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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：106/0  |  提交时间：2023/02/07
Counterparty credit exposure  VaR  CVaR  Sensitivity  Greeks  
A Credit Risk Contagion Intensity Model of Supply Chain Enterprises under Different Credit Modes 期刊论文
SUSTAINABILITY, 2022, 卷号: 14, 期号: 20, 页码: 26
作者:  Wang, Yuhao;  Shen, Jiaxian;  Pan, Jinnan;  Chen, Tingqiang
收藏  |  浏览/下载：68/0  |  提交时间：2023/02/07
supply chain finance  trade credit financing  bank credit financing  credit default  contagion intensity  
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：151/0  |  提交时间：2022/06/21
forward rate agreement  counterparty credit risk  expected exposure  potential future exposure  
Resource Allocation Based on DEA and Non-Cooperative Game 期刊论文
JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY, 2021, 卷号: 34, 期号: 6, 页码: 2231-2249
作者:  Wang Menghan;  Li Lin;  Dai Qianzhi;  Shi Fangnan
收藏  |  浏览/下载：167/0  |  提交时间：2022/04/02
Data envelopment analysis (DEA)  game theory  green credit  Nash equilibrium  resource allocation  
Do credit conditions matter for the impact of oil price shocks on stock returns? Evidence from a structural threshold VAR model 期刊论文
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2021, 卷号: 72, 页码: 1-15
作者:  Jiang, Yong;  Wang, Gang-Jin;  Ma, Chaoqun;  Yang, Xiaoguang
收藏  |  浏览/下载：165/0  |  提交时间：2021/04/26
Oil price shocks  Stock returns  Credit regimes  Structure threshold VAR  Nonlinear impulse response functions  
Credit Scoring Based on the Set-Valued Identification Method 期刊论文
JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY, 2020, 页码: 13
作者:  Wang, Ximei;  Hu, Min;  Zhao, Yanlong;  Djehiche, Boualem
收藏  |  浏览/下载：182/0  |  提交时间：2020/09/23
Credit scoring  logistic regression model  prediction accuracy  set-valued model  
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：166/0  |  提交时间：2020/05/24
Counterparty credit exposure  Explicit expressions  Forward  European Option  
Finance-operations interface mechanism and models 期刊论文
OMEGA-INTERNATIONAL JOURNAL OF MANAGEMENT SCIENCE, 2019, 卷号: 88, 页码: 1-3
作者:  Wu, Desheng;  Olson, David L.;  Wang, Shouyang
收藏  |  浏览/下载：231/0  |  提交时间：2020/01/10
Finance and operations  Credit  Risk  Operations management  
A New Credit Spread to Predict Economic Activities in China 期刊论文
JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY, 2019, 卷号: 32, 期号: 4, 页码: 1140-1166
作者:  Wang Lei;  Nie Changhong;  Wang Shouyang
收藏  |  浏览/下载：198/0  |  提交时间：2020/01/10
Chinese bond market  corporate bond spreads  credit spreads  financial accelerator  private enterprises  state-owned enterprises  
An improved SMO algorithm for financial credit risk assessment - Evidence from China's banking 期刊论文
NEUROCOMPUTING, 2018, 卷号: 272, 页码: 314-325
作者:  Zhang, Qi;  Wang, Jue;  Lu, Aiguo;  Wang, Shouyang;  Ma, Jian
收藏  |  浏览/下载：197/0  |  提交时间：2018/07/30
Credit risk assessment  SVM  Sequential minimal optimization (SMO)  Four-variable working set