1 citations · 1 across the 3 of their papers we have counts for
4 papers
Statistical Hypothesis Testing for Information Value (IV)
Helder Rojas, Cirilo Alvarez, Nilton Rojas
Information Value (IV) is a widely used technique for feature selection prior to the modeling phase, particularly in credit scoring and related domains. However, conventional IV-ba…
Order book dynamics with liquidity fluctuations: limit theorems and large deviations
Helder Rojas, Artem Logachov, Anatoly Yambartsev
We propose a class of stochastic models for a dynamics of limit order book with different type of liquidities. Within this class of models we study the one where a spread decreases…
Stress Testing Network Reconstruction via Graphical Causal Model
Helder Rojas, David Dias
An resilience optimal evaluation of financial portfolios implies having plausible hypotheses about the multiple interconnections between the macroeconomic variables and the risk pa…
Transmission of Macroeconomic Shocks to Risk Parameters: Their uses in Stress Testing
Helder Rojas, David Dias
In this paper, we are interested in evaluating the resilience of financial portfolios under extreme economic conditions. Therefore, we use empirical measures to characterize the tr…