions. However, in the exponential weighting a high volatility in the past is …
Persistent link: https://www.econbiz.de/10012289413
exponential weighting in the Value-at-Risk calculation is very popular because it takes into account changes in market volatility … lower own funds requirements for credit institutions. However, in the exponential weighting a high volatility in the past is …
Persistent link: https://www.econbiz.de/10012285469
Persistent link: https://www.econbiz.de/10008695327
Persistent link: https://www.econbiz.de/10001297733
Persistent link: https://www.econbiz.de/10001409048
Persistent link: https://www.econbiz.de/10012516131
Persistent link: https://www.econbiz.de/10013428129
Persistent link: https://www.econbiz.de/10001192975
In this paper we challenge basic results of signaling models. In our banking model each project of a borrower is described by a continuous density of outcomes. Different density functions are classified according to second stochastisch dominance. Combining these features we find that in a...
Persistent link: https://www.econbiz.de/10003796251
Persistent link: https://www.econbiz.de/10002781730