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Liquidity Creation without a Lender of Last Resort: Clearinghouse Loan Certificates in the Banking Panic of 1907
clearinghouse financial crisis lender of last resort panic
2011/9/27
Existing research on liquidity provision during National Banking Era (1863-1913) financial crises examines aggregate issuance of clearinghouse loan certificates by the New York Clearinghouse. We emplo...
Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements
Spectral risk measures Expected Shortfall Value at Risk GARCH clearinghouse
2011/3/31
This paper applies an AR(1)-GARCH (1, 1) process to detail the conditional distributions of the return distributions for the S&P500, FT100, DAX, Hang Seng, and Nikkei225 futures contracts.
Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements
Spectral risk measures Expected Shortfall Value at Risk Extreme Value clearinghouse
2011/3/31
This paper applies the Extreme-Value (EV) Generalised Pareto distribution to the extreme tails of the return distributions for the S&P500, FT100, DAX, Hang Seng, and Nikkei225 futures contracts.