3 citations · 11 across the 24 of their papers we have counts for
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q-fin.RM2024
Improving Realized LGD Approximation: A Novel Framework with XGBoost for Handling Missing Cash-Flow Data
Zuzanna Kostecka, Robert Ślepaczuk
The scope for the accurate calculation of the Loss Given Default (LGD) parameter is comprehensive in terms of financial data. In this research, we aim to explore methods for improv…
q-fin.RM2023★ 1 cited
Systemic risk indicator based on implied and realized volatility
Paweł Sakowski, Rafał Sieradzki, Robert Ślepaczuk
We propose a new measure of systemic risk to analyze the impact of the major financial market turmoils in the stock markets from 2000 to 2023 in the USA, Europe, Brazil, and Japan.…