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Increasing the number of inner replications of multifactor portfolio credit risk simulation in the t-copula model
credit risk expected shortfall extremal dependence geometric shortcut
2011/8/30
We consider the problem of simulating tail loss probabilities and expected losses conditioned on exceeding a large threshold (expected shortfall) for credit portfolios. Instead of the commonly used no...
Defaultable bonds with an infinite number of Levy factors
Lévy processes defaultable bonds HJM postulate credit risk rating migration conditional Markov chains
2010/11/2
A market with defaultable bonds where the bond dynamics is in a Heath-Jarrow-Morton setting
and the forward rates are driven by an infinite number of Lévy factors is considered. The setting includes ...
Simplified stock markets described by number operators
Stock markets Canonical commutation relations
2010/11/1
In this paper we continue our systematic analysis of the operatorial approach previously
proposed in an economical context and we discuss a mixed toy model of a simplified stock market, i.e. a model ...