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31 to 40 of 527 Results
LookForwardRatioWorstCcaseHigherMomentRMwithUncertainty.R
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
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 inco...
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
Adobe PDF - 302.6 KB - MD5: 0d5c2c682a550d8aac0276f02703aff8
Replication Data for: Network Topology in Decentralized Finance
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.
edges.pickle
Unknown - 11.1 MB - MD5: 8e95ae7b69a15faa54acd2637ac05be4
Information on transactions among identified addresses.
labels.pickle
Unknown - 162.1 KB - MD5: ace2077516cc484c6a59319bfe5b0b66
Labels for the nodes in the network
nodes.pickle
Unknown - 458.9 KB - MD5: 868fe36d16ba2df311aaea77e6db3825
Balances for the nodes in the network
Systemic risk in decentralized lending(Universidad del Rosario)
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...
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