31 to 40 of 527 Results
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. |
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 |
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 inco... |
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 |
Mar 12, 2024 -
Plan de Gestión de Datos
Adobe PDF - 302.6 KB - MD5: 0d5c2c682a550d8aac0276f02703aff8
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Dec 7, 2023 - Systemic risk in decentralized lending
Castro Iragorri, Carlos; Saengchote, Kanis, 2023, "Replication Data for: Network Topology in Decentralized Finance", https://doi.org/10.34848/6LQXAQ, Universidad del Rosario, V1
We map the interconnections among decentralized finance protocols using transactions among contracts and addresses in the Ethereum network. Explore multiplex network properties and quantify the financial exposure of the most critical nodes. |
Unknown - 11.1 MB - MD5: 8e95ae7b69a15faa54acd2637ac05be4
Information on transactions among identified addresses. |
Unknown - 162.1 KB - MD5: ace2077516cc484c6a59319bfe5b0b66
Labels for the nodes in the network |
Unknown - 458.9 KB - MD5: 868fe36d16ba2df311aaea77e6db3825
Balances for the nodes in the network |
Dec 7, 2023
In this project we are interested in understanding the systemic risk that arises from the fact that the technology facilitates the interoperability across the protocols, meaning that there are underlying connections and subsequent effects across different protocols. We map the in... |