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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 online resource (234 p.) |
| Soggetto non controllato |
admissible convex risk measures
auto-regressive Big Data capital allocation capital market pricing model cartography conditional Value-at-Risk (CoVaR) convex programming copula models CoVaR credit risk current drawdown data science deep learning efficient frontier estimation error financial markets financial mathematics financial regulation fractional Kelly allocation growth optimal portfolio independence assumption International Financial Reporting Standard 9 loss given default Markowitz portfolio theory multi-step ahead forecasts non-stationarity ordered probit portfolio theory quantile regression quantitative risk management random matrices risk measure risk-based portfolios shrinkage stock prices structural models systemic risk systemic risk measures target matrix utility functions value at risk weighted logistic regression Wishart model |
| 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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Review Papers for Journal of Risk and Financial Management (JRFM)
| Review Papers for Journal of Risk and Financial Management (JRFM) |
| Autore | McAleer Michael |
| Pubbl/distr/stampa | Basel, Switzerland, : MDPI - Multidisciplinary Digital Publishing Institute, 2020 |
| Descrizione fisica | 1 online resource (206 p.) |
| Soggetto topico | Technology: general issues |
| Soggetto non controllato |
adaptive market efficiency
adaptive market hypothesis applications bank regulation bank regulatory capital requirements big data capital adequacy standards computational science Copula country equity returns country-level stock market anomalies covariance matrix estimation cross section of country equity returns CVaR data snooping econometric and statistical models economics efficient market hypothesis empirical asset pricing excess returns factors fat tail finance international equity markets investment and capital markets management market efficiency marketing n/a optimisation outcomes portfolio risk measurement portfolio selection price-volume price-volume relationship psychology regulatory complexity return predictability risk measure semi-variance shrinkage solutions stock investment supply chain finance supply chain management theoretical models time-varying or adaptive market efficiency US banking crises working capital |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Altri titoli varianti | Review Papers for Journal of Risk and Financial Management |
| Record Nr. | UNINA-9910557764503321 |
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McAleer Michael
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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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Risk, Ruin and Survival: Decision Making in Insurance and Finance
| Risk, Ruin and Survival: Decision Making in Insurance and Finance |
| Autore | Ren Jiandong |
| Pubbl/distr/stampa | MDPI - Multidisciplinary Digital Publishing Institute, 2020 |
| Descrizione fisica | 1 online resource (210 p.) |
| Soggetto non controllato |
advanced measurement approach
aggregate discounted claims aggregate risk archimedean copulas background risk central limit theorem clustering collective risk model concomitant confidence interval constant interest rate copula copulas covariance cumulative Parisian ruin discounted aggregate claims dual risk model financial time series hazard model individual risk model information processing insurance integral equation Laplace transform Markovian arrival process max-stable random fields maximal tail dependence Monte Carlo multiplicative background risk model multivariate gamma distribution n/a national culture numerical approximation operational risk order statistic partial integro-differential equation rate of spatial diversification rating migrations reinsurance renewal process risk management risk measure risk theory ruin probability spatial dependence spatial risk measures and corresponding axiomatic approach stochastic orders surplus process survival analysis systematic risk transfer function value-at-risk weighted cuts |
| ISBN | 3-03928-517-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Altri titoli varianti | Risk, Ruin and Survival |
| Record Nr. | UNINA-9910404092203321 |
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Ren Jiandong
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| MDPI - Multidisciplinary Digital Publishing Institute, 2020 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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