[PDF] Top 20 Value at risk for the term structure of interest rates - an orthogonal approach
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Value at risk for the term structure of interest rates - an orthogonal approach
... quantify the market risk by the maximum loss over a large set of scenarios, to meet capital ...requirements. The measurement of market risk is a central point in ... See full document
38
Three essays on stochastic string models for the term structure of interest rates.
... publication, the HJM model has been an important reference for modeling the ...by the large number of papers published related to their ...study the consistency of ... See full document
113
Regime-Switching Stochastic Volatility and Short-Term Interest Rates.
... shows the likelihood function for all the models. The RSV has the biggest ...Unfortunately, the GARCH models and the SSV models are not ...used for the SSV ... See full document
34
Carl Walsh
... stress the major topics within monetary economics in order to provide su‰ciently broad coverage of the field, but the focus within each topic is often on a small number of papers or ... See full document
639
Predictive value of the number of symptoms during pH monitoring for the diagnosis of Gastroesophageal Reflux Disease
... to the study. During the study, the patients consumed an unrestricted ...diet. The data were incor- porated into a composite score (DeMeester score), and a score greater than ...-. ... See full document
5
A Note on the Use of Generalized Sundman Anomalies in the Numerical Integration of the Elliptical Orbital Motion
... study the performance of the method for high eccen- tricities (𝑒 = ...steps for uniformly distributed Ψ 𝛼 has been carried out, taking the initial conditions of the ... See full document
9
Analysis of investment in financial markets: Markowitz against Value at Risk historical approach
... case, the two approaches have several differences. Markowitz’s (1952) approach begins with an important investment in Amadeus, then it keeps this weight until the second expected return ... See full document
44
Multicriteria methodology and hierarchical innovation in the energy sector
... rate of return, value at risk and the period of recovery of the investment (PRI). When the objective reached in the project satisfies the needs for which it was undert[r] ... See full document
18
Extreme Value Theory and Value at Risk
... areas of the empirical distribution where there are many observations, but they provide with a poor fit to the extreme tails of the ...management of extreme risk calls ... See full document
29
Commodity price forecasts, futures prices and pricing model
... uses the short-term forecasts from EIA of a number of variables (including oil price forecasts) to show that they are issued using an asymmetrical loss ...function. The author ... See full document
74
Electricity markets operation planning with risk-averse agents : stochastic decomposition and equilibrium
... because of a high presence of al- most zero variable cost renewable generation that would lead to a reduction in the marginal price of the system), the company would see a ... See full document
168
On the dynamics of lending and deposit interest rates in emerging markets: a non-linear approach
... model the dynamic behavior of lending and deposit interest rates in four Latin American emerging markets using the smooth transition regime-switching ...most of the ... See full document
39
Estimation of the temporary structure of interest rates: based on public debt information provided by Bank of Spain
... seen, the usefulness of spreads between long term and short term interest rates to predict the future economic activity has been concentrated on studies in the ... See full document
45
Kinematic analysis of a novel 2-d.o.f. orientation device
... which is an assistant robotic system for neurosurgery. An excellent review with more examples can be found at Kazanzides et al. From a point of view of the kinematic structure of the me[r] ... See full document
10
An Application of Extreme Value Theory for Measuring Financial Risk in the Uruguayan Pension Fund
... methods for financial risk measures assume normal distribution for financial returns even when empiric distribution is not normal, which always causes errors in the ...Aiming at this ... See full document
20
Uso del valor en riesgo condicional (CVaR) para seleccionar árboles de Pinus radiata para establecimiento operacional
... In the base scenario, appearance trees (tree 1 to 34), had the lowest mean net return with NZ$ ...had the highest with NZ$ ...displayed the highest va- riability as reflected in the ... See full document
6
Medium range optimization of copper extraction planning under uncertainty in future copper prices
... sectors for copper extraction with 2100, 664 and 2640 clusters, respectively, and a time horizon of 5 years (from 2006 to ...compared the solution obtained by the deterministic model versus ... See full document
34
Long-term fundamentals of the 2008 economic crisis
... from the lawless no man’s land that exists in between nations, evading ...international at the expense of local production, contrary to the basic tenets of ...sort of ... See full document
50
An evaluation of the transmission of the policy interest rate to the financial system’s interest rates in Colombia
... Al analizar por percentiles de tasas ( Gráfico 5 , panel izquierdo) y para cada modalidad, cambios en la TIB tienen un mayor efecto explicativo sobre las tasas de interés más bajas (exc[r] ... See full document
27
Author profiling in social media with multimodal information
... tackle the author profiling and the aggressive text detection tasks: microTC and EvoMSA, ...classification approach supported on model selection ...searching for the best models in a ... See full document
157
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