Zobrazeno 1 - 10
of 71
pro vyhledávání: '"Nolde, Natalia"'
Autor:
Zhou, Menglin, Nolde, Natalia
As an important tool in financial risk management, stress testing aims to evaluate the stability of financial portfolios under some potential large shocks from extreme yet plausible scenarios of risk factors. The effectiveness of a stress test crucia
Externí odkaz:
http://arxiv.org/abs/2404.00109
A regime-switching multivariate time series model which is closed under margins is built. The model imposes a restriction on all lower-dimensional sub-processes to follow a regime-switching process sharing the same latent regime sequence and having t
Externí odkaz:
http://arxiv.org/abs/2312.10706
Conditions are obtained for a Gaussian vector autoregressive time series of order $k$, VAR($k$), to have univariate margins that are autoregressive of order $k$ or lower-dimensional margins that are also VAR($k$). This can lead to $d$-dimensional VAR
Externí odkaz:
http://arxiv.org/abs/2211.11898
The global financial crisis of 2007-2009 highlighted the crucial role systemic risk plays in ensuring stability of financial markets. Accurate assessment of systemic risk would enable regulators to introduce suitable policies to mitigate the risk as
Externí odkaz:
http://arxiv.org/abs/2201.00892
Publikováno v:
Journal of Operational Risk, 14(3):73-94 (2019)
Accurate modeling of operational risk is important for a bank and the finance industry as a whole to prepare for potentially catastrophic losses. One approach to modeling operational is the loss distribution approach, which requires a bank to group o
Externí odkaz:
http://arxiv.org/abs/2107.03979
Publikováno v:
In Journal of Multivariate Analysis May 2024 201
Autor:
Nolde, Natalia, Wadsworth, Jennifer L.
The study of multivariate extremes is dominated by multivariate regular variation, although it is well known that this approach does not provide adequate distinction between random vectors whose components are not always simultaneously large. Various
Externí odkaz:
http://arxiv.org/abs/2012.00990
Autor:
BALKEMA, GUUS, NOLDE, NATALIA
Publikováno v:
Advances in Applied Probability, 2020 Jun 01. 52(2), 491-522.
Externí odkaz:
https://www.jstor.org/stable/48654410
Autor:
Nolde, Natalia, Ziegel, Johanna F.
Conditional forecasts of risk measures play an important role in internal risk management of financial institutions as well as in regulatory capital calculations. In order to assess forecasting performance of a risk measurement procedure, risk measur
Externí odkaz:
http://arxiv.org/abs/1608.05498
Publikováno v:
Bernoulli 2012, Vol. 18, No. 4, 1386-1404
The paper focuses on a class of light-tailed multivariate probability distributions. These are obtained via a transformation of the margins from a heavy-tailed original distribution. This class was introduced in Balkema et al. (J. Multivariate Anal.
Externí odkaz:
http://arxiv.org/abs/0912.5337