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Quantifying systemic risk in Morocco’s banking system using Euler indicators and extreme dependence
Said, Khalil; Qalli, Yassine EL; Fadlallah, Abdellali - In: Cogent Business & Management 10 (2023) 3, pp. 1-19
This article contributes to the quantification of systemic risk within the Moroccan banking system, focusing on listed banks. We utilize indicators derived from Tail Value at Risk and expectiles risk measures, as introduced by El qalli and Said (2013) (El Qalli & Said, 2023), to measure the...
Persistent link: https://www.econbiz.de/10014527542
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Ratingmodell zur Quantifizierung des Ausfallrisikos von LBO-Finanzierungen
Lang, Michael; Cremers, Heinz; Hentze, Rainald - 2010
Credit risk measurement and management become more important in all financial institutions in the light of the current financial crisis and the global recession. This particularly applies to most of the complex structured financing forms whose risk cannot be quantified with com-mon rating...
Persistent link: https://www.econbiz.de/10003939552
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A Model of Equilibrium in Markets of Cash Balances
Mierzejewski, Fernando - 2011
A model is presented to characterize the equilibrium in markets of short-term loans. First, the cash demand is characterized as the optimal balance maintained to avoid the losses produced by some portfolio with random payoffs. This problem is formulated in actuarial terms in such a way that the...
Persistent link: https://www.econbiz.de/10013128239
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The Optimal Liquidity Principle and the Aggregate Money Demand
Mierzejewski, Fernando - 2011
The extent to which central banks are able to anticipate the effects of monetary policy can be assessed within the framework of the liquidity-preference proposition. An actuarial-based theory of liquidity preference is developed in this paper, which extends the traditional framework by...
Persistent link: https://www.econbiz.de/10013119005
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Quantifying systemic risk in Morocco's banking system using Euler indicators and extreme dependence
Said, Khalil; El Qalli, Yassine; Fadlallah, Abdellali - In: Cogent business & management 10 (2023) 3, pp. 1-19
This article contributes to the quantification of systemic risk within the Moroccan banking system, focusing on listed banks. We utilize indicators derived from Tail Value at Risk and expectiles risk measures, as introduced by El qalli and Said (2013) (El Qalli & Said, 2023), to measure the...
Persistent link: https://www.econbiz.de/10014505870
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Ruin Probabilities for Risk Processes in Stochastic Networks
Amini, Hamed; Cao, Zhongyuan; Minca, Andreea; Sulem, Agnes - 2023
We study multidimensional Cram\'er-Lundberg risk processes where agents, located on a large sparse network, receive losses form their neighbors. To reduce the dimensionality of the problem, we introduce classification of agents according to an arbitrary countable set of types. The ruin of any...
Persistent link: https://www.econbiz.de/10014254603
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Ratingmodell zur Quantifizierung des Ausfallrisikos von LBO-Finanzierungen
Lang, Michael; Cremers, Heinz; Hentze, Rainald - Frankfurt School of Finance and Management - 2010
Credit risk measurement and management become more important in all financial institutions in the light of the current financial crisis and the global recession. This particularly applies to most of the complex structured financing forms whose risk cannot be quantified with com-mon rating...
Persistent link: https://www.econbiz.de/10008556000
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Forecasting Value-at-Risk Using High Frequency Information
Lee, Tae-Hwy; Huang, Huiyu - Department of Economics, University of California-Riverside - 2014
(VaR is simply the negative of it), using high-frequency information is beneficial, often substantially and particularly so …
Persistent link: https://www.econbiz.de/10010944669
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Combining forecasts? : keep it simple
Lis, Szymon; Chlebus, Marcin - In: Central European economic journal 10 (2023) 57, pp. 343-370
This study contrasts GARCH models with diverse combined forecast techniques for Commodities Value at Risk (VaR …. Results show individual models excel in forecasting VaR at a 0.975 confidence level, while combined methods outperform at 0 … methods such as mean or lowest VaR yield optimal results, highlighting their efficacy. This study contributes by offering a …
Persistent link: https://www.econbiz.de/10014445140
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Influencia de los precios de los metales y el mercado internacional en el riesgo bursátil peruano
Zevallos, Mauricio; Villarreal, Fernanda; Del Carpio, Carlos - Banco Central de Reserva del Perú - 2014
entredicho prácticas de gestión de riesgo basadas en el Valor en Riesgo (VaR). En este sentido, Adrian y Brunnermeier (2008, 2011 …) propusieron el VaR condicional (CoVaR) como medida de riesgo sistémico. El CoVaRi/j mide el VaR de la institución i dado que la … institución j se encuentra en problemas financieros, esto es, cuando la institución j tiene retorno igual a su VaR. Además, para …
Persistent link: https://www.econbiz.de/10011118615