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Part 1: Document Description
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Citation |
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Title: |
Replication Data for: Worst-Case Higher Moment Risk Measure: Addressing Distributional Shifts and Procyclicality |
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Identification Number: |
doi:10.34848/IL9XHN |
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Distributor: |
Universidad del Rosario |
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Date of Distribution: |
2024-05-15 |
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Version: |
1 |
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Bibliographic Citation: |
Castro Iragorri, Carlos; Fabio Gómez; Nancy Quiceno, 2024, "Replication Data for: Worst-Case Higher Moment Risk Measure: Addressing Distributional Shifts and Procyclicality", https://doi.org/10.34848/IL9XHN, Universidad del Rosario, V1 |
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Citation |
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Title: |
Replication Data for: Worst-Case Higher Moment Risk Measure: Addressing Distributional Shifts and Procyclicality |
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Identification Number: |
doi:10.34848/IL9XHN |
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Distributor: |
Universidad del Rosario |
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Depositor: |
Castro Iragorri, Carlos |
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Date of Deposit: |
2024-05-15 |
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Study Scope |
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Methodology and Processing |
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Sources Statement |
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Data Access |
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Notes: |
CC0 Waiver |
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Other Study Description Materials |
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Label: |
LookForwardRatioExpectedShortfallBenchmark.R |
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Text: |
Replication code Expected Shortfall |
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Notes: |
type/x-r-syntax |
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Label: |
LookForwardRatioExpectedShortfallBufferAddOn.R |
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Text: |
Replication code Expected Shortfall with regulatory countercyclical Buffer type add-On. |
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Notes: |
type/x-r-syntax |
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Label: |
LookForwardRatioExpectedShortfallFloorAddOn.R |
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Text: |
Replication code Expected Shortfall with regulatory countercyclical Floor type add-On. |
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Notes: |
type/x-r-syntax |
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Label: |
LookForwardRatioExpectedShortfallStressAddOn.R |
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Text: |
Replication code Expected Shortfall with regulatory countercyclical Stress type add-On. |
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Notes: |
type/x-r-syntax |
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Label: |
LookForwardRatioWorstCcaseHigherMomentRMwithUncertainty.R |
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Text: |
Replication code to estimate worst case higher order risk measures with uncertainty. |
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Notes: |
type/x-r-syntax |
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Label: |
Worst-Case Higher Moment Risk Measure PDG.docx |
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Text: |
Plan de Gestion de Datos |
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Notes: |
application/vnd.openxmlformats-officedocument.wordprocessingml.document |