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Research Output 2014 2014

  • 1 Conference contribution
  • 1 Discussion paper
  • 1 Working paper
2014

Construction of Value at-Risk forecasts under different distributional assumptions within a BEKK framework

Scholtes, N. & Braione, M., 2014, (In preparation) 37 p. (CORE Discussion Paper Series).

Research output: Working paperDiscussion paper

Skewness
Value at risk
Skewed distribution
Multivariate GARCH
Financial assets

Financial stability through self-quarantine vs. system regulation in the interbank market

Scholtes, N., Edwards, M., Hellmann, J., Campbell, E. & Li, L., 2014, (In preparation) Financial stability through self-quarantine vs. system regulation in the interbank market. 15 p.

Research output: Contribution in Book/Catalog/Report/Conference proceedingConference contribution

Interbank market
Imperfect information
Quarantine
Financial stability
Network model
Interbank market
Network model
Agent-based
Credit
Interdependencies