No.70 Da-Zhi Street, Chung-Shan District
Taipei, 10462
Taiwan
http://sites.google.com/site/wenreseach/
Shih Chien University (Taiwan), Dept. of Finance and Banking
SSRN RANKINGS
in Total Papers Downloads
value at risk, conditional tail expectation, expected shortfall, VaR, Tail VaR, CTE, R statistical language
Credit Derivatives, Credit Default Swap, CDS, Arbitrage, Basis Arbitrage, Trading, Fixed Income, Collateralized Debt Obligations, CDO, Structured Finance, Debt Market, Capital Market, Financial Engineering, Structuring, Cross Asset, Credit Risk
volume-volatility relation, vector autoregression (VAR), GARCH volatility, Treasury futures trading, hedging, speculation, market microstructure
Treasury Futures, Trading, Market Microstructure, Volume-Volatility Relation, Volatility, Volume, Open Interest, VAR, Vector Autoregression, GARCH, Market Squeeze, Strategic Trading, Difference of Opinions, Capital Market, Debt Market, Hedging, Speculation
volume-volatility relation, Treasury futures trading, strategic trading model, differences of opinion model, market microstructure
CTE, VaR, TVaR, Monte Carlo simulation, R statiscal language, conditional tail expectation, Value at Risk, Tail Value at Risk, importance sampling, stratification, variance reduction