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Confidence sets for asset correlations in portfolio credit risk

Castro Iragorri, Carlos Alberto - In: Revista de economía del Rosario 15 (2012) 1, pp. 19-58

Persistent link: https://www.econbiz.de/10010208712

Default risk in agricultural lending, the effects of commodity price volatility and climate

Castro Iragorri, Carlos Alberto; Garcia, Karen - In: Agricultural finance review 74 (2014) 4, pp. 501-521

Persistent link: https://www.econbiz.de/10011305889

A segmented and observable yield curve for Colombia

Castro Iragorri, Carlos Alberto; Peña, Juan Felipe; … - In: Journal of central banking theory and practice 10 (2021) 2, pp. 179-200

Following (Almeida, Ardison, Kubudi, Simonsen, & Vicente, 2018) we implement a segmented three factor Nelson-Siegel model for the yield curve using daily observable bond prices and short term interbank rates for Colombia. The flexible estimation for each segment (short, medium, and long)...

Persistent link: https://www.econbiz.de/10012549263

Does the market model provide a good counterfactual for event studies in finance?

Castro Iragorri, Carlos Alberto - In: Financial markets and portfolio management 33 (2019) 1, pp. 71-91

Persistent link: https://www.econbiz.de/10012018357

Worst-case higher moment risk measure : addressing distributional shifts and procyclicality

Castro Iragorri, Carlos Alberto; Gómez, Fabio; … - In: Finance research letters 65 (2024), pp. 1-8

Persistent link: https://www.econbiz.de/10014564284

Measuring and testing for the systemically important financial institutions

Castro, Carlos; Ferrari, Stijn - In: Journal of empirical finance 25 (2014), pp. 1-14

Persistent link: https://www.econbiz.de/10010462114

Measuring and testing for the systemically important financial institutions

Castro, Carlos; Ferrari, Stijn - In: Journal of Empirical Finance 25 (2014) C, pp. 1-14

This paper analyzes ΔCoVaR proposed by Adrian and Brunnermeier (2011) as a tool for identifying/ranking systemically important institutions. We develop a test of significance of ΔCoVaR that allows determining whether or not a financial institution can be classified as being systemically...

Persistent link: https://www.econbiz.de/10011042127

A segmented and observable yield curve for Colombia

Castro Iragorri, Carlos Alberto; Peña, Juan Felipe; … - In: Journal of Central Banking Theory and Practice 10 (2021) 2, pp. 179-200

Persistent link: https://www.econbiz.de/10014558408

Eficiencia-X en el sector bancario colombiano

Castro, Carlos Alberto - In: Desarrollo y sociedad (2001), pp. 1-52

Persistent link: https://www.econbiz.de/10001645000

El Hogar Obrero : Argentina's No 1 co-operative

Castro, Carlos - In: Review of international co-operation : the official … 73 (1980) 2, pp. 106-113

Persistent link: https://www.econbiz.de/10003286062