Bakhodir Ergashev

EY

Senior Manager

United States

SCHOLARLY PAPERS

8

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Top 19,366

in Total Papers Downloads

3,047

SSRN CITATIONS
Rank 30,139

SSRN RANKINGS

Top 30,139

in Total Papers Citations

9

CROSSREF CITATIONS

19

Scholarly Papers (8)

1.

Integrating Stress Scenarios into Risk Quantification Models

Number of pages: 33 Posted: 19 Jun 2011 Last Revised: 23 Apr 2014
Azamat Abdymomunov, Sharon K. Blei and Bakhodir Ergashev
Federal Reserve Banks - Federal Reserve Bank of Richmond, Fedral Reserve Bank of Richmond and EY
Downloads 609 (52,486)
Citation 2

Abstract:

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Stress test, Scenarios, VaR, Interest rate risk, Operational risk, Credit risk

2.

Estimating the Lognormal-Gamma Model of Operational Risk Using the MCMC Method

Number of pages: 30 Posted: 15 Dec 2008 Last Revised: 22 Jun 2016
Bakhodir Ergashev
EY
Downloads 599 (53,595)
Citation 3

Abstract:

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Operational risk, lognormal-gamma distribution, Markov chain Monte Carlo, simulated annealing, quantile distance

3.

A Theoretical Framework for Incorporating Scenarios into Operational Risk Modeling

Number of pages: 21 Posted: 07 Jul 2010 Last Revised: 03 Oct 2011
Bakhodir Ergashev
EY
Downloads 556 (58,810)

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Operational Risk, Scenario Analysis, Constrained Estimation, The Markov Chain

4.

Should Risk Managers Rely on Maximum Likelihood Estimation Method While Quantifying Operational Risk?

Number of pages: 23 Posted: 18 Dec 2007 Last Revised: 22 Jun 2016
Bakhodir Ergashev
EY
Downloads 512 (65,258)
Citation 3

Abstract:

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Operational risk, loss distribution approach, log-t distribution, maximum likelihood estimation, Cramer-von Mises statistic, Anderson-Darling statistic, quantile distance, simulated annealing

5.

Analysis of Multi-Factor Affine Yield Curve Models

Number of pages: 35 Posted: 21 Oct 2008
Siddhartha Chib and Bakhodir Ergashev
Washington University in St. Louis - John M. Olin Business School and EY
Downloads 292 (124,610)
Citation 9

Abstract:

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Term structure, Yield curve, No-arbitrage condition, Markov chain Monte Carlo, Simulated annealing, Square-root filter, Forecasting

Estimation of Truncated Data Samples in Operational Risk Modeling

Number of pages: 32 Posted: 27 Dec 2012 Last Revised: 23 Apr 2014
EY, University of Florida - Department of Industrial and Systems Engineering, University of Florida and Federal Reserve Banks - Federal Reserve Bank of Richmond
Downloads 279 (130,068)
Citation 1

Abstract:

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Operational risk, VaR, Censored data, Truncation, Method of moments, Maximum likelihood

Estimation of Truncated Data Samples in Operational Risk Modeling

Journal of Risk and Insurance, Vol. 83, Issue 3, pp. 613-640, 2016
Number of pages: 28 Posted: 09 Aug 2016
EY, University of Florida - Department of Industrial and Systems Engineering, University of Florida and Federal Reserve Banks - Federal Reserve Bank of Richmond
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7.

Asset Commonality and Systemic Risk Among Large Banks in the United States

Number of pages: 30 Posted: 01 Oct 2014
Sharon K. Blei and Bakhodir Ergashev
Fedral Reserve Bank of Richmond and EY
Downloads 169 (209,884)
Citation 6

Abstract:

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asset commonality, portfolio diversification, systemic risk, Herfindahl Hirschman Index, dispersion index, cluster analysis

8.

Thermodynamic Properties of the U.S. Banking System

Number of pages: 45 Posted: 13 May 2015
Bakhodir Ergashev
EY
Downloads 31 (542,617)

Abstract:

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the U.S. banking system, thermodynamic systems, bank groups, herding, systemic risk, multi-objective portfolio optimization