Regression analysis
Neuberger Berman gets its Sherlock on
Asset manager deploys quant-cum-sleuth to sniff out portfolio risk
Estimating marginal effects of key factors that influence wholesale electricity demand and price distributions in Texas via quantile variable selection methods
Using a large data set from the Electric Reliability Council of Texas, this study uses quantile regressions and attendant variable selection methods to choose the most important factors that influence demand and price distributions; subsequently, the…
Value-at-risk in the European energy market: a comparison of parametric, historical simulation and quantile regression value-at-risk
This paper examines a set of value-at-risk (VaR) models and their ability to appropriately describe and capture price-change risk in the European energy market.
The advance of analytics
Machine learning is coming to analytics but there are hurdles to overcome first, says Aiman El‑Ramly, chief operations officer at ZE PowerGroup
Asymmetry herding behavior of real estate investment trusts: evidence from information demand
This paper investigates the effect of investor demand on herding behavior in the US real estate investment trusts (REITs) market by measuring investors’ information demand using Google’s search volume index.
Basel III ratios bolster bank resilience – BIS
Analysis shows regulatory minimums protect banks from distress
Liquidity risk management implementation for selected Islamic banks in Pakistan
The purpose of this particular study is to determine if any liquidity risk exists in the Islamic banks of Pakistan and, if it does, what effect it has on the resilience of the industry in that country.
Further investigation of parametric loss given default modeling
The authors conduct a comprehensive study of some parametric models that are designed to fit the unusual bounded and bimodal distribution of loss given default (LGD).
Price determinants in the German intraday market for electricity: an empirical analysis
This paper looks at hourly electricity prices, specifically in the German intraday market and is one of the first German studies to develop significant intraday estimates of the driving factors, as distinct from day-ahead modeling.
The simple link from default to LGD
The simple link from default to LGD
An analytical framework for credit portfolio risk measures
An analytical framework for credit portfolio risk measures
The liquidity puzzle
Liquidity