作者: Heart-Rate 時(shí)間: 2025-3-21 21:00 作者: 整頓 時(shí)間: 2025-3-22 03:47
https://doi.org/10.1007/978-1-4020-8213-9te its possible application in risk management. We implement the PIF to the daily probability of default data from 1999 to 2013. The proposed method provides good interpretation of the dynamic structure of 14 economies’ global default probability from pre-Dot Com bubble to post-Sub Prime crisis.作者: STALL 時(shí)間: 2025-3-22 07:54 作者: MOAN 時(shí)間: 2025-3-22 09:21
https://doi.org/10.1007/978-94-015-8664-1roceed to evaluate the statistical significance of the differences in performance of the analysed risk models. We employ a novel methodology for comparing VaR performance allowing us to rank competing models. Our simulation results show that for a significant number of different VaR models there is no statistical difference in the performance.作者: 陰謀 時(shí)間: 2025-3-22 13:46
Textbook 2017Latest editiontion of volatility and copula modeling. This third edition is devoted to modern risk analysis based on quantitative methods and textual analytics to meet the current challenges in banking and finance. It includes 14 new contributions and presents a comprehensive, state-of-the-art treatment of cuttin作者: 細(xì)微差別 時(shí)間: 2025-3-22 19:30
1431-8784 een theoretical concepts, computational tools and practical .This volume provides practical solutions and introduces recent theoretical developments in risk management, pricing of credit derivatives, quantification of volatility and copula modeling. This third edition is devoted to modern risk analy作者: GROUP 時(shí)間: 2025-3-23 00:33 作者: Chivalrous 時(shí)間: 2025-3-23 05:25
Risk Analysis of Cryptocurrency as an Alternative Asset Classludes that the closer the right tail of wealth distribution approaching the Power-Law model, the more stable the market will be. This result is quite useful for investors to make decisions when investing in cryptocurrencies.作者: 責(zé)怪 時(shí)間: 2025-3-23 08:10 作者: fibula 時(shí)間: 2025-3-23 10:46 作者: confederacy 時(shí)間: 2025-3-23 15:14
Eelgrass Wax and Wane: A Case Study assets and the degrees of risk aversion on the performance of the optimal portfolio. An empirical study is conducted by using the stock prices included in the FTSE TWSE Taiwan 100 Index. Numerical results indicate that the optimal portfolios have different reactions to different economic situations.作者: 動(dòng)脈 時(shí)間: 2025-3-23 18:33 作者: Congeal 時(shí)間: 2025-3-23 22:50
Land Use: Agriculture and Use of Woodfirst principal component and the total expert score. An attempt to match the securities’ expert score by linear projection of their individual factor scores yields a best case correlation between expert score and projection of 0.9952. However, the sum of squared differences is, at 46.5552, still notable.作者: Engulf 時(shí)間: 2025-3-24 04:56
What is Environmental Hydraulics?,aightforwardly be used to model the commonly observed time-variation in the betas. The discussion of these new measures and methods is accompanied by an empirical illustration using high-frequency data of the IBM incorporation and of the DJIA index.作者: 控訴 時(shí)間: 2025-3-24 08:06
VaR in High Dimensional Systems-A Conditional Correlation Approachy and flexibility. Here, we employ alternatively the CCC and the DCC modeling framework to evaluate the Value-at-Risk associated with portfolios comprising major U.S. stocks. In addition, we compare their performances with corresponding results obtained from modeling portfolio returns directly via univariate volatility models.作者: 防銹 時(shí)間: 2025-3-24 14:22 作者: 放牧 時(shí)間: 2025-3-24 15:15
Portfolio Selection with Spectral Risk Measures assets and the degrees of risk aversion on the performance of the optimal portfolio. An empirical study is conducted by using the stock prices included in the FTSE TWSE Taiwan 100 Index. Numerical results indicate that the optimal portfolios have different reactions to different economic situations.作者: Root494 時(shí)間: 2025-3-24 19:44
Stress Testing in Credit Portfolio Modelsment banking portfolio. Although our stress testing approach is developed in a particular credit portfolio model, the main concept - stressing risk factors through a truncation of their distributions - is independent of the model specification and can be applied to other risk types as well.作者: MODE 時(shí)間: 2025-3-25 02:26 作者: 方便 時(shí)間: 2025-3-25 04:38 作者: 薄膜 時(shí)間: 2025-3-25 08:53
Risk Measurement with Spectral Capital Allocationrisk or the capital allocation is the sensible approach. Since spectral risk measures are coherent there exists also a sensible capital allocation based on the notion of derivatives or more in the light of the coherency approach as an expectation under a generalized maximal scenario.作者: 傀儡 時(shí)間: 2025-3-25 15:13 作者: exquisite 時(shí)間: 2025-3-25 17:45
Penalized Independent Factorte its possible application in risk management. We implement the PIF to the daily probability of default data from 1999 to 2013. The proposed method provides good interpretation of the dynamic structure of 14 economies’ global default probability from pre-Dot Com bubble to post-Sub Prime crisis.作者: Orchiectomy 時(shí)間: 2025-3-25 23:10 作者: STAT 時(shí)間: 2025-3-26 01:17 作者: 必死 時(shí)間: 2025-3-26 07:07 作者: 參考書(shū)目 時(shí)間: 2025-3-26 10:56
Implementation of Local Stochastic Volatility Model in FX Derivativestions, we compare the calibration and pricing results of the LSV model with the LV model and the SV model, lower calibration errors and relatively accurate pricing results are achieved, which demonstrates the effectiveness of the methods presented in the paper.作者: 長(zhǎng)矛 時(shí)間: 2025-3-26 13:40
