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Advances in Credit Risk Modeling and Management
| Advances in Credit Risk Modeling and Management |
| Autore | Vrins Frédéric |
| Pubbl/distr/stampa | Basel, Switzerland, : MDPI - Multidisciplinary Digital Publishing Institute, 2020 |
| Descrizione fisica | 1 electronic resource (190 p.) |
| Soggetto topico | Coins, banknotes, medals, seals (numismatics) |
| Soggetto non controllato |
recovery rates
beta regression credit risk contingent convertible debt financial modelling risk management financial crisis recovery rate loss given default model ambiguity default time no-arbitrage reduced-form HJM models recovery process Counterparty Credit Risk Hidden Markov Model Risk Factor Evolution Backtesting FX rate Geometric Brownian Motion trade credit small and micro-enterprises financial non-financial variables risk assessment logistic regression probability of default wrong-way risk dependence urn model counterparty risk credit valuation adjustment (CVA) XVA (X-valuation adjustments) compression genetic algorithm |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910557403603321 |
Vrins Frédéric
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| Basel, Switzerland, : MDPI - Multidisciplinary Digital Publishing Institute, 2020 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Computational Methods for Risk Management in Economics and Finance
| Computational Methods for Risk Management in Economics and Finance |
| Autore | Resta Marina |
| Pubbl/distr/stampa | MDPI - Multidisciplinary Digital Publishing Institute, 2020 |
| Descrizione fisica | 1 electronic resource (234 p.) |
| Soggetto non controllato |
growth optimal portfolio
Wishart model conditional Value-at-Risk (CoVaR) systemic risk utility functions current drawdown risk measure risk-based portfolios capital market pricing model systemic risk measures Big Data International Financial Reporting Standard 9 cartography stock prices copula models CoVaR quantitative risk management auto-regressive fractional Kelly allocation independence assumption deep learning structural models financial regulation data science efficient frontier weighted logistic regression estimation error financial markets capital allocation multi-step ahead forecasts target matrix value at risk random matrices credit risk portfolio theory convex programming admissible convex risk measures non-stationarity financial mathematics quantile regression Markowitz portfolio theory shrinkage loss given default ordered probit |
| ISBN | 3-03928-499-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910404091803321 |
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Resta Marina
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| MDPI - Multidisciplinary Digital Publishing Institute, 2020 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Dark markets [[electronic resource] ] : asset pricing and information transmission in over-the-counter markets / / Darrell Duffie
| Dark markets [[electronic resource] ] : asset pricing and information transmission in over-the-counter markets / / Darrell Duffie |
| Autore | Duffie Darrell |
| Edizione | [Course Book] |
| Pubbl/distr/stampa | Princeton, : Princeton University Press, c2012 |
| Descrizione fisica | 1 online resource (114 p.) |
| Disciplina | 332.64/3 |
| Collana | Princeton lectures in finance |
| Soggetto topico |
Over-the-counter markets
Capital assets pricing model |
| Soggetto genere / forma | Electronic books. |
| Soggetto non controllato |
Bellman's principle
OTC market OTC trades asset pricing credit risk debt derivatives equilibrium bargaining equilibrium search federal funds market federal loans global financial crisis information exchange interbank market intraday allocation large numbers market opaqueness over-the-counter market percolation posterior beliefs private information random matching repurchase search models supply shocks trading transparency |
| ISBN |
1-283-33986-2
9786613339867 1-4008-4051-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Frontmatter -- Contents -- Tables -- Figures -- Preface -- Chapter 1. Over-the- Counter Markets -- Chapter 2. The Case of Federal Funds Lending -- Chapter 3. Search for Counterparties -- Chapter 4. A Simple OTC Pricing Model -- Chapter 5 Information Percolation in OTC Markets -- Appendix A. Foundations for Random Matching -- Appendix B. Counting Processes -- Bibliography -- Index |
| Record Nr. | UNINA-9910457897503321 |
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Duffie Darrell
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| Princeton, : Princeton University Press, c2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Dark markets [[electronic resource] ] : asset pricing and information transmission in over-the-counter markets / / Darrell Duffie
| Dark markets [[electronic resource] ] : asset pricing and information transmission in over-the-counter markets / / Darrell Duffie |
| Autore | Duffie Darrell |
| Edizione | [Course Book] |
| Pubbl/distr/stampa | Princeton, : Princeton University Press, c2012 |
| Descrizione fisica | 1 online resource (114 p.) |
| Disciplina | 332.64/3 |
| Collana | Princeton lectures in finance |
| Soggetto topico |
Over-the-counter markets
Capital assets pricing model |
| Soggetto non controllato |
Bellman's principle
OTC market OTC trades asset pricing credit risk debt derivatives equilibrium bargaining equilibrium search federal funds market federal loans global financial crisis information exchange interbank market intraday allocation large numbers market opaqueness over-the-counter market percolation posterior beliefs private information random matching repurchase search models supply shocks trading transparency |
| ISBN |
1-283-33986-2
9786613339867 1-4008-4051-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Frontmatter -- Contents -- Tables -- Figures -- Preface -- Chapter 1. Over-the- Counter Markets -- Chapter 2. The Case of Federal Funds Lending -- Chapter 3. Search for Counterparties -- Chapter 4. A Simple OTC Pricing Model -- Chapter 5 Information Percolation in OTC Markets -- Appendix A. Foundations for Random Matching -- Appendix B. Counting Processes -- Bibliography -- Index |
| Record Nr. | UNINA-9910781565803321 |
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Duffie Darrell
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| Princeton, : Princeton University Press, c2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Empirical Finance
| Empirical Finance |
| Autore | Hamori Shigeyuki |
| Pubbl/distr/stampa | MDPI - Multidisciplinary Digital Publishing Institute, 2019 |
| Descrizione fisica | 1 electronic resource (276 p.) |
| Soggetto non controllato |
short-term forecasting
