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Browsing by Author "Yu, Lining"

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    • 2017-02-10Diskussionspapier
      FRM: a Financial Risk Meter based on penalizing tail events occurrence 
      Yu, Lining; Härdle, Wolfgang Karl; Borke, Lukas; Benschop, Thijs
      In this paper we propose a new measure for systemic risk: the Financial Risk Meter (FRM). This measure is based on the penalization parameter (Lambda) of a linear quantile lasso regression. The FRM is calculated by taking ...
    • 2014-08-10Masterarbeit
      Quantile lasso regression for single index model 
      Yu, Lining
      In den Finanzmarkt gibt es viele verschiedene Risikofaktoren rund um ein festgelegtes Finanzunternehmen. Zum Beispiel, Kreditrisiko, Liquiditätsrisiko und das Marktrisiko. Andere Unternehmen können sich auch auf diese ...
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