ON FLOOD RISK MANAGEMENT ACROSS SOCIO-ECONOMIC ENVIRONMENTS
GESTIÓN DEL RIESGO POR INUNDACIONES EN PAÍSES CON DISTINTAS CARACTERÍSTICAS SOCIOECONÓMICAS
Weihong Ni, Kira Henshaw, Wei Zhu, Jing Wang, Maoqi Hu, and Corina Constantinescu
Date of reception: September 8ᵗʰ 2020
Date of acceptance: October 24ᵗʰ 2020
Abstract
In this paper, we discuss the insuring of flood losses across socio-economicenvironments, by pooling their risk exposures at continental and global levels. G...
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Value-at-risk
Regresión cuantílica como punto de partida en los modelos predictivos para el riesgo
QUANTILE REGRESSION AS A STARTING POINT IN PREDICTIVE RISK MODELS
REGRESIÓN CUANTÍLICA COMO PUNTO DE PARTIDA EN LOS MODELOS PREDICTIVOS PARA EL RIESGO
Albert Pitarque, Ana María Pérez-Marín1, Montserrat Guillen
Dept. Econometría, Riskcenter-IREA, Universidad de Barcelona
Fecha de recepción: 1 de agosto de 2019
Fecha de aceptación: 23 de octubre de 2019
Abstract
Given a risk level or tolerance, quantile regression is a predictive model that fits the corresponding percentile of the contin...
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A COMPARISON OF THE EXTREME VALUE THEORY AND GARCH MODELS IN TERMS OF RISK MEASURES
A COMPARISON OF THE EXTREME VALUE THEORY AND GARCH MODELS IN TERMS OF RISK MEASURES
Ezgi Nevruz y Sule Sahin
Artículo en Anales del Instituto de Actuarios Españoles 2018
Abstract
In this paper, we apply extreme value theory (EVT) and time series models to eight developed and emerging stock markets published in the Morgan Stanley Capital International (MSCI) Index. Based on the Human Development Index (HDI) rankings, which are consistent with the MSCI index, we analyse Singapore, Spain,...
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