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modelos VAR la relación del desarrollo del sistema financiero con el crecimiento económico. Los resultados encontrados indican …
Persistent link: https://www.econbiz.de/10009647540
Persistent link: https://www.econbiz.de/10012210445
requirement is calculated according to a standarized formulae set by the BCRA, based on a a Value-at-Risk (VaR) of tghe trading …
Persistent link: https://www.econbiz.de/10015215093
In view of recent corporate scandals, it is argued that corporate governance can learn from public governance. Institutions devised to control and discipline the behaviour of executives in the political sphere can give new insights into how to improve the governance of firms. Some proposal such...
Persistent link: https://www.econbiz.de/10015215939
traditional parametric VaR model could give imprecise measures of liquidity risk if the series do not approach a normal (Gaussian …) distribution. To overcome this flaw of parametric gaussian VaR models, this study suggest a parametric VaR model with indirect … calibration (VaR-i) with a beta-parameter calibrated to be successful in backtesting tests, according to the empirical …
Persistent link: https://www.econbiz.de/10015216271
This paper describes three measures of financial risk –Value at Risk (VaR) based on the Gaussian distribution, VaR … based on extreme value theory and conditional VaR (expected shortfall) – and shows an application of these measures to the …
Persistent link: https://www.econbiz.de/10015216535
Qualitative techniques are essential tools for identifying and assessing operational risk (OR). Their relevance in assessing OR can be understood due to the lack of a quantitative static model capable of capturing the dynamic operational risk profile which is shaped by managerial decisions. An...
Persistent link: https://www.econbiz.de/10015217200
Introduced in the 70’s, credit scoring techniques became widespread in the 90’s thanks to the development of better statistical and computational resources. Nowadays almost all the financial intermediaries use these techniques, at least to originate credits. Credit scoring models are...
Persistent link: https://www.econbiz.de/10015217655
In the present document it is exposed in an abstract way the models of credit portfolioes CreditMetricsTM, KMV, CreditRisk+, Credit Portfolio View in such a way that they could be calibrated and implemented in financial institutions where the quality and quantity of credit information is scanty,...
Persistent link: https://www.econbiz.de/10015218094
The present project is related in the measurement of the risk and the improvement of the processes of monetary species. The main objective is to offer a methodology in the tickets administration because understanding of history is a situation that becomes in an advantage on the opportunities at...
Persistent link: https://www.econbiz.de/10015218742