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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 |
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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Risk Analysis and Portfolio Modelling
| Risk Analysis and Portfolio Modelling |
| Autore | Allen David |
| Pubbl/distr/stampa | MDPI - Multidisciplinary Digital Publishing Institute, 2019 |
| Descrizione fisica | 1 electronic resource (224 p.) |
| Soggetto non controllato |
risk assessment
mortgage portfolio insider trade contagion effect risk capital liquidity risk hedonic modeling rolling wavelet correlation inverse coefficient of variation exchange traded funds sovereign risk/debt securitized real estate and local stock markets portfolio optimization portfolio analysis risk premium performance measurement risk analysis contagion outperformance probability Sharpe ratio probability of default small and medium enterprises RAROC sovereign defaults risk attribution multiresolution analysis credit ratings debt maturity structure herding asset-backed securities modern portfolio theory housing segments analytic hierarchy process African countries Asian firms decentralization credit scoring dependence mutual funds spillover effect capital allocation copulas matched filter institutional holding crop insurance factor investing wavelet coherence and phase difference risk value-at-risk rearrangement algorithm |
| ISBN | 3-03921-625-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910367752303321 |
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Allen David
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| MDPI - Multidisciplinary Digital Publishing Institute, 2019 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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