Stephan Smeekes
Biographic Data
| ID | 8921537 |
|---|---|
| NAME | Stephan Smeekes |
| GIVEN NAMES | Stephan |
| FAMILY NAME | Smeekes |
| SIGNATURE | SMEEKES S |
| AFFILIATIONS | Maastricht University |
| ORCID | 0000-0002-0157-639X |
| VERIFIED | Yes |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 1 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2017 |
| LATEST PUBLICATION YEAR | 2017 |
| H-INDEX | 0 |
Risk Measure Inference
We propose a bootstrap-based test of the null hypothesis of equality of two firms’ conditional Risk Measures (RMs) at a single point in time. The test can be applied to a wide class of conditional risk measures issued from parametric or semi-parametric models. Our iterative testing procedure produces a grouped ranking of the RMs, which has direct application for systemic risk analysis. Firms within a group are statistically indistinguishable form…
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Risk Measure Inference
We propose a bootstrap-based test of the null hypothesis of equality of two firms’ conditional Risk Measures (RMs) at a single point in time. The test can be applied to a wide class of conditional risk measures issued from parametric or semi-parametric models. Our iterative testing procedure produces a grouped ranking of the RMs, which has direct application for systemic risk analysis. Firms within a group are statistically indistinguishable form…
Computer Science (1 work) · Econometrics (1 work) · Economics (1 work) · Financial Risk and Volatility Modeling (1 work) · Inference (1 work) · Market Dynamics and Volatility (1 work) · Mathematics (1 work) · Monetary Policy and Economic Impact (1 work) · Monte Carlo method (1 work) · Null hypothesis (1 work)