wavelet transform IPO volatility US dollar institutional investors’ shareholdings neural network financial market stress market microstructure text similarity TVP-VAR model Japanese yen convolutional neural networks global financial crisis deep neural network cross-correlation function boosting causality-in-variance flight to quality bagging earnings quality algorithmic trading stop loss statistical arbitrage ensemble learning liquidity risk premium gold return futures market take profit currency crisis spark spread city banks piecewise regression model financial and non-financial variables exports data mining latency crude oil futures prices forecasting random forests wholesale electricity SVM random forest bank credit deep learning Vietnam inertia MACD initial public offering text mining bankruptcy prediction exchange rate asset pricing model LSTM panel data model structural break credit risk housing and stock markets copula ARDL earnings manipulation machine learning natural gas housing price asymmetric dependence real estate development loans earnings management cointegration predictive accuracy robust regression quantile regression dependence structure housing loans price discovery utility of international currency ATR |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910346675203321 |
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Hamori Shigeyuki
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| MDPI - Multidisciplinary Digital Publishing Institute, 2019 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Financial Statistics and Data Analytics
| Financial Statistics and Data Analytics |
| Autore | Liu Shuangzhe |
| Pubbl/distr/stampa | Basel, Switzerland, : MDPI - Multidisciplinary Digital Publishing Institute, 2021 |
| Descrizione fisica | 1 electronic resource (232 p.) |
| Soggetto topico | Coins, banknotes, medals, seals (numismatics) |
| Soggetto non controllato |
Index parameter
estimation wrapped stable Hill estimator characteristic function-based estimator asymptotic efficiency GARCH model HARCH model PHARCH model Griddy-Gibs Euro-Dollar safe-haven assets gold price Swiss Franc exchange rate oil price generalized Birnbaum–Saunders distributions ACD models Box-Cox transformation high-frequency financial data goodness-of-fit banking competition credit risk NPLs Theil index convergence analysis interest rates yeld curve no-arbitrage bonds B-splines time series multifractal processes fractal scaling heavy tails long range dependence financial models Bitcoin capital asset pricing model estimation of systematic risk tests of mean-variance efficiency t-distribution generalized method of moments multifactor asset pricing model Lerner index stochastic frontiers shrinkage estimator seemingly unrelated regression model multicollinearity ridge regression financial incentives public service motivation job performance job satisfaction intention to leave |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910557128703321 |
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Liu Shuangzhe
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| Basel, Switzerland, : MDPI - Multidisciplinary Digital Publishing Institute, 2021 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Risk Measures with Applications in Finance and Economics / Michael McAleer, Wing-Keung Wong
| Risk Measures with Applications in Finance and Economics / Michael McAleer, Wing-Keung Wong |
| Autore | McAleer Michael |
| Pubbl/distr/stampa | Basel, Switzerland : , : MDPI, , 2019 |
| Descrizione fisica | 1 electronic resource (536 p.) |
| Soggetto non controllato |
risk assessment
VIX business groups SHARE asymptotic approximation European stock markets whole life insurance dynamic hedging risk-neutral distribution cooperative banks Data Envelopment Analysis (DEA) group-affiliated early warning system factor models smoothing process GMC falsified products S&P 500 index options credit derivatives corporate sustainability term life insurance risk management crude oil financial stability social efficiency dynamic conditional correlation emerging market out-of-sample forecast financial crisis binomial tree news release green energy perceived usefulness Bayesian approach two-level optimization probability of default bank risk SYMBOL information asymmetry CoVaR probabilistic cash flow japonica rice production bank profitability Monte Carlo Simulations gain-loss ratio coherent risk measures Mezzanine Financing national health system option value conscientiousness online purchase intention Slovak enterprises spot and futures prices liquidity premium institutional voids utility random forests bankruptcy optimizing financial model sustainable food security system dynamic panel co-dependence modelling financial performance time-varying correlations Project Financing future health risk generalized autoregressive score functions volatility spillovers financial risks simulations life insurance emotion finance risk markov regime switching diversification production frontier function Granger causality health risk risks mitigation returns and volatility sadness low-income country the sudden stop of capital inflow bank failure China’s food policy objective health status IPO underpricing polarity climate change stock return volatility sentiment analysis empirical process full BEKK stochastic frontier model perceived ease of use volatility transmission openness to experience sustainability low carbon targets quasi likelihood ratio (QLR) test banking regulation sustainable development specification testing fossil fuels time-varying copula function tree structures monthly CPI data coal cartel regular vine copulas sustainability of economic recovery ANN EGARCH-m financial security leniency program financial hazard map uncertainty termination causal path stakeholder theory technological progress banking investment horizon regression model two-level CES function joy the optimal scale of foreign exchange reserve carbon emissions stochastic volatility B-splines self-perceived health sovereign credit default swap (SCDS) RV5MIN utility maximization credit risk policy simulation socially responsible investment portfolio selection scientific verification European banking system risk-free rate wild bootstrap medication investment profitability Amihud’s illiquidity ratio multivariate regime-switching inflation forecast risk aversion market timing need hierarchy theory variance diagonal BEKK conjugate prior risk moving averages financial risk risk measures |
| ISBN |
9783038974444
3038974447 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910346660703321 |
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McAleer Michael
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| Basel, Switzerland : , : MDPI, , 2019 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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