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We develop a model of tax evasion based on the Ising model. We augment the model using an appropriate enforcement mechanism that may allow policy makers to curb tax evasion. With a certain probability...
Corporate Manager’s BehaviorRestriction Model, Global Finance Conference
Ownership Structure Investor Protection and Manager’s Behavior Restriction
2007/6/21
The issues of investor protection and manager’s behavior restriction have been discussed since the naissance of corporation. This paper will demonstrate the following basic hypothesis by a simple mode...
One-period Portfolio Management Stochastic Optimization Model
Portfolio Management 证券管理 Optimization Model 最佳模型
2007/5/9
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A "Toy" Model for Operational Risk Quantification using Credibility Theory
quantitative risk management operational risk loss distribution approach credibility theory lcombining different data sources Basel II Advanced Measurement
2010/10/29
To meet the Basel II regulatory requirements for the Advanced Measurement Approaches
in operational risk, the bank’s internal model should make use of the internal data, relevant
external data, scen...
BSLP: Markovian Bivariate Spread-Loss Model for Portfolio Credit Derivatives
Markovian Bivariate Spread-Loss Model Portfolio Credit Derivatives
2010/10/29
BSLP is a two-dimensional dynamic model of interacting portfolio-level loss and loss intensity
processes. It is constructed as a Markovian, short-rate intensity model, which facilitates fast lattice ...
Model-Free Evaluation of Directional Predictability in Foreign Exchange
Characteristic function Directional predictability Generalized cross-spectrum Uncovered Interest Parity Market Intervention Currency Crisis Market Contagion
2011/4/6
We examine directional predictability in foreign exchange markets using a model-free statistical evaluation procedure. Based on a sample of foreign exchange spot rates and futures prices in six major ...
On the Value–Volatility Relationship in a Real Options Model
investment analysis option-pricing theory finance
2010/12/7
In the analytical real options approach, the most important proposition that the value of the investment opportunity increases as the volatility increases has been proved by assuming the convexity of ...
Model-Free Evaluation of Directional Predictability in Foreign Exchange Markets
foreign exchange markets
2011/4/2
We examine directional predictability in foreign exchange markets using a model-free statistical evaluation procedure. Based on a sample of foreign exchange spot rates and futures prices in six major ...
In this work we develop a tractable structural model with analytical default probabilities depending on a random default barrier and possibly random volatil-ity ideally associated with a scenario base...
Credit Default Swap Calibration and Equity Swap Valuation under Counterparty Risk with a Tractable Structural Model
Credit Derivatives Structural Models Black Cox Model Credit Default Swaps
2010/11/3
In this paper we develop a tractable structural model with analytical default probabilities depending on some dynamics parameters, and we show how to cal-ibrate the model using a chosen number of Cred...