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Asymmetric Shocks and Risk Sharing in a Monetary Union: Updated Evidence and Policy Implications for Europe
ˉnancial integration regional specialization
2015/9/21
We ˉnd that risk sharing in the European Union (EU) has been increasing over the
past decade due to increased cross-ownership of assets across countries. Industrial speciaization has also been increa...
Capital and Value of Risk Transfer:Presented at Actuarial Approach for Financial Risks (AFIR) Colloquium,Boston,MA,November
Capital Risk and Uncertainty
2015/5/13
Capital and Value of Risk Transfer: Presented at Actuarial Approach for Financial Risks (AFIR) Colloquium,Boston,MA,November.
Fiscal Risk and the Portfolio of Government Programs
Risk Management Programs Government and Politics
2015/4/29
This paper proposes a new approach to social cost-benefit analysis using a model in which a benevolent government chooses risky projects in the presence of market failures and tax distortions. The gov...
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\'{...
A Generalized Fourier Transform Approach to Risk Measures
Generalized Fourier Transform Risk Measures
2010/11/2
We introduce the formalism of generalized Fourier transforms in the context of risk management.
We develop a general framework to efficiently compute the most popular risk measures, Valueat-
Risk an...
Correlations, Risk and Crisis: From Physiology to Finance
Correlations Factor Liebigs Law Synergy Adaptation Selection Crisis Indicator
2010/11/1
We study the dynamics of correlation and variance in systems under the load of environmental factors. A universal effect in ensembles of similar systems under the load of similar factors is described:...
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...
In this paper we introduce a novel approach to risk estimation based on nonlinear factor
models - the "StressVaR" (SVaR). Developed to evaluate the risk of hedge funds, the SVaR
appears to be applic...