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Computational Methods for Risk Management in Economics and Finance
Resource type: Ressourcentyp: Buch (Online)Buch (Online)Sprache: Englisch Verlag: [Erscheinungsort nicht ermittelbar] : MDPI - Multidisciplinary Digital Publishing Institute, 2020Beschreibung: 1 Online-Ressource (234 p.)ISBN:- 9783039284993
- 9783039284986
- growth optimal portfolio
- Wishart model
- conditional Value-at-Risk (CoVaR)
- systemic risk
- utility functions
- current drawdown
- risk measure
- risk-based portfolios
- capital market pricing model
- systemic risk measures
- Big Data
- International Financial Reporting Standard 9
- cartography
- stock prices
- copula models
- CoVaR
- quantitative risk management
- auto-regressive
- fractional Kelly allocation
- independence assumption
- deep learning
- structural models
- financial regulation
- data science
- efficient frontier
- weighted logistic regression
- estimation error
- financial markets
- capital allocation
- multi-step ahead forecasts
- target matrix
- value at risk
- random matrices
- credit risk
- portfolio theory
- convex programming
- admissible convex risk measures
- non-stationarity
- financial mathematics
- quantile regression
- Markowitz portfolio theory
- shrinkage
- loss given default
- ordered probit
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