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Wavelet-Based Equity VaR Estimation
Figure 1 shows the annualized volatility using daily S&P 500 index return from 1990 to 2017. Assuming a ... temporal impact in economic risk analysis. Figure 1. S&P 500 Index Return Annualized Volatility (1990–2017) ...- Authors: Kailan Shang
- Date: Aug 2019
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions
- Topics: Enterprise Risk Management>Risk measurement - ERM
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The Optimal Timing of Risk Management
Hedging Insurance company ABC sells variable annuity products with a guaranteed minimum account value ... is −71 percent over the study period. Figure 1. S&P 500 Index Value and VIX (January 1990 to November ...- Authors: Kailan Shang
- Date: Aug 2016
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions; Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Topics: Economics>Financial economics
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Contingent Liquidity Swap: A Prearranged Source of Liquidity
na.shang@swinsolutions.com. Page2of13 Table of Contents CONTINGENT LIQUIDITY SWAP: A PREARRANGED ... risk, it is not risk-free for the buyer. Table 1 and Table 2 list the return and risk profile of the ...- Authors: Kailan Shang, Jingjing Shang
- Date: Mar 2015