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Sensitivity-based Conditional Value at Risk (SCVaR): An efficient measurement of credit exposure for options 期刊论文
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2022, 卷号: 62, 页码: 19
作者:  Shi, Ruoshi;  Zhao, Yanlong;  Bao, Ying;  Peng, Cheng
收藏  |  浏览/下载：105/0  |  提交时间：2023/02/07
Counterparty credit exposure  VaR  CVaR  Sensitivity  Greeks  
Changes of Tropical Cyclones Landfalling in China From 1979 to 2018 期刊论文
JOURNAL OF GEOPHYSICAL RESEARCH-ATMOSPHERES, 2022, 卷号: 127, 期号: 16, 页码: 18
作者:  Li, Guangxin;  Li, Qinglan;  Xu, Yinglong;  Xu, Pengcheng;  Wang, Wenlan;  Huang, Dian;  Wu, Yueyuan;  He, Lunkai
收藏  |  浏览/下载：135/0  |  提交时间：2023/02/07
tropical cyclone  lifetime-maximum intensity  landfall intensity  overland duration  the western North Pacific  China  
Analytical Expressions to Counterparty Credit Risk Exposures for Interest Rate Derivatives 期刊论文
ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES, 2022, 卷号: 38, 期号: 2, 页码: 254-270
作者:  Li, Shuang;  Peng, Cheng;  Bao, Ying;  Zhao, Yan-long;  Cao, Zhen
收藏  |  浏览/下载：149/0  |  提交时间：2022/06/21
forward rate agreement  counterparty credit risk  expected exposure  potential future exposure  
High attack rate in a Tong Lau house outbreak of COVID-19 with subdivided units in Hong Kong 期刊论文
INTERFACE FOCUS, 2022, 卷号: 12, 期号: 2, 页码: 11
作者:  Wang, Qun;  Lung, David Christopher;  Chan, Pak-To;  Jia, Wei;  Dung, Chung-Hin;  Miao, Te;  Huang, Jianxiang;  Chen, Wenzhao;  Wang, Zixuan;  Leung, Kai-Ming;  Xu, Pengcheng;  Lin, Zhang;  Wong, Daniel;  Tse, Herman;  Wong, Sally Cheuk Ying;  Choi, Garnet Kwan-Yue;  To, Kelvin Kai-Wang;  Cheng, Vincent Chi-Chung;  Yuen, Kwok-Yung;  Li, Yuguo
收藏  |  浏览/下载：187/0  |  提交时间：2022/04/02
COVID-19  SARS-CoV-2  poor housing  drainage system  building ventilation  
Accurate AM-FM signal demodulation and separation using nonparametric regularization method 期刊论文
SIGNAL PROCESSING, 2021, 卷号: 186, 页码: 12
作者:  Hu, Xiyuan;  Peng, Silong;  Guo, Baokui;  Xu, Pengcheng
收藏  |  浏览/下载：176/0  |  提交时间：2021/10/26
Nonparametric regularization method  AM-FM signal  Null space pursuit (NSP)  Differential equation  Signal demodulation and separation  
Lack of cross-transmission of SARS-CoV-2 between passenger's cabins on the Diamond Princess cruise ship 期刊论文
BUILDING AND ENVIRONMENT, 2021, 卷号: 198, 页码: 8
作者:  Xu, Pengcheng;  Jia, Wei;  Qian, Hua;  Xiao, Shenglan;  Miao, Te;  Yen, Hui-Ling;  Tan, Hongwei;  Kang, Min;  Cowling, Benjamin J.;  Li, Yuguo
收藏  |  浏览/下载：174/0  |  提交时间：2021/10/26
COVID-19  SARS-CoV-2  Close-contact transmission  Airborne transmission  Building ventilation  Cruise ship  
A dynamical and numerical study of the effects of the topography of the Tibetan Plateau and westerly wind speed on the East Asian Trough 期刊论文
INTERNATIONAL JOURNAL OF CLIMATOLOGY, 2021, 页码: 15
作者:  Liang, Zhaoming;  Xu, Pengcheng;  Gao, Shouting;  Zuo, Qunjie
收藏  |  浏览/下载：179/0  |  提交时间：2021/10/26
dynamical analysis  East Asian Trough  Tibetan Plateau  topography  westerly wind speed  
A Reliability Growth Process Model with Time-Varying Covariates and Its Application 期刊论文
MATHEMATICS, 2021, 卷号: 9, 期号: 8, 页码: 15
作者:  Tian, Xin-Yu;  Shi, Xincheng;  Peng, Cheng;  Yi, Xiao-Jian
收藏  |  浏览/下载：176/0  |  提交时间：2021/06/01
AMSAA model  reliability growth  covariate effects  maximum likelihood  statistical inference  
Sample average approximation of CVaR-based hedging problem with a deep-learning solution 期刊论文
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2021, 卷号: 56, 页码: 14
作者:  Peng, Cheng;  Li, Shuang;  Zhao, Yanlong;  Bao, Ying
收藏  |  浏览/下载：167/0  |  提交时间：2021/04/26
Conditional Value-at-Risk  Hedging strategies  Deep learning  Theoretical guarantee  Sample average approximation  Uniform convergence  
Explicit expressions to counterparty credit exposures for Forward and European Option 期刊论文
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2020, 卷号: 52, 页码: 14
作者:  Li, Shuang;  Peng, Cheng;  Bao, Ying;  Zhao, Yanlong
收藏  |  浏览/下载：165/0  |  提交时间：2020/05/24
Counterparty credit exposure  Explicit expressions  Forward  European Option