Resultats globals: 13 registres trobats en 0.03 segons.
Documents de recerca, 13 registres trobats
Documents de recerca 13 registres trobats  1 - 10següent  anar al registre:
1.
35 p, 584.3 KB Forecasting compositional risk allocations / Boonen, Tim. J. (University of Amsterdam) ; Guillén, Montserrat (Universitat de Barcelona. Riskcenter) ; Santolino, Miguel (Universitat de Barcelona. Riskcenter) ; Xarxa de Referència en Economia Aplicada (XREAP)
We analyse models for panel data that arise in risk allocation problems,when a given set of sources are the cause of an aggregate risk value. We focus on the modeling and forecasting of proportional contributions to risk. [...]
Xarxa de Referència en Economia Aplicada (XREAP) 2017 (XREAP ; 2017/04)  
2.
31 p, 240.4 KB Testing extreme value copulas to estimate the quantile / Bahraou, Zuhair ; Bolancé Losilla, Catalina ; Pérez Marín, Ana María ; Xarxa de Referència en Economia Aplicada (XREAP)
Testing weather or not data belongs could been generated by a family of extreme value copulas is difficult. We generalize a test and we prove that it can be applied whatever the alternative hypothesis. [...]
Xarxa de Referència en Economia Aplicada (XREAP) 2013 (XREAP ; 2013-09)  
3.
127 p, 3.8 MB New developments in the measurement of market connectedness / Erkol, Narod, autor ; Schmidbauer, Harald, supervisor acadèmic ; Trillas, Francesc, supervisor acadèmic ; Universitat Autònoma de Barcelona. Departament d'Economia Aplicada
Esta tesis consiste en tres partes. El objetivo de este estudio es cuantificar de forma dinámica la conexión de mercado mediante el uso de rentabilidad y volatilidad desbordamientos. La primera parte es un estudio metodológico para investigar la conexión de mercado y la explicación de una metodología extendida. [...]
This dissertation consists of three parts. The aim of this study is to quantify dynamically the market connectedness by using return and volatility spillovers. First part is a methodological study to investigate the market connectedness and explanation of an extended methodology. [...]

[Bellaterra] : Universitat Autònoma de Barcelona, 2016  
4.
43 p, 1.2 MB Distance to default as a measure of default risk / Luna Goris, Fernando ; Lovreta, Lidija, dir. (Universitat Autònoma de Barcelona. Departament d’Empresa) ; Universitat Autònoma de Barcelona. Facultat d'Economia i Empresa
Companies are facing increasing uncertain times, key investment decisions and challenging financial needs. Now more than ever it is important to understand both the financial decisions of the business corporations as well as how they connect. [...]
2015
Graduat o Graduada en Economia [952]
2 documents
5.
51 p, 1.2 MB Earnings quality and performance in the banking industry : a profit frontier approach / Tortosa, Emili ; Universitat Autònoma de Barcelona. Departament d'Empresa
The analysis of efficiency and productivity in banking has received a great deal of attention for almost three decades now. However, most of the literature to date has not explicitly accounted for risk when measuring efficiency. [...]
Universitat Autònoma de Barcelona. Departament d'Economia de l'Empresa 2014 (Document de treball (Universitat Autònoma de Barcelona. Departament d'Economia de l'Empresa) ; 14/5)  
6.
40 p, 347.8 KB Nonparametric estimation of Value-at-Risk / Alemany Leira, Ramon (Universitat de Barcelona. Departament d'Econometria) ; Bolancé, Catalina (Universitat de Barcelona. Departament d'Econometria) ; Guillén, Montserrat (Universitat de Barcelona. Departament d'Econometria) ; Xarxa de Referència en Economia Aplicada (XREAP)
A method to estimate an extreme quantile that requires no distributional assumptions is presented. The approach is based on transformed kernel estimation of the cumulative distribution function (cdf). [...]
Xarxa de Referència en Economia Aplicada (XREAP) 2012 (XREAP ; 2012-19)  
7.
23 p, 815.4 KB Credit risk contributions under the Vasicek one-factor model: a fast wavelet expansion approximation / Ortiz-Gracia, Luís ; Masdemont Soler, Josep ; Centre de Recerca Matemàtica
To measure the contribution of individual transactions inside the total risk of a credit portfolio is a major issue in financial institutions. VaR Contributions (VaRC) and Expected Shortfall Contributions (ESC) have become two popular ways of quantifying the risks. [...]
Centre de Recerca Matemàtica 2011 (Prepublicacions del Centre de Recerca Matemàtica ; 1022)  
8.
42 p, 454.5 KB Optimal feedback control rules sensitive to controlled endogenous risk-aversion / Protopopescu, Dan ; Universitat Autònoma de Barcelona. Unitat de Fonaments de l'Anàlisi Econòmica ; Universitat Autònoma de Barcelona. Institut d'Anàlisi Econòmica
The objective of this paper is to correct and improve the results obtained by Van der Ploeg (1984a, 1984b) and utilized in the theoretical literature related to feedback stochastic optimal control sensitive to constant exogenous risk-aversion (see, Jacobson, 1973, Karp, 1987 and Whittle, 1981, 1989, 1990, among others) or to the classic context of risk-neutral decision-makers (see, Chow, 1973, 1976a, 1976b, 1977, 1978, 1981, 1993). [...]
2008 (Working papers ; 748.08)  
9.
40 p, 332.0 KB Codes of best practice in competitive markets for managers / Alonso Paulí, Eduard ; Pérez-Castrillo, David ; Universitat Autònoma de Barcelona. Unitat de Fonaments de l'Anàlisi Econòmica ; Universitat Autònoma de Barcelona. Institut d'Anàlisi Econòmica
We study firms' corporate governance in environments where possibly heterogeneous shareholders compete for possibly heterogeneous managers. A firm, formed by a shareholder and a manager, can sign either an incentive contract or a contract including a Code of Best Practice. [...]
2008 (Working papers ; 726.08)  
10.
35 p, 259.0 KB Memory in contracts : the experience of the EBRD (1991-2003) / Artige, Lionel (Université de Liège. Department of Economics) ; Nicolini, Rosella (Universitat Autònoma de Barcelona. Departament d'Economia Aplicada) ; Universitat Autònoma de Barcelona. Unitat de Fonaments de l'Anàlisi Econòmica ; Universitat Autònoma de Barcelona. Institut d'Anàlisi Econòmica
The objective of this paper is to identify the role of memory in repeated contracts with moral hazard in financial intermediation. We use the database we have built containing the contracts signed by the European Bank for Reconstruction and Development EBRD between 1991 and 2003. [...]
2008 (Working papers ; 724.08)  

Documents de recerca : 13 registres trobats   1 - 10següent  anar al registre:
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