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1 to 10 of 502 Results

Replication Data for: Worst-Case Higher Moment Risk Measure: Addressing Distributional Shifts and Procyclicality May 15, 2024 - Worst-Case Higher Moment Risk Measure: Addressing Distributional Shifts and Procyclicality 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 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...
LookForwardRatioExpectedShortfallBenchmark.R May 15, 2024 - Replication Data for: Worst-Case Higher Moment Risk Measure: Addressing Distributional Shifts and Procyclicality R Syntax - 5.3 KB - MD5: 68d75a6c2e79fa5a866fbf10985d1c74 Replication code Expected Shortfall
LookForwardRatioExpectedShortfallBufferAddOn.R May 15, 2024 - Replication Data for: Worst-Case Higher Moment Risk Measure: Addressing Distributional Shifts and Procyclicality R Syntax - 5.4 KB - MD5: c68c863763b5dec22257bd9c3a53b06f Replication code Expected Shortfall with regulatory countercyclical Buffer type add-On.
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 inco...
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 Mar 12, 2024 - Plan de Gestión de Datos Adobe PDF - 302.6 KB - MD5: 0d5c2c682a550d8aac0276f02703aff8

Replication Data for: Worst-Case Higher Moment Risk Measure: Addressing Distributional Shifts and Procyclicality

May 15, 2024 - Worst-Case Higher Moment Risk Measure: Addressing Distributional Shifts and Procyclicality

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

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...

LookForwardRatioExpectedShortfallBenchmark.R

May 15, 2024 - Replication Data for: Worst-Case Higher Moment Risk Measure: Addressing Distributional Shifts and Procyclicality

R Syntax - 5.3 KB - MD5: 68d75a6c2e79fa5a866fbf10985d1c74

Replication code Expected Shortfall

LookForwardRatioExpectedShortfallBufferAddOn.R

May 15, 2024 - Replication Data for: Worst-Case Higher Moment Risk Measure: Addressing Distributional Shifts and Procyclicality

R Syntax - 5.4 KB - MD5: c68c863763b5dec22257bd9c3a53b06f

Replication code Expected Shortfall with regulatory countercyclical Buffer type add-On.

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.