1) ; X1 is a (n k1 ) non-stochastic matrix with full column rank k1 ; 1 is a (k1 1) vector of parameters and u N 0; 2 In : However, instead of (1), the following regression is estimated y = X1 1 +X2 2 +e (2) where X2 is a (n k2 ) non-stochastic matrix with full column rank k2 , 1) vector of parameters and e is the disturbance term. 2 is a (k2 In regression (2), 2 = 0: Let the OLS estimators of 1 and 2 from the regression (2) be ^1 = ^2 = X0 M2 X1 1 1 X0 M2 y 1 X0…
Tim Higgins Enterprise Risk Management 2 - WEEK 1 Risk Measurement Tim Higgins Enterprise Risk Management 2 - WEEK 1 Week 1: Objectives and readings Describe the properties and limitations of common risk measures, including Value at Risk (VaR) Tail Value at Risk (TVaR) Probability of ruin Expected shortfal Describe how to choose a suitable time horizon and risk discount rate Readings: ActEd ST9: Chapter 10 Sweeting: Ch1, section 1.6 Sweeting: Ch13, section 13.6 Sweeting: Ch15, section 15…
defaults and X = 0 otherwise. Let W = i if stock i is picked. a) Here 3 P (X = 1|W = i)P (W = i) P (X = 1) = i=1 3 pi q i = i=1 = 0.1 × 0.3 + 0.05 × 0.5 + 0.04 × 0.2 = 0.063. b) Here P (W = 1|X = 0) = P (W = 1, X = 0) P (X = 0|W = 1)P (W = 1) 0.9 × 0.3 = = = 0.2900. P (X = 0) 1 − P (X = 1) 1 − 0.069 Problem 2.2 a) ∞ ∞ ak k k=1 a = xk−1 dx k=1 0 a ∞ a k=1 ∞ xk−1 dx = 0 xk dx = 0 k=0 a 1 dx 0 1−x = − log(1 −…
more syntax for defining even more powerful regular expressions). c) Egrep ‘(^goodbye)|(^later)|(^farewell)’ usernames.txt d) ‘Unix is$’ ‘[abc]$’ ‘file [0 1 2 3 4 5 6 7 8 9][0 1 2 3 4 5 6 7 8 9][0 1 2 3 4 5 6 7 8 9]’ ‘^[^x]*x?[^x]*$’ ‘a*b?*c’ Problem 4 a) AWK is essentially a type of programming language that focuses…
|sort -k 5 -n Utilities to provide support 7) man grep 8) info grep Utilities to obtain system information 9) which fdisk 10) whereis fdisk 11) whatis fdisk Note your observation on these three commands 12) $finger 13) $finger (username) Note your observation on finger commands Utilities to manage text 14) man hier |more 15) man hier |less Note your observation on the above two commands More can only scroll down, while less can go up and down. 16) head –n 20 /var/log/dmesg…
Backtesting VaR models: Quantitative and Qualitative Tests Carlos Blanco and Maksim Oks This is the first article in a two-part series analyzing the accuracy of risk measurement models. In this first article, we will present an overview of backtesting methods and point out the importance of conducting regular backtests on the risk models being used. In the second article, we will present an alternative to measuring VaR using a top-down or “macro” approach as a complementary tool to traditional…
Introduction to STATA ECONOMICS 375 Brian Phelan Fall 2014 This handout provides a very brief introduction to STATA, a convenient and versatile econometrics package. In the past 20 years, STATA has become one of the leading statistical programs used by economic researchers. STATA was written by economists so it is more intuitive for researchers in our field. It is fast and relatively easy to use. STATA‟s speed advantage comes from the fact that all data is loaded into RAM. Subsequently, the amount…
+ βCi,j+1 + βCi,j−1 = 0 and find β. d) Suppose that c(x, 1.5) = 0.6 for 0 ≤ x ≤ 1. For the discretization with n = 6, find the equation (3.2) at the grid point (x3 , y8 ) marked in Figure 3.1. Clearly indicate what the unknowns are. e) You are given the coefficient matrix A using a row-ordering of the variables Ci,j . Information about the coefficient matrix A is given in Figure 3.2. Non−zero elements of A 0 5 10 15 20 25 30 35 40 0 10 20 nz = 174 30 40 0 5 10 15 20 25 30 35 40 0 10 20 nz = 219 30 40 Cholesky…