3 papers
q-fin.PR2016
Mortgages and Refinancing
Khizar Qureshi, Cheng Su
In general, homeowners refinance in response to a decrease in interest rates, as their borrowing costs are lowered. However, it is worth investigating the effects of refinancing af…
q-fin.RM2016
Value-at-Risk: The Effect of Autoregression in a Quantile Process
Khizar Qureshi
Value-at-Risk (VaR) is an institutional measure of risk favored by financial regulators. VaR may be interpreted as a quantile of future portfolio values conditional on the informat…
math.ST2016
Applications of Information Theory: Statistics and Statistical Mechanics
Khizar Qureshi
The method of optimizing entropy is used to (i) conduct Asymptotic Hypothesis Testing and (ii) determine the particle distribution for which Entropy is maximized. This paper focuse…