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Precautionary Measures for Credit Risk Management in Jump Models
Credit risk management Double exponential jump diffusion Spectrally negative Levy processes Scale functions Optimal stopping
2010/4/27
Sustaining efficiency and stability by properly controlling the equity to asset ratio is one of the most important and difficult challenges in bank management. Due to unexpected and abrupt decline of ...
Ruin probability with Parisian delay for a spectrally negative Lévy risk process
Levy process ruin probability asymptotics Parisian ruin risk process
2010/4/27
In this paper we analyze so-called Parisian ruin probability that happens when surplus process stays below zero longer than fixed amount of time $\zeta>0$. We focus on general spectrally negative L\'{...
Recurrence interval analysis of high-frequency financial returns and its application to risk estimation
Recurrence interval analysis of high-frequency financial risk estimation
2010/11/2
We investigate the probability distributions of the recurrence intervals between consecutive 1-min returns above a positive threshold q > 0 or below a negative threshold
q < 0 of two indices and 20...