This part completes the consultation series of Dean Fantazzini dealing with econometric analysis of financial data in credit risk management. Particularly, analysis of multidimensional credit risk models is continued from the previous discussion

The journal continues publishing the consultation of Professor Dean Fantazzini. In this issue econometric analysis of financial data in risk management is discussed. Basic concepts of credit risk management in the context of recent Basel-II agreement recommendations are introduced....

In this paper, we explore the strategy on hedging crude oil using refined product. We develop a regime switching asymmetric DCC (RS-ADCC) model by taking into account both of regime switching and asymmetry in correlations. Our out-of-sample findings indicate that RS-ADCC displays greater hedging...

The globalisation on financial markets and the development of financial derivatives has increased not only chances but also potential risk within the banking industry. Especially market risk has gained major significance since market price variation of interest rates, stocks or exchange rates...

Asia is presently the most important market for the production and consumption of natural rubber. World prices of rubber are not only subject to changes in demand, but also to speculation regarding future markets. Japan and Singapore are the major futures markets for rubber, while Thailand is...

Two of the fastest growing frontiers in econometrics and quantitative finance are time series and financial econometrics. Significant theoretical contributions to financial econometrics have been made by experts in statistics, econometrics, mathematics, and time series analysis. The purpose of...

Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or RiskMetrics. In contrast, we propose exible methods that exploit recent developments in nancial econometrics and are likely to produce more accurate risk assessments, treating...

En este artículo se plantea la resolución de un problema de Investigación Operativa utilizando PHPSimplex (herramienta online de resolución de problemas de optimización utilizando el método Simplex), Solver de Microsoft Excel y un prototipo híbrido que combina las teorías de los...

Este trabajo hace uso de uno de los modelos gerenciales de programación matemática denominado Data Envelopment Analysis (DEA). Los resultados que arroja el modelo acerca del esfuerzo productivo que alcanza en la actualidad cada una de las 28 dependencias regionales con que cuenta la Fiscalía,...

Este artículo emplea la teoría del portafolio de Harry Markowitz paraconstruir dos portafolios, cada uno compuesto por cinco acciones de laBolsa de Valores de Colombia. Estos portafolios se elaboran pensandoen dos inversionistas con aversión al riesgo, pero con distinto nivelde tolerancia al...