Risk measures in multi-factor diffusion models
Risk Factor Contributions in Portfolio Credit Risk Models
... portfolio risk is an important topic in financial risk ...portfolio risk of risk factors, rather than ...one factor. The resulting cross-factor terms provide useful information ...
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A Comparison of Single Factor Markov-functional and Multi Factor Market Models
... market models, (ii) that vega hedging additional to delta hedging signifi- cantly further reduces variance of P&L in both Markov-functional and market models, (iii) that estimation of Greeks by finite ...
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A Comparison of Single Factor Markov-Functional and Multi Factor Market Models
... market models, (ii) that vega hedging additional to delta hedging signifi- cantly further reduces variance of P&L in both Markov-functional and market models, (iii) that estimation of Greeks by finite ...
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A comparison of single factor Markov-functional and multi factor market models
... Method (2) we consider, is named the constant exercise method. Here, for the base valuation we record per path when the exercise decision takes place. In the per- turbed model, we no longer perform LS least-squares Monte ...
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A Method of Risk Assessment for Multi-Factor Authentication
... using multi-factor authentication compared to other models using United States and Ca- nadian ...the risk assessment for multi-factor ...cation measures by carrying out ...
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Option pricing under risk-exogenous measures in a fractional jump diffusion market
... The study of option price has been an active field over the past several decades. It is well known that one deduces via the standard geometric Brownian motion the famous Black-Scholes model [1]. While numerous empirical ...
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Portfolio risk management in shipping : a multi-factor approach
... Preforming a backfilling procedure to eliminate missingness could yield spurious results due to the omitted idiosyncratic factors among vessels. Overall, it becomes a dilemma of “out of the fire, into the frying pan”. ...
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Quantifying credit portfolio losses under multi-factor models
... under multi-factor models ...credit risk measures of portfolios with exposure concentration under the multi-factor Gaussian and multi-factor t-copula ...that ...
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Testing Multi-Factor Asset Pricing Models in the Visegrad Countries
... our factor model, similarly to CRR, we included monthly industrial growth and the term ...of risk premia into our model. 18 To summarize, in our baseline factor model we used the following four ...
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Multi Factor Models for the Commodities Futures Curve: Forecasting and Pricing
... price risk, and b) to help in price discovery and market ...develop multi-factor term structure models for one of the most developed commodity futures market - the crude oil ...
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Probabilistic models for multi-classifier biometric authentication using quality measures
... a factor impacting the classifier behaviour (quality measures are the subject of Chapter 5 ...confidence measures, we call reliability measures those that are inferred from a probabilistic ...
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Multi-Factor Coupling Model of Concrete Chloride-Ion Diffusion Coefficient in a Salt Lake
... the multi-factor model of chloride-ion diffusion coefficient Using the test data in this paper, the results of various calculation models for verifying the chloride-ion diffusion ...
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A multi-factor model for the valuation and risk managment of demand deposits
... portfolio models (RPMs) for their day-to-day management of DDAs, rather than the no- arbitrage discounted cash ‡ow approach presented in this ...portfolio models is to do an optimization exercise where the ...
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Max-Factor individual risk models with application to credit portfolios
... credit risk data set. Besides classical goodness-of-fit measures based on the log-likelihood (such as AIC and BIC), we have also proposed novel nonparametric estimators, minimizing the mean squared error, ...
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Affine multi-factor short-rate models in term structure modeling
... of risk λ is not uniquely deter- mined endogenously within the ...of risk is endogenously ...of risk are not directly ...short-rate models for single- factor affine models does ...
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Multi-Lag Term Structure Models with Stochastic Risk Premia.
... the risk-neutral MA approach leads to the exact replication of R M ∗ when we identify the term structure at t = 0 with the market yield ...AR(p) Factor-Based Term Structure Model, will be ...latent ...
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Performance Measures for Credit Risk Models
... performance measures described above, such as CAP curves or ...benchmark models using AR on our test sample. The precision of the tested models is in the range 2% to 10%, which agree reasonably well ...
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Asymptotic solutions of diffusion models for risk reserves
... S. SHAO Received 22 August 2002 We study a family of diffusion models for risk reserves which account for the in- vestment income earned and for the inflation experienced on claim amounts. After we defined the ...
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Factor Models for Portofolio Credit Risk
... and risk managers who use different concepts to measure the total credit risk in a portfolio of credit ...the risk of the portfolio is the full distribution of its returns which is also the quantity ...
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Outliers in Garch models and the estimation of risk measures
... of risk measures, such as minimum capital risk requirements, and compare four alternatives of reducing these measures’ estimation ...these risk measures with the GARCH(1,1) ...
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