February 2016 | No. 105 SYSTEMIC RISK IN DANISH BANKS
... relatively inexpensive and quick to compute in comparison with regulatory stress tests. This has led different authors to use SRISK, along with other market-based risk measures, for computing estimates of capital shortfalls to complement and question the results from different regulatory stress test ...
... relatively inexpensive and quick to compute in comparison with regulatory stress tests. This has led different authors to use SRISK, along with other market-based risk measures, for computing estimates of capital shortfalls to complement and question the results from different regulatory stress test ...
Chapter 7 Data Structures for Strings
... At this point the nodes v and w are not yet attached to T . To attach v, we nd the leftmost descendant of right(u) and attach v as the left child of this node. We then update all nodes on the path from v to the root of T and perform rotations to rebalance T according to the treap rebalancing scheme ...
... At this point the nodes v and w are not yet attached to T . To attach v, we nd the leftmost descendant of right(u) and attach v as the left child of this node. We then update all nodes on the path from v to the root of T and perform rotations to rebalance T according to the treap rebalancing scheme ...
DS-T2 - PESIT South
... Now any divisor d common to m and n must divide the first term with no remainder, since it is the product of n and an integer. Therefore, d must also divide the second term since d divides m and m is the sum of the two terms. Since any divisor common to m and n must divide the remainder of m/n, we k ...
... Now any divisor d common to m and n must divide the first term with no remainder, since it is the product of n and an integer. Therefore, d must also divide the second term since d divides m and m is the sum of the two terms. Since any divisor common to m and n must divide the remainder of m/n, we k ...
Notes for Lecture 3 (ppt file)
... Bonus: (Will add 1 point in the final score) Give the pseudo code for solving the Itinerary Generation Problem (week 1’s folder). For bonus, your answer MUST be perfect. No partial mark will be given. This is a very hard problem at this stage (earlier semester). No need to do that if you do not have ...
... Bonus: (Will add 1 point in the final score) Give the pseudo code for solving the Itinerary Generation Problem (week 1’s folder). For bonus, your answer MUST be perfect. No partial mark will be given. This is a very hard problem at this stage (earlier semester). No need to do that if you do not have ...
Linked Lists Introduction to Linked Lists Node Organization Empty List
... - each node has two pointers, one to the next node (next) and one to the previous node (prev) - head points to first element, tail points to last. - can traverse list in reverse direction by starting at the tail and using p=p->prev. ...
... - each node has two pointers, one to the next node (next) and one to the previous node (prev) - head points to first element, tail points to last. - can traverse list in reverse direction by starting at the tail and using p=p->prev. ...
testing intraday volatility spillovers in turkish capital markets
... GARCH parameters. For instance, Hillebrand (2005) showed that parameter regime changes in GARCH models that are not accounted for in global estimations cause the sum of estimated GARCH parameters to converge to one via Monte Carlo simulations, and he referred to this effect as “spurious almost-integ ...
... GARCH parameters. For instance, Hillebrand (2005) showed that parameter regime changes in GARCH models that are not accounted for in global estimations cause the sum of estimated GARCH parameters to converge to one via Monte Carlo simulations, and he referred to this effect as “spurious almost-integ ...
Advanced Algorithm Design and Analysis (Lecture 1)
... Worst-case: We query the associated structures on all nodes on the path down the tree On level j, the depth of the associated structure is n log j log n j ...
... Worst-case: We query the associated structures on all nodes on the path down the tree On level j, the depth of the associated structure is n log j log n j ...
7. Which of the following statements regarding money
... Municipal bonds are always insured; other bonds are not. Unlike other bonds, municipal bonds sell at a discount. Municipal bond interest is tax-exempt; interest on other bonds is not. There is no brokerage commission on municipal bonds unlike other bonds. ...
... Municipal bonds are always insured; other bonds are not. Unlike other bonds, municipal bonds sell at a discount. Municipal bond interest is tax-exempt; interest on other bonds is not. There is no brokerage commission on municipal bonds unlike other bonds. ...
Systematic Mortality Risk
... immediately and there is no deferment period for investment growth. We do not consider possible roll-up or step-up options, but note that the results presented in ...
