Zobrazeno 1 - 4
of 4
pro vyhledávání: '"Nataliya Polkovnichenko"'
Publikováno v:
The Journal of Fixed Income. 26:5-15
Assessments of market risk for economic or regulatory capital typically involve calculating a portfolio’s sensitivity to key risk factor movements. In this article, we describe how to generate shocks to prepayment rates and mortgage security option
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::daa16d9cf309a1346b48d9adc10c5437
https://doi.org/10.3905/jfi.2016.26.2.005
https://doi.org/10.3905/jfi.2016.26.2.005
Publikováno v:
Journal of Economics and Business. 84:50-78
This paper tests the robustness of key elements of the Smith and Weiher (2012) countercyclical capital regime. Such tests are now possible given that the recent house price cycle is nearing its end. The recent house price cycle allows for rigorous ou
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a44d2e529289c36199ed922e34641da9
https://doi.org/10.1016/j.jeconbus.2015.11.004
https://doi.org/10.1016/j.jeconbus.2015.11.004
Publikováno v:
The Journal of Fixed Income.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::13cc23cd8d45307e5135f2bc8cc708f7
https://doi.org/10.3905/jfi.2016.2016.1.047
https://doi.org/10.3905/jfi.2016.2016.1.047
Publikováno v:
SSRN Electronic Journal.
Assessments of market risk for economic or regulatory capital typically involve calculating a portfolio’s sensitivity to key risk factor movements. Historically, practitioners have focused on two classical sources of risk, adverse changes in intere
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::db762a97d8693077add998d6f8b2b2b1
https://doi.org/10.2139/ssrn.3416885
https://doi.org/10.2139/ssrn.3416885