Articles by Thekke Variyam Ramanathan
Conditional and unconditional intraday value-at-risk models: an application to high-frequency tick-by-tick exchange-traded fund data
The authors consider conditional and unconditional intraday value-at-risk models for high-frequency exchange-traded funds, providing results useful to practitioners of high-frequency trading.
Quantification of operational risk: statistical insights on coherent risk measures
In this paper, the authors review some of the existing methods used to quantify operational risks in the banking and insurance industries.