Zobrazeno 1 - 10
of 18
pro vyhledávání: '"Azamat Abdymomunov"'
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3aae414302f902b1d244a36d2bdc585e
https://doi.org/10.2139/ssrn.4395529
https://doi.org/10.2139/ssrn.4395529
Autor:
Azamat Abdymomunov, Filippo Curti
Publikováno v:
Journal of Financial Services Research. 57:287-313
One of the main challenges that banks face in quantifying operational risk is the instability of risk estimates caused by heavy-tailed and insufficient loss data. To address these issues, we propose a loss scaling method to combine a bank’s interna
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c65d92e3c6fe8983903a460d5109d808
https://doi.org/10.1007/s10693-019-00320-w
https://doi.org/10.1007/s10693-019-00320-w
Autor:
Azamat Abdymomunov, Atanas Mihov
Publikováno v:
Journal of Financial Services Research. 56:73-93
This study documents the association between the quality of risk management practices and operational loss realizations at large financial institutions in the United States. Using detailed supervisory data, we find that companies with weak risk manag
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::cd5d5eecdb0be099c9d84d2dac1359f6
https://doi.org/10.1007/s10693-017-0284-3
https://doi.org/10.1007/s10693-017-0284-3
Autor:
Ibrahim Ergen, Azamat Abdymomunov
Publikováno v:
International Review of Finance. 17:177-204
Using supervisory operational loss data of the US banking industry, we analyze dependence among operational losses within banks and across banks. We find evidence of relatively strong dependence among tail losses of different operational loss types w
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::29a4160b1e7947aaa31c89f52d760bd2
https://doi.org/10.1111/irfi.12117
https://doi.org/10.1111/irfi.12117
Publikováno v:
Journal of International Money and Finance. 64:39-61
In this paper we investigate whether information in credit spreads helps improve the forecasts of government bond yields. To do this, we propose and estimate a joint dynamic Nelson–Siegel (DNS) model of the U.S. Treasury yield curve and the credit
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::865e8852da9e89c4d89695312dfa59e9
https://doi.org/10.1016/j.jimonfin.2016.02.003
https://doi.org/10.1016/j.jimonfin.2016.02.003
Publikováno v:
SSRN Electronic Journal.
The literature proposes several alternatives for estimating compound distributions, which are widely used for risk quantification in the banking and insurance industries. In this paper, we evaluate the accuracy and time-efficiency of different approa
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::96f1e585f59cda6145c8b8c431b889c5
https://doi.org/10.2139/ssrn.2930965
https://doi.org/10.2139/ssrn.2930965
Autor:
Jeffrey R. Gerlach, Azamat Abdymomunov
Publikováno v:
Journal of Banking & Finance. 49:287-301
In the current low interest rate environment, the possibility of a sudden increase in rates is a potentially serious threat to financial stability. As a result, analyzing interest rate risk (IRR) is critical for financial institutions and supervisory
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::14c457430ce166909440667cd78ea564
https://doi.org/10.1016/j.jbankfin.2014.08.013
https://doi.org/10.1016/j.jbankfin.2014.08.013
Publikováno v:
Journal of Financial Services Research. 47:57-79
We enhance the method of integrating scenarios proposed in Ergashev (J Financ Serv Res 41(3):145–161, 2012) into risk models. In particular, we provide additional theoretical insights of the method with focus on stress testing Value-at-Risk models.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::88b54c2a439cbcd56d57b97a33eb7f3a
https://doi.org/10.1007/s10693-014-0194-6
https://doi.org/10.1007/s10693-014-0194-6
Autor:
Azamat Abdymomunov, Ibrahim Ergen
Publikováno v:
SSRN Electronic Journal.
Using supervisory operational loss data of the U.S. banking industry, we analyze correlations among operational losses within banks and across banks. We find evidence of relatively high correlations among tail losses of different operational risk typ
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6ac23f46c1d0689038c1d3c98914abdd
https://doi.org/10.2139/ssrn.2741244
https://doi.org/10.2139/ssrn.2741244
Autor:
James Morley, Azamat Abdymomunov
Publikováno v:
Applied Financial Economics. 21:1463-1478
We investigate time variation in Captial Asset Pricing Model (CAPM) betas for Book-to-Market (B/M) and momentum portfolios across stock market volatility regimes. For our analysis, we jointly model market and portfolio returns using a two-state Marko
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::369d9ce7e90e55c3a2cf999b67fe0a32
https://doi.org/10.1080/09603107.2011.577010
https://doi.org/10.1080/09603107.2011.577010