Showing 1 - 10 of 21
Persistent link: https://www.econbiz.de/10009580040
Persistent link: https://www.econbiz.de/10013380850
In den vergangenen Jahren ist die Untersuchung des Risikomanagements vom Baselkomitee angeregt, um die Kredit- und Bankwesen regelmäßig zu aufsichten. Für viele multivariate Risikomanagementmethoden gibt es jedoch Beschränkungen von: 1) verlässt sich die Kovarianzschätzung auf eine...
Persistent link: https://www.econbiz.de/10009467091
In this paper we propose the GHADA risk management model that is based on the generalized hyperbolic (GH) distribution and on a nonparametric adaptive methodology. Compared to the normal distribution, the GH distribution possesses semi-heavy tails and represents the financial risk factors more...
Persistent link: https://www.econbiz.de/10003035074
Persistent link: https://www.econbiz.de/10003772400
In the ideal Black-Scholes world, financial time series are assumed 1) stationary (time homogeneous) and 2) having conditionally normal distribution given the past. These two assumptions have been widely-used in many methods such as the RiskMetrics, one risk management method considered as...
Persistent link: https://www.econbiz.de/10003402841
Persistent link: https://www.econbiz.de/10003453616
Persistent link: https://www.econbiz.de/10015062571
A novel approach of gravity strength centrality (GSC) model is proposed to identify the influential risk spreaders in Chinese financial networks. We also measure the systemic risk contribution of financial institutions via ∆CoVaR and detect the relationship between the risk spreading ability...
Persistent link: https://www.econbiz.de/10014353216
Persistent link: https://www.econbiz.de/10014436785