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Risk Modelling and Management: An Overview
Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - 2013
The papers in this special issue of Mathematics and Computers in Simulation are substantially revised versions of the papers that were presented at the 2011 Madrid International Conference on “Risk Modelling and Management” (RMM2011). The papers cover the following topics: currency hedging...
Persistent link: https://www.econbiz.de/10010326135
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Risk modelling and management : an overview
Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - 2013
Persistent link: https://www.econbiz.de/10009767001
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Risk Modeling and Management: An Overview
Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - Department of Economics and Finance, College of … - 2013
The papers in this special issue of Mathematics and Computers in Simulation are substantially revised versions of the papers that were presented at the 2011 Madrid International Conference on “Risk Modeling and Management” (RMM2011). The papers cover the following topics: currency hedging...
Persistent link: https://www.econbiz.de/10010907434
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Risk Modelling and Management: An Overview
Chang, Chia-Lin; McAleer, Michael; perez-amaral, teodosio; … - Faculteit der Economische Wetenschappen, Erasmus … - 2013
The papers in this special issue of Mathematics and Computers in Simulation are substantially revised versions of the papers that were presented at the 2011 Madrid International Conference on “Risk Modelling and Management” (RMM2011). The papers cover the following topics: currency hedging...
Persistent link: https://www.econbiz.de/10010732625
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Risk Modelling and Management: An Overview
Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - Institute of Economic Research, Kyoto University - 2013
The papers in this special issue of Mathematics and Computers in Simulation are substantially revised versions of the papers that were presented at the 2011 Madrid International Conference on “Risk Modelling and Management” (RMM2011). The papers cover the following topics: currency hedging...
Persistent link: https://www.econbiz.de/10010674394
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Risk Modelling and Management: An Overview
Chang, Chia-Lin; Allen, David Edmund; McAleer, Michael; … - Facultad de Ciencias Económicas y Empresariales, … - 2013
The papers in this special issue of Mathematics and Computers in Simulation are substantially revised versions of the papers that were presented at the 2011 Madrid International Conference on “Risk Modelling and Management” (RMM2011). The papers cover the following topics: currency hedging...
Persistent link: https://www.econbiz.de/10010778723
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Risk Modelling and Management: An Overview
Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - Tinbergen Instituut - 2013
The papers in this special issue of Mathematics and Computers in Simulation are substantially revised versions of the papers that were presented at the 2011 Madrid International Conference on “Risk Modelling and Management” (RMM2011). The papers cover the following topics: currency hedging...
Persistent link: https://www.econbiz.de/10011256696
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A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?
Chang, Chia-Lin; Jiménez-Martín, Juan-Ángel; … - 2015
system from Value-at-Risk (VaR) to Expected Shortfall (ES). The BCBS (2013) noted that "a number of weaknesses have been … identified with using VaR for determining regulatory capital requirements, including its inability to capture tail risk" (p. 3 … common in the insurance industry, though not yet in the banking industry. While ES is mathematically superior to VaR in that …
Persistent link: https://www.econbiz.de/10011288403
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Are Forecast Updates Progressive?
Chang, Chia-Lin; Franses, Philip Hans; McAleer, Michael - 2013
Many macroeconomic forecasts and forecast updates like those from IMF and OECD typically involve both a model component, which is replicable, as well as intuition, which is non-replicable. Intuition is expert knowledge possessed by a forecaster. If forecast updates are progressive, forecast...
Persistent link: https://www.econbiz.de/10010326444
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Analyzing Fixed-Event Forecast Revisions
Chang, Chia-Lin; de Bruijn, Bert; Franses, Philip Hans; … - 2013
It is common practice to evaluate fixed-event forecast revisions in macroeconomics by regressing current forecast revisions on one-period lagged forecast revisions. Under weak-form (forecast) efficiency, the correlation between the current and one-period lagged revisions should be zero. The...
Persistent link: https://www.econbiz.de/10010326506