Información del autor
Autor Maasoumi, Esfandiar |
Documentos disponibles escritos por este autor (3)
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Chang, Chia-Lin ; Maasoumi, Esfandiar ; McAleer, Michael | 2012-03The paper focuses on the robustness of rankings of academic journal quality and research impact in general, and in Economics, in particular, based on the widely-used Thomson Reuters ISI Web of Science citations database (ISI). The paper analyses[...]![]()
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The Basel III Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one of a range of alterna[...]![]()
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Chang, Chia-Lin ; Jiménez-Martín, Juan-Ángel ; Maasoumi, Esfandiar ; McAleer, Michael ; Pérez-Amaral, Teodosio | 2015-05The Basel Committee on Banking Supervision (BCBS) (2013) recently proposed shifting the quantitative risk metrics system from Value-at-Risk (VaR) to Expected Shortfall (ES). The BCBS (2013) noted that “a number of weaknesses have been identified[...]