The purpose of this study is to assess model risk with respect to parameter estimation for a simple binary logistic … using several optimization methods to address parameter estimation risk for predictive models is substantial. This is the …

credit risk amid greater uncertainty. These adverse impacts of uncertainty on bank lending (both quantity and quality) are …

; operational risk ; g-and-h distribution ; goodness-of-fit ; skewness-kurtosis ; risk measurement ; extreme value theory ; peak …Operational risk is being considered as an important risk component for financial institutions as evinced by the large … sums of capital that are allocated to mitigate this risk. Therefore, risl measurement is of paramount concern for the …

risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a … methodology to calculate market risk measures based on the Kalman filter which can be used on incomplete datasets. We implement … applied to other markets with thinly traded securities. Our methodology provides reliable market risk measures in portfolios …

Risk estimation or volatility estimation at financial markets, particularly stock exchange markets, is complex issue of … pricing of stocks and better risk management. The aim of this research is to test applicability of simple models like Simple … Moving Average (SMA) and Exponentially Weighted Moving Average (EWMA) to estimate risk. The performance of SMA and EWMA with …

The aim of this paper is to analyze the merits of using the Value At Risk method in estimating the risk associated with … method of the Value at Risk estimation. The analysis was made by comparing individual metallurgical companies to the Warsaw … exceedances of the designated value exposed at the assumed levels of significance. -- risk ; investment ; metallurgical sector …

This paper considers family formation and reciprocity-based cooperation in the form of sharing of earnings-risk. While … risk sharing is one benefit to marriage it is also limited by divorce risk. With search in the marriage market there may be …

This paper considers family formation and reciprocity-based cooperation in the form of sharing of earnings-risk. While … risk sharing is one benefit to marriage it is also limited by divorce risk. With search in the marriage market there may be …

This paper examines the effect of labor unemployment risk on firm risk. Using unemployment insurance benefits as a … proxy for unemployment risk, we find an economically significant positive relation between unemployment risk and firm risk …