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Long-term interest rates and bank loan supply: Evidence from firm-bank loan-level data

Long-term interest rates and bank loan supply: Evidence from firm-bank loan-level data
Digital文書・図像類
Ono, Arito, Aoki, Kosuke, Nishioka, Shinichi, Shintani, Kohei, Yasui, YosukeInstitute of Economic Research, Hitotsubashi University2018-02
Available onlineOther Libraries in Japan
  • Summary, etc....subject to the value-at-risk constraint, we make predictio...
  • Subject Heading...taking channel value-at-risk constraint

Employing Bayesian Forecasting of Value-at-Risk to Determine an Appropriate Model for Risk Management

Employing Bayesian Forecasting of Value-at-Risk to Determine an Appropriate Model for Risk Management
Digital文書・図像類
CHEN, Cathy W.S., WENG, Monica M.C., 渡部, 渡部Hitotsubashi Institute for Advanced Study, Hitotsubashi University2015-12-08
Available onlineOther Libraries in Japan
  • Summary, etc....performance of Value-at-Risk (VaR) measures in a class of ...
  • Subject Heading... Carlo methods Value-at-Risk Volatility forecasting Realiz...

Risk Management of Precious Metals

Risk Management of Precious Metals
Digital文書・図像類
Hammoudeh, Shawkat, Malik, Farooq, McAleer, MichaelInstitute of Economic Research, Kyoto University2011-03KIER Discussion Paper765
Available onlineOther Libraries in Japan
  • Summary, etc....k and hedging. Value-at-Risk (VaR) is used to analyze the ...
  • Subject HeadingPrecious metals conditional volatility risk management value-at-risk

Realized Volatility Risk

Realized Volatility Risk
Paper文書・図像類
Allen, David E., McAleer, Michael, Scharth, Marcel日本経済国際共同センター2009-12Discussion paper series. CIRJE-FCIRJE-F-693
Other Libraries in Japan
  • Subject HeadingRealized volatility volatility of volatility value-at-risk forecasting

Quantile Forecasts of Financial Returns Using Realized GARCH Models

Quantile Forecasts of Financial Returns Using Realized GARCH Models
Digital文書・図像類
渡部, 敏明Institute of Economic Research, Hitotsubashi University2011-07
Available onlineOther Libraries in Japan
  • Summary, etc....eturns such as Value-at-Risk and expected shortfall. This ...
  • Subject HeadingExpected shortfall GARCH Realized volatility Skewed student's t-distribution Value-at-Risk

Realized Volatility Risk

Realized Volatility Risk
Digital文書・図像類
Allen, David E., McAleer, Michael, Scharth, MarcelInstitute of Economic Research, Kyoto University2010-12KIER Discussion Paper753
Available onlineOther Libraries in Japan
  • Subject Heading...olatility risk value-at-risk forecasting conditional heter...

Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution

Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution
Paper文書・図像類
Takahashi, Makoto, Watanabe, Toshiaki, Omori, Yasuhiro日本経済国際共同センター2014-02Discussion paper series. CIRJE-FCIRJE-F-921
Other Libraries in Japan
  • Subject Heading...tic volatility Value-at-risk

Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range

Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range
Digital文書・図像類
Chen, Cathy W. S., Gerlach, Richard, Hwang, Bruce B. K., McAleer, MichaelInstitute of Economic Research, Kyoto University2011-05-18KIER Discussion Paper775
Available onlineOther Libraries in Japan
  • Summary, etc.Value-at-Risk (VaR) is commonly used for fi...
  • Subject HeadingValue-at-Risk CAViaR model Skewed-Laplace d...

Has the Basel Accord Improved Risk Management During the Global Financial Crisis?

Has the Basel Accord Improved Risk Management During the Global Financial Crisis?
Digital文書・図像類
McAleer, Michael, Jiménez-Martín, Juan-Ángel, Pérez-Amaral, TeodosioInstitute of Economic Research, Kyoto University2012-11KIER Discussion Paper832
Available onlineOther Libraries in Japan
  • Summary, etc....els to measure Value-at-Risk (VaR). The risk estimates of ...
  • Subject HeadingValue-at-Risk (VaR) daily capital charges v...

