搜索结果: 1-11 共查到“货币银行学 Dynamic”相关记录11条 . 查询时间(0.093 秒)
Dynamic Portfolio Analysis and Its Application to the Problem of Export Diversification
Dynamic Portfolio Analysis Its Application to the Problem of Export Diversification
2014/3/24
Dynamic Portfolio Analysis and Its Application to the Problem of Export Diversification。
An Empirical Analysis of the Dynamic Relation between Investment-Grade Bonds and Credit Default Swaps
theoretical equivalence credit spreads equilibrium condition discovery process
2011/8/23
We test the theoretical equivalence of credit default swap (CDS) prices and credit spreads derived by Duffie (1999), finding support for the parity relation as an equilibrium condition. We also find t...
A two-stage dynamic credit scoring model, based on customers’ profile and time horizon
credit scoring model logistic regression survival analysis
2011/8/22
As credit card usage has expanded rapidly worldwide, credit scoring has become a very important task for banks, which can benefit from reducing possible risks of default. Credit scoring models help de...
A Dynamic Correlation Modelling Framework with Consistent Stochastic Recovery
Credit Correlation CDO Dynamic Copula
2010/10/19
This paper describes a flexible and tractable bottom-up dynamic correlation modelling framework with a consistent stochastic recovery specification. The stochastic recovery specification only models ...
Adaptive financial networks with static and dynamic thresholds
Adaptive financial networks static and dynamic thresholds
2010/10/18
Based on the daily data of American and Chinese stock markets, the dynamic behavior of a financial network with static and dynamic thresholds is investigated. Compared with the static threshold, the ...
A Dynamic Model for Credit Index Derivatives
Credit Risk CDO Option Dynamic Model Ane Model
2010/11/2
We present a new model for credit index derivatives, in the top-down approach. This model
has a dynamic loss intensity process with volatility and jumps and can include counterparty risk.It handles C...
Dynamic Estimation of Credit Rating Transition Probabilities
Credit Rating Transition Probabilities
2010/11/3
We present a continuous-time maximum likelihood estimation methodology for credit rating
transition probabilities, taking into account the presence of censored data. We perform
rolling estimates of ...
Upper and lower bounds on dynamic risk indifference prices in incomplete markets
Backward stochastic differential equations Dynamic convex risk measures Incomplete markets Indifference pricing
2010/11/2
In the context of an incomplete market with a Brownian filtration and a fixed finite time horizon T , this paper proves that for general dynamic convex risk measures, the buyer’s (pbuyer t ) and selle...
Dynamic operational risk: modeling dependence and combining different sources of information
dependence modelling copula compound process operational risk Bayesian inference Markov chain Monte Carlo Slice sampling
2010/11/1
In this paper, we model dependence between operational risks by allowing risk profiles to evolve stochastically in time and to be dependent. This allows for a flexible correlation structure where the ...
Multidimensional dynamic risk measure via conditional g-expectation
risk measure conditional g-expectation
2010/12/13
This paper studies multidimensional dynamic risk measure induced by conditional $g$-expectation. A notion of multidimensional $g$-expectation is proposed to provide a multidimensional version of nonli...
Superhedging and Dynamic Risk Measures under Volatility Uncertainty
Superhedging Dynamic Risk Measures
2010/12/13
We consider dynamic sublinear expectations (i.e., time-consistent coherent risk measures) whose scenario sets consist of singular measures corresponding to a general form of volatility uncertainty. W...