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An efficient threshold choice for operational risk capital computation.
Guegan, Dominique; Hassani, Bertrand; Naud, Cédric - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2010
tremendous impact on capital computations (VaR). In order to take into account these effects we use extreme value distributions … threshold. We show the impact of the estimation procedure on the computation of the capital requirement - through the VaR …
Persistent link: https://www.econbiz.de/10008752545
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Alternative methods for forecasting GDP
Guegan, Dominique; Rakotomarolahy, Patrick - HAL - 2010
, with parametric VAR modelling is conducted on the euro area GDP. Using both methods for nowcasting and forecasting the GDP …
Persistent link: https://www.econbiz.de/10010603668
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Alternative methods for forecasting GDP.
Guegan, Dominique; Rakotomarolahy, Patrick - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2010
, with parametric VAR modelling is conducted on the euro area GDP. Using both methods for nowcasting and forecasting the GDP …
Persistent link: https://www.econbiz.de/10008461116