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Statistical Issues in Coherent Risk Management
Lu, Na - 2004
-at-Risk (VaR) and the standard-deviation-type of measures. Based on a coherent risk measure, for instance ES, we can discuss a … about the reason for allocating ES, instead of VaR, the statistical properties of the statistic, marginal ES, from the …
Persistent link: https://www.econbiz.de/10009431213
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Risikomanagement
Fachhochschule des BFI Wien - 2005
Thema Basel II / Risikomanagement.Inzwischen wurden an der Fachhochschule bereits mehrere Forschungsprojektezum Themenkreis …
Persistent link: https://www.econbiz.de/10005867535
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Effects of equity capital on the interest rate and the demand for credit : empirical evidence from Spanish banks
Martín Oliver, Alfredo; Ruano Pardo, Sonia; Salas … - 2012
We examine the consequences of imposing higher capital requirements on banks (as under Basel III or, recently, in the case of large banks in the European context) for bank dynamics in complying with the new standards and for the long-term effects on bank lending rates and the demand for bank...
Persistent link: https://www.econbiz.de/10012530380
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Optimal regulation of credit lines
Gutiérrez Ambrocio, José Enrique
El documento desarrolla un modelo teórico de contratos en donde los bancos financian las necesidades de liquidez de las empresas a través de líneas de crédito utilizando financiación previa y ex post a la utilización de las líneas de crédito. Cuando las necesidades de liquidez son...
Persistent link: https://www.econbiz.de/10014337695
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The global impact of the Russian financial crisis: evidence using granger causality and impulse reponses in a VAR model
Khalid, Ahmed; Rajaguru, Gulasekaran - 2007
construct a VAR to test the interlinkages among different market and different regions using the Granger causalfiy. Later, we …
Persistent link: https://www.econbiz.de/10009441618
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Was financial market contagion the source of economic crisis in Asia? Evidence using a multivariate VAR model
Khalid, Ahmed M; Kawai, Masahiro - 2003
currency, stock and money markets, respectively. We use a sample of nine East Asian countries, including Japan, construct a VAR …
Persistent link: https://www.econbiz.de/10009441798
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Structure of interdependencies among international stock markets and contagion patterns of 2008 global financial crisis
Ahmedov, Zafarbek; Bessler, David A. - 2011
In this study, we apply directed acyclic graphs and search algorithm designed for timeseries with non-Gaussian distribution to obtain causal structure of innovations from an errorcorrection model. The structure of interdependencies among six international stock markets isinvestigated. The...
Persistent link: https://www.econbiz.de/10009445191
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EXPORTAÇÃO BRASILEIRA DE MELÃO: UM ESTUDO DE SÉRIES TEMPORAIS.
Araujo, Aracy Alves; Sousa, Alexandre Gervasio; Santos, … - 2008
, preço doméstico e taxa de câmbio utilizando a metodologia VAR, no período de janeiro de 1996 a março de 2007. As séries … – VAR em nível. A decomposição davariância dos erros de previsão indicou que após choque não antecipado sobre as variáveis …, domestic price and exchange rate using the methodology VAR, in the period of January of 1996 to March of 2007. The studied …
Persistent link: https://www.econbiz.de/10009445200
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The Effects of Monetary Policy in the Czech Republic: An Empirical Study
Borys, Magdalena M.; Horvath, Roman - 2008
within VAR, structural VAR, and the Factor-Augmented VAR framework. We document a well-functioning transmission …
Persistent link: https://www.econbiz.de/10009477381
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The Unconditional and Conditional Exchange Rate Exposure of U.S. Firms
Ericsson, Jan; Huang, Xiao; Mazzotta, Stefano - 2007
This paper studies the characteristics of firm level equity volatility. There is a lack of consensus in the finance literature as to the relative statistical and economic significance of the leverage and feedback effects on equity volatility. We provide a dynamic framework to investigate...
Persistent link: https://www.econbiz.de/10009459041