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John A Morrison's Blog – May 2010 Archive (4)

Risk Management: A Differential Diagnosis

This paper is an examination of the context and management of two types of Complex Data Set clients. Supervisors should have their own model of Transparency Requirements to have consistency and make all the banks use it. Then everything would be comparable and Basel II Pillar 3 disclosures might actually tell us something about the quality of a bank’s loan… Continue

Added by John A Morrison on May 30, 2010 at 1:17am — No Comments

Parametric Estimation of Value at Risk

DEPENDENCE BETWEEN VOLATILITY PERSISTENCE, KURTOSIS AND DEGREES OF FREEDOM
Ante Rozga and Josip Arnerić,
Faculty of Economics, University of Split, Croatia


ABSTRACT
In this paper the dependence between volatility persistence, kurtosis and degrees of freedom from Student’s t-distribution will be presented in estimation alternative risk measures on simulated returns. As the most used measure of market risk is standard deviation of…
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Added by John A Morrison on May 30, 2010 at 1:15am — No Comments

Eric Zivot: The Constant Expected Return Model (Paradigm)

The Constant Expected Return Model (CER)

Added by John A Morrison on May 30, 2010 at 1:06am — No Comments

Binary search in JavaScript

Computer science in JavaScript: Binary search…

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Added by John A Morrison on May 30, 2010 at 12:58am — No Comments

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