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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 Relationships Among Monetry Policy, Stock Prices and the Exchange Rate
Ivrendi, Mehmet - 2005
the Vector Error Correction Model (VECM) , Multivariate VAR (p), Multivariate-VARX (p) and Multivariate VAR (p)-GARCH (q …
Persistent link: https://www.econbiz.de/10009431226
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Robust Inference with Quantile Regression in Stochastic Volatility Models withapplication to Value at Risk calculation
Saha, Paramita - 2008
at Risk (VaR) calculation entails a numerically indirectprocedure. The Quantile Regression (QR) estimation is an …-KF) based on the QR approach thatcan be used to obtain robust SV model parameter estimates as well as VaR estimates. TheRQMM is … existing Nonlinear Filtering (NF) scheme.This approach is used in likelihood and VaR computations. This algorithm provides …
Persistent link: https://www.econbiz.de/10009431241
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Trade Linkages and Output-Multiplier Effects: A Structural VAR
Abeysinghe, Tilak; Forbes, Kristin J. - 2002
This paper develops a structural VAR model to measure how a shock to one country can affect the GDP of other countries …
Persistent link: https://www.econbiz.de/10009433020
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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
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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 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