Narrow search
Showing 1 - 10 of 114
Cover Image
Joint Distributions of Time to Default with Application to the Pricing of Credit Derivatives
Zhang, Min - 2008
Modeling portfolio credit risk involves the default dependencies between the individual securities in a portfolio. The copula is a common approach to construct it. It parameterizes the joint distribution of individual defaults independently of their marginal distributions. The current market...
Persistent link: https://www.econbiz.de/10009431293
Cover Image
Tractable multi-firm default models based on discontinuous processes
Scherer, Matthias - 2007
The aim of this thesis is to thoroughly study structural default models based on jump-diffusion processes. Jump-diffusion models were first proposed by Zhou (2001), who also showed that these models have several desirable properties, most important, positive short-term spreads. On the other...
Persistent link: https://www.econbiz.de/10009462191
Cover Image
Essays on asset pricing.
Yang, Fan - 2011
University of Minnesota Ph.D. dissertation. June 2011. Major: Business Administration. Advisor: Robert S. Goldstein. 1 computer file (PDF); ix, 117 pages, appendices p. 110-117.
Persistent link: https://www.econbiz.de/10009462832
Cover Image
Accelerating an Analytical Approach to Collateralized Debt Obligation Pricing
Gupta, Dharmendra - 2009
smaller memory usage.The CDO core designed with the FIFO-based convolution method is implemented and tested on a Virtex-5 FPGA …
Persistent link: https://www.econbiz.de/10009455231
Cover Image
Bayesian Methods for Estimation, Inference and Forecasting of Flexible Models for Value-at-Risk and Tail Conditional Expectations
Chen, Qian - 2011
level forecasting.4. Derive an easily applicable backtesting method for conditional VaR or expected shortfall.5. Improve the … formal and non-formal backtesting methods. The model-fitting performances are demonstrated by a range of residual tests. We …
Persistent link: https://www.econbiz.de/10009480085
Cover Image
The impact of the market risk of capital regulations on bank activities
Eksi, Emrah - 2006
.Thirdly, three backtesting methodologies are applied to the VaR models. The resultsindicate that a VaR model that provides accurate …
Persistent link: https://www.econbiz.de/10009461296
Cover Image
Essays on sponsored search auctions.
Yuan, Jia - 2009
University of Minnesota Ph.D. dissertation. July 2009. Major: Economics. Advisor: Patrick Bajari. 1 computer file (PDF); vii, 72 pages.
Persistent link: https://www.econbiz.de/10009462843
Cover Image
Dynamic semiparametric factor models
Borak, Szymon - 2008
resultierende Faktor-Hedging von Barrier Optionen gerichtet. … volatility dynamics and resulting factor hedging of barrier options. …
Persistent link: https://www.econbiz.de/10009467069
Cover Image
Beitr?ge zum Risikomanagement in Wertsch?pfungsnetzwerken
Wiesent, Julia - 2011
Eine langfristige und nachhaltige Steigerung des Unternehmenswerts als zentrales Unternehmensziel fordert eine konsequente, wertorientierte Ausrichtung aller Unternehmensteile und -aktivit?ten. Das Risikomanagement, welches stets im Rahmen einer integrierten Betrachtung von Ertrags- und...
Persistent link: https://www.econbiz.de/10009482328