Zobrazeno 1 - 10
of 14
pro vyhledávání: '"Bakhodir Ergashev"'
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
Publikováno v:
The Journal of Operational Risk. 8:55-81
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::76fb1753a6e4f08d7e590b324f8d45e1
https://doi.org/10.21314/jop.2013.131
https://doi.org/10.21314/jop.2013.131
Autor:
Bakhodir Ergashev
Publikováno v:
Journal of Financial Services Research. 41:145-161
In this paper, I introduce a theoretically justified framework that incorporates scenario analysis into operational risk modeling. The basis for the framework is the idea that only worst-case scenarios contain valuable information about the tail beha
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a97f4f35a4b53d6903652db0ee7da835
https://doi.org/10.1007/s10693-011-0105-z
https://doi.org/10.1007/s10693-011-0105-z
Autor:
Siddhartha Chib, Bakhodir Ergashev
Publikováno v:
Journal of the American Statistical Association. 104:1324-1337
In finance and economics much work has been done on the theoretical modeling and statistical estimation of the yield curve, defined as the relationship between (−1/τ) log pt(τ) and τ, where pt(τ) is the time t price of a zero-coupon bond with p
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::cc4316501a4e3885f7948b45be195f55
https://doi.org/10.1198/jasa.2009.ap08029
https://doi.org/10.1198/jasa.2009.ap08029
Autor:
Bakhodir Ergashev
Publikováno v:
The Journal of Operational Risk. 4:35-57
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::18632461eaf443b37cadb4d8b6a5d7af
https://doi.org/10.21314/jop.2009.056
https://doi.org/10.21314/jop.2009.056
Autor:
Bakhodir Ergashev
Publikováno v:
The Journal of Operational Risk. 3:63-86
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::75c0175ef744487f5f063910f39d74be
https://doi.org/10.21314/jop.2008.042
https://doi.org/10.21314/jop.2008.042
Autor:
Bakhodir Ergashev
Publikováno v:
SSRN Electronic Journal.
We model the U.S. banking system as a thermodynamic system of interacting elements with individual banking firms representing those elements. Firms with similar asset and liability structures interact in the sense that they pursue similar objectives.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6530295aa104aee77988ea784dfcb8e9
https://doi.org/10.2139/ssrn.2605617
https://doi.org/10.2139/ssrn.2605617
Autor:
Bakhodir Ergashev, Sharon Blei
Publikováno v:
SSRN Electronic Journal.
In this paper, we present a compellingly simple yet innovative approach to capturing the buildup of systemic risk associated with commonalities in banks’ asset holdings. We draw on a growing strand of theoretical literature that studies the systemi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::816a79f5b75ba55358f3fae5b85823c4
https://doi.org/10.2139/ssrn.2503046
https://doi.org/10.2139/ssrn.2503046
Publikováno v:
SSRN Electronic Journal.
This paper addresses challenges of estimating operational risk regulatory capital when a loss sample is truncated from below at a data collection threshold. Recent operational risk literature reports that the attempts to estimate loss distributions b
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ea3cf6e6da8e95c192dfdd532f1de7c7
https://doi.org/10.2139/ssrn.2193493
https://doi.org/10.2139/ssrn.2193493
Publikováno v:
SSRN Electronic Journal.
We enhance the method of integrating scenarios proposed in Ergashev (2012) into risk models. In particular, we provide additional theoretical insights of the method with focus on stress testing Value-at-Risk models. We extend the application of the m
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f65538cb61553efd7dec3ea59b9a8ef3
https://doi.org/10.2139/ssrn.1867365
https://doi.org/10.2139/ssrn.1867365