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Parameter estimation risk in asset pricing and risk management : a Bayesian approach

Tunaru, Radu; Zheng, Teng - In: International review of financial analysis 53 (2017), pp. 80-93

Persistent link: https://www.econbiz.de/10011877849

Quantifying the uncertainty in VaR and expected shortfall estimates

Stanescu, Silvia; Tunaru, Radu - In: Handbook of research methods and applications in …, (pp. 357-372). 2013

Persistent link: https://www.econbiz.de/10011897546

A cost-benefit analysis of capital requirements adjusted for model risk

Farkas, Walter; Fringuellotti, Fulvia; Tunaru, Radu - 2020

Persistent link: https://www.econbiz.de/10012419436

Risk spillovers and interconnectedness between systemically important institutions

Andrieş, Alin Marius; Ongena, Steven; Sprincean, Nicu; … - 2020 - This version: May 9, 2020

In this paper we gauge the degree of interconnectedness and quantify the linkages between global and other systemically important institutions, and the global financial system. We document that the two groups and the financial system become more interconnected during the global financial crisis...

Persistent link: https://www.econbiz.de/10012219367

A cost-benefit analysis of capital requirements adjusted for model risk

Farkas, Walter; Fringuellotti, Fulvia; Tunaru, Radu - In: The journal of corporate finance : contracting, … 65 (2020), pp. 1-22

Persistent link: https://www.econbiz.de/10012423657

Detecting bubbles in the US and UK real estate markets

Fabozzi, Frank J.; Kynigakis, Iason; Panopulu, Aikaterinē - In: The journal of real estate finance and economics 60 (2020) 4, pp. 469-513

Persistent link: https://www.econbiz.de/10012226693

Risk spillovers and interconnectedness between systemically important institutions

Andrieş, Alin Marius; Ongena, Steven; Sprincean, Nicu; … - In: Journal of financial stability 58 (2022), pp. 1-26

Persistent link: https://www.econbiz.de/10013417451

The timing of voluntary delisting

Azevedo, Alcino; Colak, Gonul; El Kalak, Izidin; … - In: Journal of financial economics 155 (2024), pp. 1-21

Persistent link: https://www.econbiz.de/10015072279

Measures of model risk for continuous-time finance models

Lazar, Emese; Qi, Shuyuan; Tunaru, Radu - 2024

Persistent link: https://www.econbiz.de/10015338808

Security returns, beta, size, and book-to-market equity : evidence from the Shanghai A-share market

Morelli, David - In: Review of quantitative finance and accounting 38 (2012) 1, pp. 47-60

Persistent link: https://www.econbiz.de/10009507973