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华中科技大学投资学课件Chapter9 Single Index and Multifactor Models
华中科技大学 投资学 课件 Chapter9 Single Index and Multifactor Models
2015/5/19
华中科技大学投资学课件Chapter9 Single Index and Multifactor Models。
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...
Characteristic Function-Based Testing for Multifactor Continuous-Time Markov Models via Nonparametric Regression
Characteristic Function Markov models conditional distribution
2011/4/2
We develop a nonparametric regression-based goodness-of-fit test for multifactor continuous-time Markov models using the conditional characteristic function, which often has a convenient closed form o...
Characteristic Function-Based Testing for Multifactor Continuous-Time Markov Models via Nonparametric Regression
nonparametric regression economics and finance easy-to-interpret diagnostic procedures
2011/4/1
We develop a nonparametric regression-based goodness-of-fit test for multifactor continuous-time Markov models using the conditional characteristic function, which often has a convenient closed form o...
Estimating affine multifactor term structure models using closed-form likelihood expansions
Term structure Multifactor Interest rates Affine Closed-form maximum-likelihood
2014/3/13
We develop and implement a technique for closed-form maximum likelihood estimation (MLE) of multifactor affine yield models. We derive closed-form approximations to likelihoods for nineDai and Singlet...
Characteristic Function-Based Testing for Multifactor Continuous-Time Markov Models via Nonparametri
Conditional characteristic function Goodness-of-fit Multifactor continuous-time Markov model Nonparametric regression
2011/4/2
We develop a nonparametric regression-based goodness-of-fit test for multifactor continuous-time Markov models using the conditional characteristic function, which often has a convenient closed-form o...