Similar Search Results

Zero-coupon interest rates : evaluating three alternative datasets

Díaz Pérez, Antonio; Jareño, Francisco; Navarro … - 2018

The zero-coupon yield curve is a common input for most financial purposes. The authors consider three popular yield curve datasets, and explore the extent to which the decision as to what dataset to use for an application may have implications on the results. The paper illustrates why such...

Persistent link: https://www.econbiz.de/10011901875

Machine learning risk models

Kakushadze, Zura; Yu, Willie - In: Journal of risk & control 6 (2019) 1, pp. 37-64

Persistent link: https://www.econbiz.de/10012237599

Modeling the segment interactions of Ukraine's financial market

Prymostka, Liudmyla; Krasnova, Iryna; Kulish, Ganna; … - In: Investment management and financial innovations 17 (2020) 2, pp. 101-112

Persistent link: https://www.econbiz.de/10012303088

Correlations between insurance lines of business : an illusion or a real phenomenon? : some methodological considerations

Avanzi, Benjamin; Taylor, Greg; Wong, Bernard - In: Astin bulletin : the journal of the International … 46 (2016) 2, pp. 225-263

Persistent link: https://www.econbiz.de/10011576713

Correlated accidents

Franzoni, Luigi Alberto - 2016

This paper investigates cases in which harms are statistically correlated. When parties are risk averse, correlation …

Persistent link: https://www.econbiz.de/10011703413

Reputation risk contagion

Mitic, Peter - In: The journal of network theory in finance 3 (2017) 1, pp. 53-86

Persistent link: https://www.econbiz.de/10011668583

Convexity and correlation effects in expected credit loss calculations for IFRS9/CECL and stress testing

Chawla, Gaurav; Forest, Lawrence R. <Jr.>; Aguais, Scott D. - In: Journal of risk management in financial institutions 10 (2016/2017) 1, pp. 99-110

Persistent link: https://www.econbiz.de/10011670653

Do survey indicators let us see the business cycle? : a frequency decomposition

Dresse, Luc; Van Nieuwenhuyze, Christophe - 2008

This paper uses a frequency domain approach to gain insight into the correlation between survey indicators and year … of the correlation between survey indicators and year-on-year GDP growth at the different frequencies to explain their … overall correlation. We show that survey indicators, similar to year-on-year GDP growth, do not perfectly reflect business …

Persistent link: https://www.econbiz.de/10011610229

How to combine a billion alphas

Kakushadze, Zura; Yu, Willie - In: The journal of asset management 18 (2017) 1, pp. 64-80

Persistent link: https://www.econbiz.de/10011592763

Common shock models for claim arrays

Avanzi, Benjamin; Taylor, Greg; Wong, Bernard - In: Astin bulletin : the journal of the International … 48 (2018) 3, pp. 1109-1136

Persistent link: https://www.econbiz.de/10011999873