Shakeel Sajjad

3 Questions 6 Answers 0 Followers

Questions related from Shakeel Sajjad

Measurement of Systemic Risk using Delta CoVaR, Marginal Expected Shortfall (MES) and SRISK

Dear senior colleagues, I am measuring systemic risk in financial institutions. I need help on how to estimate these systemic risks measures using Eviews/ STATA/ R/ Python or Matlab: Delta...

01 January 1970 3,067 3 View

Matlab code for Marginal Expected Shortfall (MES) calculation

I want to understand this code. rm = r(:,1); % index returns rm_0 = rm - mean(rm); rf = r(:,2); % security returns rf_0 = rf - mean(rf); [p,h] = dcc_gjrgarch(r); % p is the conditional...

01 January 1970 9,911 1 View

Data of Gulf Cooperation Council (GCC) and ASEAN Countries

Hello. I am working on GCC and ASEAN countries. I need weekly data on state variables for the following GCC countries Bahrain, Kuwait, Oman, Qatar, Saudi Arabia, and the United Arab Emirates and...

01 January 1970 8,408 0 View