Bakhodir Ergashev

EY

Senior Manager

United States

SCHOLARLY PAPERS

8

DOWNLOADS
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SSRN RANKINGS

Top 20,025

in Total Papers Downloads

3,077

SSRN CITATIONS
Rank 30,922

SSRN RANKINGS

Top 30,922

in Total Papers Citations

10

CROSSREF CITATIONS

18

Scholarly Papers (8)

1.

Integrating Stress Scenarios into Risk Quantification Models

Number of pages: 33 Posted: 19 Jun 2011 Last Revised: 23 Apr 2014
Azamat Abdymomunov, Sharon K. Blei and Bakhodir Ergashev
Federal Reserve Banks - Federal Reserve Bank of Richmond, Fedral Reserve Bank of Richmond and EY
Downloads 618 (53,487)
Citation 2

Abstract:

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Stress test, Scenarios, VaR, Interest rate risk, Operational risk, Credit risk

2.

Estimating the Lognormal-Gamma Model of Operational Risk Using the MCMC Method

Number of pages: 30 Posted: 15 Dec 2008 Last Revised: 22 Jun 2016
Bakhodir Ergashev
EY
Downloads 602 (55,228)
Citation 3

Abstract:

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Operational risk, lognormal-gamma distribution, Markov chain Monte Carlo, simulated annealing, quantile distance

3.

A Theoretical Framework for Incorporating Scenarios into Operational Risk Modeling

Number of pages: 21 Posted: 07 Jul 2010 Last Revised: 03 Oct 2011
Bakhodir Ergashev
EY
Downloads 563 (60,069)

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Operational Risk, Scenario Analysis, Constrained Estimation, The Markov Chain

4.

Should Risk Managers Rely on Maximum Likelihood Estimation Method While Quantifying Operational Risk?

Number of pages: 23 Posted: 18 Dec 2007 Last Revised: 22 Jun 2016
Bakhodir Ergashev
EY
Downloads 514 (67,292)
Citation 3

Abstract:

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Operational risk, loss distribution approach, log-t distribution, maximum likelihood estimation, Cramer-von Mises statistic, Anderson-Darling statistic, quantile distance, simulated annealing

5.

Analysis of Multi-Factor Affine Yield Curve Models

Number of pages: 35 Posted: 21 Oct 2008
Siddhartha Chib and Bakhodir Ergashev
Washington University in St. Louis - John M. Olin Business School and EY
Downloads 294 (127,834)
Citation 9

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Term structure, Yield curve, No-arbitrage condition, Markov chain Monte Carlo, Simulated annealing, Square-root filter, Forecasting

Estimation of Truncated Data Samples in Operational Risk Modeling

Number of pages: 32 Posted: 27 Dec 2012 Last Revised: 23 Apr 2014
EY, University of Florida - Department of Industrial and Systems Engineering, University of Florida and Federal Reserve Banks - Federal Reserve Bank of Richmond
Downloads 280 (133,899)
Citation 1

Abstract:

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Operational risk, VaR, Censored data, Truncation, Method of moments, Maximum likelihood

Estimation of Truncated Data Samples in Operational Risk Modeling

Journal of Risk and Insurance, Vol. 83, Issue 3, pp. 613-640, 2016
Number of pages: 28 Posted: 09 Aug 2016
EY, University of Florida - Department of Industrial and Systems Engineering, University of Florida and Federal Reserve Banks - Federal Reserve Bank of Richmond
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7.

Asset Commonality and Systemic Risk Among Large Banks in the United States

Number of pages: 30 Posted: 01 Oct 2014
Sharon K. Blei and Bakhodir Ergashev
Fedral Reserve Bank of Richmond and EY
Downloads 174 (211,072)
Citation 6

Abstract:

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asset commonality, portfolio diversification, systemic risk, Herfindahl Hirschman Index, dispersion index, cluster analysis

8.

Thermodynamic Properties of the U.S. Banking System

Number of pages: 45 Posted: 13 May 2015
Bakhodir Ergashev
EY
Downloads 32 (552,717)

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the U.S. banking system, thermodynamic systems, bank groups, herding, systemic risk, multi-objective portfolio optimization