Add to ORKGThe main idea of this paper is to apply default analysis to the Student Investment Advisory Service (SIAS) fixed income portfolio, which contains 19 bonds. The portfolio credit risk analysis includes default probability, simulation of default time by using Gaussian copula and t copula, Economic Capital, Credit Value at Risk (VaR) and Expected Tail Loss (ETL)
A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance f...
Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and ...
Liquidity is an increasingly significant issue that fund managers pay vigorous attention to. While ...
Recent research shows that volatility measurement errors are a prime source of mispricing in options...
In this paper, we examine the relationship between bank capital and risk taking in the United States...
This paper examines the relationship between monthly US excess stock market return and its volatilit...
This paper studies the risk profile and capital adequacy of hedge funds by extending the sample peri...
Mestrado em FinançasEsta dissertação modeliza a base de dados Moody's Ultimate Recovery Database, co...
As part of planning and performing financial statement audits, auditors are required to make judgmen...
This study focuses on the relation between the risk profile of a hedge fund and its probability to f...
This paper examines the relationship between the level of institutional ownership andrisk-adjusted r...
This work aims to provide an introduction to the methodologies used for determining the loss distri...
Credit risk has been a worrying type of risk for financial managers. Fortunately, a recent market de...
The credit derivatives market has known an incredible development since its advent in the 1990\u27s....
In this paper, I examine the use of Risk Parity for enhancing performance in the portfolioconstitute...
A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance f...
Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and ...
Liquidity is an increasingly significant issue that fund managers pay vigorous attention to. While ...
Recent research shows that volatility measurement errors are a prime source of mispricing in options...
In this paper, we examine the relationship between bank capital and risk taking in the United States...
This paper examines the relationship between monthly US excess stock market return and its volatilit...
This paper studies the risk profile and capital adequacy of hedge funds by extending the sample peri...
Mestrado em FinançasEsta dissertação modeliza a base de dados Moody's Ultimate Recovery Database, co...
As part of planning and performing financial statement audits, auditors are required to make judgmen...
This study focuses on the relation between the risk profile of a hedge fund and its probability to f...
This paper examines the relationship between the level of institutional ownership andrisk-adjusted r...
This work aims to provide an introduction to the methodologies used for determining the loss distri...
Credit risk has been a worrying type of risk for financial managers. Fortunately, a recent market de...
The credit derivatives market has known an incredible development since its advent in the 1990\u27s....
In this paper, I examine the use of Risk Parity for enhancing performance in the portfolioconstitute...
A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance f...
Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and ...
Liquidity is an increasingly significant issue that fund managers pay vigorous attention to. While ...