3 citations · 3 across the 1 of their papers we have counts for
3 papers
stat.AP2019
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…
stat.AP2018
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…
stat.AP2017★ 3 cited
Stochastic Volatily Models using Hamiltonian Monte Carlo Methods and Stan
David S. Dias, Ricardo S. Ehlers
This paper presents a study using the Bayesian approach in stochastic volatility models for modeling financial time series, using Hamiltonian Monte Carlo methods (HMC). We propose…