Worawut Sabborriboon

Financial Institutions Strategy Department, Bank of Thailand

Senior Analyst

273 Samsen Road

Bangkhunprom, Bangkok 10200

United States

SCHOLARLY PAPERS

2

DOWNLOADS

179

CITATIONS

0

Scholarly Papers (2)

1.

Gaussian Slug - Simple Nonlinearity Enhancement to the 1-Factor and Gaussian Copula Models in Finance, with Parametric Estimation and Goodness-of-Fit Tests on US and Thai Equity Data

22nd Australasian Finance and Banking Conference 2009
Number of pages: 17 Posted: 25 Aug 2009 Last Revised: 04 Jan 2016
Poomjai Nacaskul, PhD, DIC, CFA and Worawut Sabborriboon
Siam Commercial Bank and Financial Institutions Strategy Department, Bank of Thailand
Downloads 125 (224,914)

Abstract:

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Copula, Gaussian Copula, 1-Factor Model, Goodness-of-Fit, US, Thai, Equity Data

2.

Systemic Risk -- Identification, Assessment and Monitoring based on Eigenvector Centrality Analysis of Thai Interbank Connectivity Matrices

Number of pages: 12 Posted: 05 Jan 2016
Poomjai Nacaskul, PhD, DIC, CFA and Worawut Sabborriboon
Siam Commercial Bank and Financial Institutions Strategy Department, Bank of Thailand
Downloads 54 (373,465)

Abstract:

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Network Model, Systemic Risk, Risk-Based Supervision, Macroprudential Surveillance, Eigenvector Centrality, Entropy Measure