نتایج جستجو برای: business cycle synchronization
تعداد نتایج: 473236 فیلتر نتایج به سال:
Journal:
:Mathematical Finance
2022
Abstract We show that pro‐cyclicality is inherent in risk measure estimates based on historical data. Taking the example of VaR, we empirical VaR mean‐reverting over a 1‐year horizon when portfolio held fixed. It means capital requirement rule measurements tends calm times to understate future required and volatile overstate it. To quantify this pro‐cyclicality, develop simple efficient methodo...
Journal:
:Swiss Journal of Economics and Statistics
2020
Journal:
:Social Science Research Network
2022
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