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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... |
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 |