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Results for “RTC” · papers 2 · wiki 1
Academic Papers · 2arXiv q-fin live 0 · desk corpus 2
arXiv · arXiv · 2025
This research presents a framework for quantitative risk management in volatile markets, specifically focusing on expectile-based methodologies applied to the FTSE 100 index. Traditional risk measures such as Value-at-Risk (VaR) have demonstrated significant limitations during periods of market stress, as evidenced during the 2008 financial crisis and subsequent volatile periods. This study develops an advanced expec…
Abiodun Finbarrs Oketunji
arXiv · arXiv · 2016
Credit and liquidity risks represent main channels of financial contagion for interbank lending markets. On one hand, banks face potential losses whenever their counterparties are under distress and thus unable to fulfill their obligations. On the other hand, solvency constraints may force banks to recover lost fundings by selling their illiquid assets, resulting in effective losses in the presence of fire sales - th…
Giulio Cimini, Matteo Serri
Option Blackboard · 0
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