Showing 61 - 70 of 28,664
This paper answers two research questions: what is the appropriate modeling tool for NPL study? and whether the NPL rates in Thailand show improving or deteriorating trend? NPL is of interests to management decision makers because it serves as an indicator for assessing risk in commercial loans....
Persistent link: https://www.econbiz.de/10013002018
The objective of this paper is to provide a practical tool for stock price evaluation and forecasting under Extreme Value Theory (EVT). Three existing models are reviewed; these models include: Mordern Portfolio Theory, Black-Scholes, and Jarrow-Rudd models. It was found that these models may not...
Persistent link: https://www.econbiz.de/10012970310
[Update: Within four weeks of the original publication of this research report, Risk Magazine reported in its 28th February 2012 issue story titled 'Goodbye VaR? Basel to Consider Other Risk Metrics': "A review of trading book capital rules, due to be launched in March by the Basel Committee on...
Persistent link: https://www.econbiz.de/10013024329
Markov chain Monte Carlo (MCMC) methods have an important role in solving high dimensionality stochastic problems characterized by computational complexity. Given their critical importance, there is need for network and security risk management research to relate the MCMC quantitative...
Persistent link: https://www.econbiz.de/10013029835
In aftermath of the Financial Crisis, some risk management practitioners advocate wider adoption of Bayesian inference to replace Value-at-Risk (VaR) models for minimizing risk failures (Borison & Hamm, 2010). They claim reliance of Bayesian inference on subjective judgment, the key limitation...
Persistent link: https://www.econbiz.de/10013031477
This paper studies the estimation of dynamic covariance matrices with multiple conditioning variables, where the matrix size can be ultra large (divergent at an exponential rate of the sample size). We introduce an easy-to-implement semiparametric method to estimate each entry of the covariance...
Persistent link: https://www.econbiz.de/10012915138
This paper develops optimal estimation of a potentially non-differentiable functional Γβ of a regular parameter β, when Γ satisfies certain conditions. Primary examples are min or max functionals that frequently appear in the analysis of partially identified models. This paper investigates...
Persistent link: https://www.econbiz.de/10013142864
Persistent link: https://www.econbiz.de/10013117499
We propose a novel varying coefficient model, called principal varying coefficient model (PVCM), by characterizing the varying coefficients through linear combinations of a few principal functions. Compared with the conventional varying coefficient model (VCM; Chen and Tsay, 1993; Hastie and...
Persistent link: https://www.econbiz.de/10013099854
Persistent link: https://www.econbiz.de/10013107974