Showing 1 - 10 of 296
Persistent link: https://www.econbiz.de/10012512291
Persistent link: https://www.econbiz.de/10014513807
Full paper available at: "https://ssrn.com/abstract=2840730" https://ssrn.com/abstract=2840730This supplementary material to "Which Risk Factors Drive Oil Futures Price Curves?" includes the derivation of the futures price expression, details of the Kalman Filter utilised, and the equation for...
Persistent link: https://www.econbiz.de/10012850468
Persistent link: https://www.econbiz.de/10011787712
The uncovered interest rate parity puzzle questions the economic relation existing between short term interest rate differentials and exchange rates. One would indeed expect that the differential of interest rates between two countries should be offset by an opposite evolution of the exchange...
Persistent link: https://www.econbiz.de/10013018402
We focus on model risk and risk sensitivity when addressing the insurability of cyber risk. The standard statistical approaches to assessment of insurability and potential mispricing are enhanced in several aspects involving consideration of model risk. Model risk can arise from model...
Persistent link: https://www.econbiz.de/10014362451
"Co-edited by acknowledged experts in the quantification of operational risk, Handbook of Operational Risk conveniently and systematically displays all of the financial engineering topics, theories, applications, and current statistical methodologies that are intrinsic to the subject matter....
Persistent link: https://www.econbiz.de/10011489766
A cutting-edge guide for the theories, applications, and statistical methodologies essential to heavy tailed risk modeling Focusing on the quantitative aspects of heavy tailed loss processes in operational risk and relevant insurance analytics, Advances in Heavy Tailed Risk Modeling: A Handbook...
Persistent link: https://www.econbiz.de/10011834754
A one-stop guide for the theories, applications, andstatistical methodologies essential to operational risk Providing a complete overview of operational risk modeling andrelevant insurance analytics, Fundamental Aspects of OperationalRisk and Insurance Analytics: A Handbook of Operational...
Persistent link: https://www.econbiz.de/10011839011
Persistent link: https://www.econbiz.de/10011820669