搜索结果: 1-9 共查到“数理经济学 Risk”相关记录9条 . 查询时间(0.156 秒)
CRRA Utility Maximization under Risk Constraints
BSDE CRRA preferences constrained utility maximization correspondences risk measures
2011/7/4
This paper studies the problem of optimal investment with CRRA (constant, relative risk aversion)
preferences, subject to dynamic risk constraints on trading strategies. The market model considered
...
Credit risk premia and quadratic BSDEs with a single jump
Backward Stochastic Differential Equations (BSDE) defaultable contingent claims progressive enlargement of filtrations utility maximization
2010/11/1
This paper is concerned with the determination of credit risk premia of defaultable contingent claims by means of indifference valuation principles.Assuming exponential utility preferences we derive r...
Conditional Value-at-Risk Constraint and Loss Aversion Utility Functions
Risk measures Utility functions Nonexpected utility theory Maxmin Conditional Value-at-Risk Loss aversion
2010/11/1
We provide an economic interpretation of the practice consisting in incorporating risk measures as constraints in a classic expected return maximization problem. For what we call the infimum of expect...
Macrostate Parameter, an Econophysics Approach for the Risk Analysis of the Stock Exchange Market Transactions
econophysics stock-exchange markets financial risk informatinal fascicle
2010/11/1
In this paper we attempt to introduce an econophysics approach to evaluate some aspects of
the risks in financial markets. For this purpose, the thermodynamical methods and
statistical physics resul...
Systemic Risk in a Unifying Framework for Cascading Processes on Networks
Systemic Risk Unifying Framework Networks
2010/11/1
We introduce a general framework for models of cascade and contagion processes on networks, to identify their commonalities and differences. In particular, models of social and financial cascades, as ...
A Bayesian Networks Approach to Operational Risk
Operational Risk Complex Systems Bayesian Networks Time Series Value-at-Risk
2010/11/1
A system for Operational Risk management based on the computational paradigm of Bayesian Networks is presented. The algorithm allows the construction of a Bayesian Network targeted for each bank using...
BSDEs with random default time and their applications to default risk
Backward stochastic differential equation Random default time Comparison theorem Zero-sum stochastic differential game
2010/11/2
In this paper we are concerned with backward stochastic differential equations with random default time and their applications to default risk.The equations are driven by Brownian motion as well as a ...
A duality approach to the worst case value at risk for a sum of dependent random variables with known covariances
aggregation of risks Value at Risk dependent risks risk management
2010/11/3
We propose an approach to the aggregation of risks which is based on estimation of simple quantities (such as covariances) associated to a vector of dependent random variables, and which avoids the us...
Addressing the Impact of Data Truncation and Parameter Uncertainty on Operational Risk Estimates
operational risk truncated data Poisson-Lognormal compound distribution loss distribution approach
2010/11/1
Typically, operational risk losses are reported above some threshold. This paper studies the
impact of ignoring data truncation on the 0.999 quantile of the annual loss distribution for
operational ...