Lerby Murat Ergun

London School of Economics & Political Science (LSE)

Houghton Street

London, WC2A 2AE

United Kingdom

Bank of Canada

234 Wellington Street

Ontario, Ottawa K1A 0G9

Canada

SCHOLARLY PAPERS

3

DOWNLOADS

183

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

Tail Index Estimation: Quantile Driven Threshold Selection

Number of pages: 74 Posted: 18 Jan 2016
London School of Economics - Systemic Risk Centre, London School of Economics & Political Science (LSE), Erasmus University Rotterdam (EUR) - Department of Econometrics and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 122 (230,523)
Citation 3

Abstract:

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Hill estimator, Heavy tails, Optimal extreme sample fraction

2.

Challenges in Implementing Worst-Case Analysis

Number of pages: 8 Posted: 15 Mar 2017
Jon Danielsson, Lerby Murat Ergun and Casper G. de Vries
London School of Economics - Systemic Risk Centre, London School of Economics & Political Science (LSE) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 51 (385,481)

Abstract:

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Worst-case analysis, EVT, quantile estimator, risk management

3.

The Informational Value of Consensus Prices: Evidence from the OTC Derivatives Market

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 45 Posted: 05 Jun 2018
Lerby Murat Ergun and Andreas Uthemann
London School of Economics & Political Science (LSE) and London School of Economics & Political Science (LSE)
Downloads 10 (583,322)

Abstract:

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OTC markets, information aggregation, learning, consensus pricing