Analysis of SCOR's approach to supply chain risk management
Purpose SCOR 10.0, released in late 2010, is the second version of the supply chain
operations reference model (SCOR) to incorporate risk management processes, metrics and …
operations reference model (SCOR) to incorporate risk management processes, metrics and …
Evaluating interest rate covariance models within a value-at-risk framework
MA Ferreira, JA Lopez - Journal of Financial Econometrics, 2005 - academic.oup.com
A key component of managing international interest rate portfolios is forecasts of the
covariances between national interest rates and accompanying exchange rates. How …
covariances between national interest rates and accompanying exchange rates. How …
[HTML][HTML] A framework for robust measurement of implied correlation
D Linders, W Schoutens - Journal of Computational and Applied …, 2014 - Elsevier
In this paper we consider the problem of deriving correlation estimates from observed option
data. An implied correlation estimate arises when we match the observed index option price …
data. An implied correlation estimate arises when we match the observed index option price …
Tail-related risk measurement and forecasting in equity markets
Parametric, simulation-based and hybrid methods are utilized to estimate various risk
measures such as Value-at-Risk (VaR), Conditional VaR and coherent Expected Shortfall …
measures such as Value-at-Risk (VaR), Conditional VaR and coherent Expected Shortfall …
Evaluation of correlation forecasting models for risk management
VD Skintzi, S Xanthopoulos‐Sisinis - Journal of forecasting, 2007 - Wiley Online Library
Reliable correlation forecasts are of paramount importance in modern risk management
systems. A plethora of correlation forecasting models have been proposed in the open …
systems. A plethora of correlation forecasting models have been proposed in the open …
Robust estimation for the orthogonal GARCH model
F Iqbal - The Manchester School, 2013 - Wiley Online Library
In this paper, we propose a class of robust M‐estimators for the orthogonal generalized
autoregressive conditional heteroscedastic (GARCH) model. The method involves the …
autoregressive conditional heteroscedastic (GARCH) model. The method involves the …
Robust estimation of the simplified multivariate GARCH model
F Iqbal - Empirical Economics, 2013 - Springer
In this paper, robust M-estimation of multivariate GARCH models are considered. The
simplified GARCH model is chosen that involves the estimation of only univariate GARCH …
simplified GARCH model is chosen that involves the estimation of only univariate GARCH …
[BOOK][B] Contributions to conditional heteroscedastic models: M-estimation and other methods
F Iqbal - 2009 - search.proquest.com
This research makes contributions to conditional heteroscedastic models in financial time
series. A class of M-estimators for time series models with asymmetric form of …
series. A class of M-estimators for time series models with asymmetric form of …
[PDF][PDF] Forcasting portofolio value-at-risk for international stocks, bonds, and foreign exchange emerging market evidence
A Hakim - Economic Journal of Emerging Markets, 2009 - journal.uii.ac.id
This paper uncovers the nature of conditional correlations between and volatility spillovers
across bond, stock and foreign exchange in Indonesia, Malaysia, the Philippines, and …
across bond, stock and foreign exchange in Indonesia, Malaysia, the Philippines, and …
Basel II and the Risk Management of Basket Options with Time-Varying Correlations
ASK Wong - Seventh issue (December 2006) of the International …, 2018 - ijcb.org
The impact of jumps, regime switches, and linearly changing correlation term structures on
the risk management of basket options has been examined in this paper. First, the results …
the risk management of basket options has been examined in this paper. First, the results …