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101 to 107 of 107 Results
LookForwardRatioExpectedShortfallFloorAddOn.R
May 15, 2024 - Replication Data for: Worst-Case Higher Moment Risk Measure: Addressing Distributional Shifts and Procyclicality
R Syntax - 5.8 KB - MD5: 9c7e4892f2ac2411329ffaee0a245e58
Replication code Expected Shortfall with regulatory countercyclical Floor type add-On.
LookForwardRatioExpectedShortfallStressAddOn.R
May 15, 2024 - Replication Data for: Worst-Case Higher Moment Risk Measure: Addressing Distributional Shifts and Procyclicality
R Syntax - 7.3 KB - MD5: 5603f85ea73b1a5873da7b2188277ea7
Replication code Expected Shortfall with regulatory countercyclical Stress type add-On.
LookForwardRatioWorstCcaseHigherMomentRMwithUncertainty.R
May 15, 2024 - Replication Data for: Worst-Case Higher Moment Risk Measure: Addressing Distributional Shifts and Procyclicality
R Syntax - 7.8 KB - MD5: dd4fc33b3a7a65c13f8c398ff3a9b7c3
Replication code to estimate worst case higher order risk measures with uncertainty.
Worst-Case Higher Moment Risk Measure PDG.docx
May 15, 2024 - Replication Data for: Worst-Case Higher Moment Risk Measure: Addressing Distributional Shifts and Procyclicality
MS Word - 111.7 KB - MD5: 05d5d1525e9da78e3e786643b2833625
Plan de Gestion de Datos
Worst-Case Higher Moment Risk Measure: Addressing Distributional Shifts and Procyclicality(Universidad del Rosario)
May 15, 2024
This paper addresses the inherent procyclicality in widely adopted financial risk measures, such as expected shortfall (ES). We propose an innovative approach utilizing the worst-case higher moment (HM) risk measure, which offers a robust solution to distributional shifts by incorporating adaptive features. Empirical results using historical S&P500...
Plan de Gestión de Datos
Plan de Gestión de Datos
Mar 12, 2024 - Systemic risk in decentralized lending
Castro Iragorri, Carlos, 2024, "Plan de Gestión de Datos", https://doi.org/10.34848/FIHD8K, Universidad del Rosario, V2
Plan de Gestión de Datos
Plan_de_gestion_de_datos_Replication Data for Network Topology in Decentralized Finance_UR 7_02_2024.pdf
Plan_de_gestion_de_datos_Replication Data for Network Topology in Decentralized Finance_UR 7_02_2024.pdf
Mar 12, 2024 - Plan de Gestión de Datos
Adobe PDF - 302.6 KB - MD5: 0d5c2c682a550d8aac0276f02703aff8
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