搜索结果: 1-6 共查到“货币银行学 Expected”相关记录6条 . 查询时间(0.093 秒)
A simulation study of Basel II expected loss distributions for a portfolio of credit cards
Basel II consumer credit expected loss simulation
2011/8/22
Credit scoring models have been used traditionally as the basis of decisions to reject or accept credit applications. They are also used to categorize applicants or existing accounts into risk groups....
We introduce and analyze expected uncertain utility theory (EUU). A prior and an
interval utility characterize an EUU decision maker. The decision maker transforms each
uncertain prospect into an in...
Optimal stopping of expected profit and cost yields in an investment under uncertainty
expected profit cost yields investment under uncertainty
2010/10/18
We consider a finite horizon optimal stopping problem related to trade-off strategies between expected profit and cost cash-flows of an investment under uncertainty. The optimal problem is first formu...
Minimizing the expected market time to reach a certain wealth level
Num´ eraire portfolio growth-optimal portfolio market time upcrossing overshoot exponential L´ evy markets Itˆ o markets semimartingale markets
2010/11/1
In a financial market model, we consider variations of the problem of minimizing the
expected time to upcross a certain wealth level. For exponential L´evy markets, we show the asymptotic optim...
Portfolio optimization when expected stock returns are determined by exposure to risk
1/n strategy Black–Scholes model expected stock returns Markowitz’ problem portfolio optimization ranks
2010/11/1
It is widely recognized that when classical optimal strategies are applied with parameters estimated from data, the resulting portfolio weights are remarkably volatile and unstable over time.The predo...
Nonparametric Methods for Estimating Conditional VaR and Expected Shortfall
Bandwidth selection Boundary effects Coherent risk measurements Empirical likelihood Expected shortfall Local liner estimation Nonparametric smoothing Quantile regression Time series Value-at-risk Weighted double kernel
2011/4/6
In this article we propose a new nonparametric estimation method to estimate the
conditional value-at-risk and expected shortfall functions based on the weighted double
kernel local linear estimator...