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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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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 online resource (232 p.) |
| Soggetto topico | Collecting coins, banknotes, medals and other related items |
| Soggetto non controllato |
ACD models
asymptotic B-splines banking competition Bitcoin bonds Box-Cox transformation capital asset pricing model characteristic function-based estimator convergence analysis credit risk efficiency estimation estimation of systematic risk Euro-Dollar financial incentives financial models fractal scaling GARCH model generalized Birnbaum-Saunders distributions generalized method of moments gold price goodness-of-fit Griddy-Gibs HARCH model heavy tails high-frequency financial data Hill estimator Index parameter intention to leave interest rates job performance job satisfaction Lerner index long range dependence multicollinearity multifactor asset pricing model multifractal processes no-arbitrage NPLs oil price PHARCH model public service motivation ridge regression safe-haven assets seemingly unrelated regression model shrinkage estimator stochastic frontiers Swiss Franc exchange rate t-distribution tests of mean-variance efficiency Theil index time series wrapped stable yeld curve |
| 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 | ||
| ||