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Risk Assessment of Banks with Network Effects

Risk Assessment of Banks with Network Effects

Themabeschreibung

Comparison of forecasts for conditional Value at Risk models with and without network effects.

  • Employ network statistics in addition to standard Fama-French factors for augmented prediction of cross-section excess returns.

Empirical study: data mostly ready to use
Econometric, Statistical techniques used: LASSO for quantiles, Gaussian graphical models, quantile regression