Jaroslav Baran

European Stability Mechanism

6a Circuit de la Foire Internationale

L-1347

Luxembourg

SCHOLARLY PAPERS

2

DOWNLOADS

497

CITATIONS

4

Scholarly Papers (2)

1.

A Comparison of EVT and Standard VaR Estimations

Number of pages: 27 Posted: 23 Feb 2011 Last Revised: 07 Mar 2011
Jaroslav Baran and Jiri Witzany
European Stability Mechanism and University of Economics in Prague
Downloads 396 (73,189)
Citation 3

Abstract:

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Risk Measures, Value-at-Risk, Extreme Value Theory, GARCH Estimations, Expected Shortfall, Backtesting

2.

Analysing Cross-Currency Basis Spreads

European Stability Mechanism Working Paper No. 25
Number of pages: 29 Posted: 18 Jul 2017
Jaroslav Baran and Jiri Witzany
European Stability Mechanism and University of Economics in Prague
Downloads 101 (261,881)
Citation 1

Abstract:

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Cross-currency swap, basis spread, overnight indexed swap, cointegration, arbitrage