Zobrazeno 1 - 6
of 6
pro vyhledávání: '"Vilen Abramov"'
Publikováno v:
The Journal of Risk Model Validation.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::83ccdcf3848fbe8fd32e8c23a8412434
https://doi.org/10.21314/jrmv.2021.005
https://doi.org/10.21314/jrmv.2021.005
Publikováno v:
SSRN Electronic Journal.
Following the 2008 financial crisis, interest rate market experienced major changes in the ways Libor rate was treated. Since Libor is not a risk free rate, the dual curve bootstrapping (Libor-OIS) has been introduced. The term risk premium (e.g., 3m
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7b44314e6bedd47b4ef36e176bcc6aac
https://doi.org/10.2139/ssrn.3654466
https://doi.org/10.2139/ssrn.3654466
Autor:
Xianwen Zhou, Vilen Abramov
Publikováno v:
SSRN Electronic Journal.
Curve building is an information extraction process defined by a set of bootstrapping instruments B, bootstrapping procedures P, interpolation technique I, and extrapolation technique E. The bootstrapping procedures allow one to deduce/bootstrap info
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::58e4e3e31db2ee78daa4dfbc4acb1f87
https://doi.org/10.2139/ssrn.3329563
https://doi.org/10.2139/ssrn.3329563
Autor:
Cfa Kyle McCay, Vilen Abramov
Publikováno v:
SSRN Electronic Journal.
Mortgage servicing assets are complex option-embedded financial instruments. Their values are volatile and highly exposed to interest rate risk. Much of the blame for the financial crisis of 2008 has been placed on the mortgage industry. This led to
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9edf60aba60a5e19824b38e1e3b72553
https://doi.org/10.2139/ssrn.3166317
https://doi.org/10.2139/ssrn.3166317
Autor:
M. Kazim Khan, Vilen Abramov
Publikováno v:
SSRN Electronic Journal.
The VaR (Value at Risk) concept has emerged back in 1994 when JP Morgan started routinely using it in its daily reporting. Simply said, it represents a lower bound of large rare losses. The VaR metric became an industry standard for measuring market
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2359a46e4eea06576d5b4f3a816bc6ef
https://doi.org/10.2139/ssrn.3080557
https://doi.org/10.2139/ssrn.3080557
Publikováno v:
SSRN Electronic Journal.
The financial crisis of 2008 has been extremely challenging and, at the same time, illuminating period for market risk managers. The crisis revealed a convoluted nature of the market risk and put market risk models to the crash test. The epic failure
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::349b04c1b0f41dbfa29af0dd9f7645c3
https://doi.org/10.2139/ssrn.2916853
https://doi.org/10.2139/ssrn.2916853