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Risk Measures with Applications in Finance and Economics
| Risk Measures with Applications in Finance and Economics |
| Autore | Wong Wing-Keung |
| Pubbl/distr/stampa | MDPI - Multidisciplinary Digital Publishing Institute, 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 | 3-03897-444-7 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910346660703321 |
Wong Wing-Keung
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| MDPI - Multidisciplinary Digital Publishing Institute, 2019 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Stochastic Processes: Theory and Applications
| Stochastic Processes: Theory and Applications |
| Autore | Korolev Victor |
| Pubbl/distr/stampa | MDPI - Multidisciplinary Digital Publishing Institute, 2019 |
| Descrizione fisica | 1 electronic resource (216 p.) |
| Soggetto non controllato |
recursive formula
rate of convergence asymptotic approximation parabolic equation processor heating and cooling compound poisson insurance risk model Koksma-Hlawka inequality phase-type service time distribution discrete-time Geo/D/1 queue lower record values Fourier-cosine series retrials state-dependent marked Markovian arrival process queuing network stochastic processes Laplace transform von-Neumann–Ulam scheme Monte Carlo method Lévy process Wiener–Poisson risk model queueing systems quasi-random sequences closed-form solution Cauchy problem product form estimation extreme order statistics guaranteed minimum death benefit valuation multidimensional birth-death process Markovian queueing models survival probability truncated distribution Markovian arrival process inhomogeneous continuous-time Markov chain measure of information option unbiased estimator matrix-geometric solution Dickson–Hipp operator Fourier transform multi-class arrival processes total precipitation volume one dimensional projection random sample size markovian arrival process cumulative inaccuracy mutual information Quasi-Birth-and-Death process limiting characteristics testing statistical hypotheses wet periods compound Poisson risk model time-dependent queue-length probability non-stationary equity-linked death benefits wireless telecommunication networks Fourier cosine series expansion impatience generalized Gerber–Shiu discounted penalty function quasi-Monte Carlo method expected discounted penalty function Nonparametric threshold estimation |
| ISBN | 3-03921-963-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Altri titoli varianti | Stochastic Processes |
| Record Nr. | UNINA-9910367737703321 |
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Korolev Victor
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| MDPI - Multidisciplinary Digital Publishing Institute, 2019 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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