Browsing by Subject "Quantile regression"
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Advances in Risk Based Investing by means of Quantile Regression
(North-West University (South Africa), 2021)This thesis advances the relatively open-field of risk-based investing using methods available through quantile regression. To explain the complex relationship between different assets, practitioners and academics alike, ... -
On the financial interpretation of risk contributions: an analysis using Quantile Simulation
(Taylor & Francis, 2019)This paper tests whether the financial interpretation of risk contributions (Qian, 2006), as measured by marginal change in volatility, holds when accounting for fat tails in the asset return distributions. This important ... -
Strict banking regulations : Measuring the impact on bank risk
(North-West University (South Africa), 2020)The banking sector is one of the most integrated sectors in most global economies. As a result of its interaction with other sectors of the economy, any movement in the banking sector needs to be properly managed to avoid ...