Rohit Arora

University of Texas at Austin - Red McCombs School of Business

Austin, TX

United States

SCHOLARLY PAPERS

2

DOWNLOADS

283

SSRN CITATIONS

1

CROSSREF CITATIONS

3

Scholarly Papers (2)

1.

Inefficiency of Modified VaR and ES

Number of pages: 24 Posted: 20 Nov 2015
R. Douglas Martin and Rohit Arora
University of Washington and University of Texas at Austin - Red McCombs School of Business
Downloads 228 (168,908)
Citation 5

Abstract:

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Modified VaR, Modified ES, large sample estimator standard error and efficiency, delta-method

2.

Extreme Yet Plausible: Choosing Scenarios to Stress Test Financial Institutions

Number of pages: 46 Posted: 22 Mar 2021
Rohit Arora, Rui Gao and Stathis Tompaidis
University of Texas at Austin - Red McCombs School of Business, University of Texas at Austin - Department of Information, Risk, and Operations Management and University of Texas at Austin - McCombs School of Business
Downloads 55 (459,625)

Abstract:

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stress testing; optimal design of experiments; central counterparties; data-driven decision-making