arXiv 2017-08-29 EN Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns Cech, Frantisek · Barunik, Jozef
arXiv 2017-08-28 EN Default Contagion with Domino Effect, A First Passage Time Approach Akahori, Jiro · Pham, Hai Ha
arXiv 2017-08-25 EN Semiparametric GARCH via Bayesian model averaging Chen, Wilson Ye · Gerlach, Richard H.
arXiv 2017-08-17 EN An indifference approach to the cost of capital constraints: KVA and beyond Brigo, Damiano · Francischello, Marco · Pallavicini, Andrea
arXiv 2017-07-18 EN Surplus-Invariant, Law-Invariant, and Conic Acceptance Sets Must be the Sets Induced by Value-at-Risk He, Xue Dong · Peng, Xianhua
arXiv 2017-07-12 EN Portfolio Risk Assessment using Copula Models Semenov, Mikhail · Smagulov, Daulet
arXiv 2017-07-12 EN The partial damage loss cover ratemaking of the automobile insurance using generalized linear models Guevara-Alarcón, William · González, Luz Mery · Zarruk, Armando Antonio
arXiv 2017-07-11 EN Bayesian Realized-GARCH Models for Financial Tail Risk Forecasting Incorporating Two-sided Weibull Distribution Wang, Chao · Chen, Qian · Gerlach, Richard
arXiv 2017-07-07 EN Model for Constructing an Options Portfolio with a Certain Payoff Function Fatyanova, Margarita E. · Semenov, Mikhail E.
arXiv 2017-07-04 EN Bonus--malus systems with different claim types and varying deductibles Ragulina, Olena
arXiv 2017-07-03 EN Checking account activity and credit default risk of enterprises: An application of statistical learning methods Yao, Jinglun · Levy-Chapira, Maxime · Margaryan, Mamikon
arXiv 2017-06-29 EN Extreme portfolio loss correlations in credit risk Mühlbacher, Andreas · Guhr, Thomas
arXiv 2017-05-30 EN Dynamic Index Tracking and Risk Exposure Control Using Derivatives Leung, Tim · Ward, Brian
arXiv 2017-05-19 EN CDS Rate Construction Methods by Machine Learning Techniques Brummelhuis, Raymond · Luo, Zhongmin
arXiv 2017-05-16 EN A Novel Approach to Quantification of Model Risk for Practitioners Krajcovicova, Zuzana · Perez-Velasco, Pedro Pablo · Vazquez, Carlos
arXiv 2017-05-12 EN Murphy Diagrams: Forecast Evaluation of Expected Shortfall Ziegel, Johanna F. · Krüger, Fabian · Jordan, Alexander · Fasciati, Fernando