Model Selection and Testing of Conditional and Stochastic Volatility Models

Model Selection and Testing of Conditional and Stochastic Volatility Models
Digital文書・図像類
McAleer, MichaelInstitute of Economic Research, Kyoto University2010-09KIER Discussion Paper724
Available onlineOther Libraries in Japan
  • Summary, etc....h are based on Value-at-Risk forecasts. Finally, we presen...
  • Subject Heading...confidence set Value-at-Risk forecasts asymmetry leverage

Risk Modelling and Management: An Overview

Risk Modelling and Management: An Overview
Digital文書・図像類
Chang, Chia-Lin, Allen, David E., McAleer, Michael, Perez Amaral, TeodosioInstitute of Economic Research, Kyoto University2013-07KIER Discussion Paper872
Available onlineOther Libraries in Japan
  • Summary, etc....to forecasting value-at-risk of VIX futures...... comparison of Value-at-Risk estimates, the......e, forecasting value-at-risk with a duration-based POT met...
  • Subject Heading...ity spillovers Value-at-Risk country risk ratings BRICS ex...

GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies

GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies
Digital文書・図像類
Santos, Paulo Araújo, Jiménez-Martín, Juan-Ángel, Amaral, Teodosio Pérez, McAleer, MichaelInstitute of Economic Research, Kyoto University2011-07KIER Discussion Paper782
Available onlineOther Libraries in Japan
  • Summary, etc....by selecting a Value-at-Risk (VaR) forecast that combines ...
  • Subject HeadingValue-at-Risk (VaR) DPOT daily capital char...

Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures

Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures
Digital文書・図像類
Casarin, Roberto, Chang, Chia-Lin, Jiménez-Martín, Juan-Ángel, McAleer, Michael, Pérez-Amaral, TeodosioInstitute of Economic Research, Kyoto University2011-07KIER Discussion Paper784
Available onlineOther Libraries in Japan
  • Summary, etc....ns, to measure Value-at-Risk (VaR). The risk estimates of ...
  • Subject HeadingMedian strategy Value-at-Risk daily capital charges violati...

Value-at-Risk for Country Risk Ratings

Value-at-Risk for Country Risk Ratings
Paper文書・図像類
McAleer, Michael, Bernardo, da Veiga, Hoti, Suhejla日本経済国際共同センター2009-09Discussion paper series. CIRJE-FCIRJE-F-659
Other Libraries in Japan
  • Subject Heading...s debt default value-at-risk risk bounds risk management J...

Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures

Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures
Digital文書・図像類
Chang, Chia-Lin, Jiménez-Martín, Juan-Ángel, McAleer, Michael, Pérez-Amaral, TeodosioInstitute of Economic Research, Kyoto University2011-03KIER Discussion Paper761
Available onlineOther Libraries in Japan
  • Summary, etc....els to measure Value-at-Risk (VaR). The risk estimates of ...
  • Subject HeadingMedian strategy Value-at-Risk (VaR) daily capital charges v...

GFC-Robust Risk Management Strategies under the Basel Accord

GFC-Robust Risk Management Strategies under the Basel Accord
Digital文書・図像類
McAleer, MichaelInstitute of Economic Research, Kyoto University2010-10KIER Discussion Paper727
Available onlineOther Libraries in Japan
  • Summary, etc....by selecting a Value-at-Risk (VaR) forecast that combines ...
  • Subject HeadingValue-at-Risk (VaR) daily capital charges r...

International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord

International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord
Digital文書・図像類
McAleer, Michael, Jiménez-Martín, Juan-Ángel, Pérez-Amaral, TeodosioInstitute of Economic Research, Kyoto University2011-01KIER Discussion Paper757
Available onlineOther Libraries in Japan
  • Summary, etc....of selecting a Value-at-Risk (VaR) forecast that combines ...
  • Subject HeadingMedian strategy Value-at-Risk (VaR) daily capital charges r...

Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?

Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?
Digital文書・図像類
McAleer, Michael, Jiménez-Martín, Juan-Ángel, Pérez-Amaral, TeodosioInstitute of Economic Research, Kyoto University2011-04KIER Discussion Paper767
Available onlineOther Libraries in Japan
  • Summary, etc....els to measure Value-at-Risk (VaR). The risk estimates of ...
  • Subject HeadingValue-at-Risk (VaR) daily capital charges e...

It Pays to Violate: How Effective are the Basel Accord Penalties?

It Pays to Violate: How Effective are the Basel Accord Penalties?
Paper文書・図像類
da, Veiga Bernardo, Chan, Felix, McAleer, Michael日本経済国際共同センター2009-10Discussion paper series. CIRJE-FCIRJE-F-683
Other Libraries in Japan
  • Subject HeadingValue-at-Risk (VaR) GARCH risk management v...

The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges

The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges
Paper文書・図像類
McAleer, Michael日本経済国際共同センター2009-08Discussion paper series. CIRJE-FCIRJE-F-652
Other Libraries in Japan
  • Subject Heading...isk management value-at-risk violations JEL Classification...
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