... immediately and there is no deferment period for investment growth. We do not consider possible roll-up or step-up options, but note that the results presented in ...
Part I:
... – FX trader John Rusnak accumulated losses on the spot and forward $/¥ market, hiding them by recording fake options offsetting his exposure. For liquidity, he wrote deep in-the-money options ...
... – FX trader John Rusnak accumulated losses on the spot and forward $/¥ market, hiding them by recording fake options offsetting his exposure. For liquidity, he wrote deep in-the-money options ...
This PDF is a selection from a published volume from... Bureau of Economic Research Volume Title: National Economic Planning
... age of the relevant rates in the past. But we do not have data on the marginal productivity of capital itself, and it certainly is not equalized across industries. I would choose here the average rate of return to capital for the economy as a whole, at least in cases in which this rate appears to ha ...
... age of the relevant rates in the past. But we do not have data on the marginal productivity of capital itself, and it certainly is not equalized across industries. I would choose here the average rate of return to capital for the economy as a whole, at least in cases in which this rate appears to ha ...
Insurance Liabilities - International Actuarial Association
... lapse, or paid-up options available prior to the end of the contract term. This reduces or cancels the insurer’s obligations in line with a decline in premium. The existence of surrender values may result in cash outflows - the timing, but not necessarily the amounts of which, is determined at the o ...
... lapse, or paid-up options available prior to the end of the contract term. This reduces or cancels the insurer’s obligations in line with a decline in premium. The existence of surrender values may result in cash outflows - the timing, but not necessarily the amounts of which, is determined at the o ...
Commercial Mortgage-backed Securities: Prepayment and Default*
... the Appendix suggests that the hazards of default and prepayment differ, this methodology does not account for the competing-risks nature of the interaction between prepayment and default. These factors can be accounted for, however, by using competing-risks models like those developed for employmen ...
... the Appendix suggests that the hazards of default and prepayment differ, this methodology does not account for the competing-risks nature of the interaction between prepayment and default. These factors can be accounted for, however, by using competing-risks models like those developed for employmen ...
Five Balltree Construction Algorithms
... construction criteria in order to lead to good performance. We have found, however, that a simple efficiency measure is sufficient for most applications. The most basic query is to return all leaf regions which contain a given point. A natural quantity to consider for this query is the average numbe ...
... construction criteria in order to lead to good performance. We have found, however, that a simple efficiency measure is sufficient for most applications. The most basic query is to return all leaf regions which contain a given point. A natural quantity to consider for this query is the average numbe ...
Studies of Barrier Options and their Sensitivities
... Barrier options are financial derivative securities that are cheaper than the respective standard vanilla options. They differ from ordinary options in that the underlying’s price must either touch or not touch a specified barrier H before or on the expiry T . This also depends on whether the barrie ...
... Barrier options are financial derivative securities that are cheaper than the respective standard vanilla options. They differ from ordinary options in that the underlying’s price must either touch or not touch a specified barrier H before or on the expiry T . This also depends on whether the barrie ...
The Yield Curve`s Ability to Predict a Recession in the US and Abroad
... monetary policy leads to a yield spread below a threshold of 93 basis points, financial intermediaries reduce lending and the consequent reduction of credit supply in the real economy is followed by an increase in unemployment. However, other researchers point out that the expectations hypothesis do ...
... monetary policy leads to a yield spread below a threshold of 93 basis points, financial intermediaries reduce lending and the consequent reduction of credit supply in the real economy is followed by an increase in unemployment. However, other researchers point out that the expectations hypothesis do ...
Lattice model (finance)
For other meanings, see lattice model (disambiguation)In finance, a lattice model [1] is a technique applied to the valuation of derivatives, where, because of path dependence in the payoff, 1) a discretized model is required and 2) Monte Carlo methods fail to account for optimal decisions to terminate the derivative by early exercise. For equity options, a typical example would be pricing an American option, where a decision as to option exercise is required at ""all"" times (any time) before and including maturity. A continuous model, on the other hand, such as Black Scholes, would only allow for the valuation of European options, where exercise is on the option's maturity date. For interest rate derivatives lattices are additionally useful in that they address many of the issues encountered with continuous models, such as pull to par.