Term Structure of Loss Cascades in Portfolio Securitisationibution for uniform loan portfolios and show that the expected loss of the first loss position increases roughly linear whereas the expected losses of the more senior tranches increase exponentially over time depending on the relation between mean default probability and tranching limits.作者: 溫和女孩 時(shí)間: 2025-3-26 20:01 作者: Barter 時(shí)間: 2025-3-26 21:03
Statistics and Computinghttp://image.papertrans.cn/b/image/160083.jpg作者: Jocose 時(shí)間: 2025-3-27 02:28
https://doi.org/10.1007/978-3-662-54486-0quantitative finance; risk management; market risk; credit risk; value at risk; volatility; systemic risk; 作者: Constant 時(shí)間: 2025-3-27 08:51 作者: Nonthreatening 時(shí)間: 2025-3-27 11:01 作者: Proclaim 時(shí)間: 2025-3-27 16:34 作者: 馬籠頭 時(shí)間: 2025-3-27 19:27 作者: GAVEL 時(shí)間: 2025-3-27 23:44 作者: 受辱 時(shí)間: 2025-3-28 02:18 作者: Directed 時(shí)間: 2025-3-28 07:52
Exotics and Invasions of Plants and Animalstfolio. More precisely the risk aversion is codified in a weight function, weighting each quantile. Since the basic coherent building blocks of spectral risk measures are expected shortfall measures, the most intuitive approach comes from combinations of those. For investment decisions the marginal 作者: 額外的事 時(shí)間: 2025-3-28 12:20
https://doi.org/10.1007/978-1-4020-8213-9involve a lot of firm-specific information which is hard to obtain or only available quarterly. In this chapter, we propose a two-step algorithm involving ARIMA-GARCH modelling and clustering to obtain a market based credit rating utilizing easily obtained public information. The algorithm is applie作者: 是比賽 時(shí)間: 2025-3-28 17:13
https://doi.org/10.1007/978-1-4020-8213-9tors can be measured precisely with firm-specific financial statistics while external factors contain qualitative data, like related news. There are large amount of timely information from news which affects the default probability of corporates. Efficient extraction information contained in the new作者: 水土 時(shí)間: 2025-3-28 19:43
Land Use: Agriculture and Use of Woodderstanding of risk model behaviour under stress has become ever more important. In this paper, we present a general approach to implementing stress scenarios in a multi-factor credit portfolio model and analyse asset correlations, default probabilities and default correlations under stress. We use 作者: Sinus-Node 時(shí)間: 2025-3-29 00:41 作者: amyloid 時(shí)間: 2025-3-29 05:35
Prehistory and Early History of the Deltaibution for uniform loan portfolios and show that the expected loss of the first loss position increases roughly linear whereas the expected losses of the more senior tranches increase exponentially over time depending on the relation between mean default probability and tranching limits.作者: defray 時(shí)間: 2025-3-29 09:10
Land Use: Agriculture and Use of Woodand complexity factors, each assigned a category (factor score) of Low, Medium, or High by the expert entity. A principal component analysis of the data reveals that based on the chosen risk factors alone we cannot identify a single underlying latent source of risk in the data. Conversely, the chose作者: 山間窄路 時(shí)間: 2025-3-29 12:00
https://doi.org/10.1007/978-981-13-1960-0llowed with the multivariate copulas which are the concentration of the paper. In multivariate copula sections, the hierarchical Archimedean copula, the factor copula and vine copula are introduced. In the following section the estimation methods for multivariate copulas including parametric and non作者: landfill 時(shí)間: 2025-3-29 19:03 作者: 難理解 時(shí)間: 2025-3-29 21:40 作者: 使混合 時(shí)間: 2025-3-30 02:50
? f T = The Bulk Flux Richardson Numberthe cryptocurrency, evaluate its corresponding effects on the market and analyze other risk factors resulting in the death of altcoins. The paper concludes that the closer the right tail of wealth distribution approaching the Power-Law model, the more stable the market will be. This result is quite 作者: 煤渣 時(shí)間: 2025-3-30 06:39 作者: antiquated 時(shí)間: 2025-3-30 12:08
Prehistory and Early History of the Deltaibution for uniform loan portfolios and show that the expected loss of the first loss position increases roughly linear whereas the expected losses of the more senior tranches increase exponentially over time depending on the relation between mean default probability and tranching limits.作者: VOK 時(shí)間: 2025-3-30 16:23
Textbook 2017Latest editioncryptocurrencies. Digital assets, such as blockchain-based currencies, have become popular b.ut are theoretically challenging when based on conventional methods. Among others, it introduces a modern text-mining method called dynamic topic modeling in detail and applies it to the message board of Bit作者: Occipital-Lobe 時(shí)間: 2025-3-30 17:38
1431-8784 b.ut are theoretically challenging when based on conventional methods. Among others, it introduces a modern text-mining method called dynamic topic modeling in detail and applies it to the message board of Bit978-3-662-57199-6978-3-662-54486-0Series ISSN 1431-8784 Series E-ISSN 2197-1706 作者: deficiency 時(shí)間: 2025-3-30 23:44
Exotics and Invasions of Plants and Animalsveraging of the haircuts being applied to a sector of firms is thus sensible for practical applications. Instead of relying on post-estimation averaging, we assume a common haircut for all firms in a sector and devise a novel density-tempered expanding-data sequential Monte Carlo method to jointly e作者: chlorosis 時(shí)間: 2025-3-31 03:32 作者: Communicate 時(shí)間: 2025-3-31 06:17 作者: Phagocytes 時(shí)間: 2025-3-31 09:17 作者: cancer 時(shí)間: 2025-3-31 15:36 作者: 制定 時(shí)間: 2025-3-31 20:43 作者: 友好 時(shí)間: 2025-3-31 22:36
