EXTREME VALUE THEORY AND APPLICATION TO MARKET SHOCKS FOR STRESS TESTING AND EXTREME VALUE AT RISK

  • By Admin
  • March 25, 2015
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Economic Capital is highly critical to banks (as well as central bankers and financial regulators who monitor banks) as it links a bank’s earnings and returns on investment tied to risks … Continue Reading →

The Pitfalls of Forecasting, Part 3

  • By Admin
  • September 3, 2014
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Heteroskedasticity Another common problem encountered in time-series forecasting is heteroskedasticity; that is, the variance of the errors increases over time. Figure 1 illustrates this case, where the width of the … Continue Reading →