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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
Authors:  Shi, Ruoshi;  Zhao, Yanlong;  Bao, Ying;  Peng, Cheng
Favorite  |  View/Download：23/0  |  Submit date：2023/02/07
Counterparty credit exposure  VaR  CVaR  Sensitivity  Greeks  
New insights and augmented Lagrangian algorithm for optimal portfolio liquidation with market impact 期刊论文
INTERNATIONAL TRANSACTIONS IN OPERATIONAL RESEARCH, 2022, 页码: 25
Authors:  Xu, Fengmin;  Li, Xuepeng;  Dai, Yu-Hong;  Wang, Meihua
Favorite  |  View/Download：30/0  |  Submit date：2023/02/07
augmented Lagrangian algorithm  equity and liability  optimal portfolio liquidation  price impact  
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
Authors:  Wang, Yuhao;  Shen, Jiaxian;  Pan, Jinnan;  Chen, Tingqiang
Favorite  |  View/Download：16/0  |  Submit date：2023/02/07
supply chain finance  trade credit financing  bank credit financing  credit default  contagion intensity  
Can financial crisis be detected? Laplacian energy measure 期刊论文
EUROPEAN JOURNAL OF FINANCE, 2022, 页码: 28
Authors:  Huang, Chuangxia;  Deng, Yunke;  Yang, Xin;  Yang, Xiaoguang;  Cao, Jinde
Favorite  |  View/Download：22/0  |  Submit date：2023/02/07
Financial crisis  complex network  Laplacian energy  network structure  seasonal-trend decomposition procedure based on loess (STL)  
Short Communication: Minimal Quantile Functions Subject to Stochastic Dominance Constraints 期刊论文
SIAM JOURNAL ON FINANCIAL MATHEMATICS, 2022, 卷号: 13, 期号: 3, 页码: SC87-SC98
Authors:  Wang, Xiangyu;  Xia, Jianming;  Xu, Zuo Quan;  Yang, Zhou
Favorite  |  View/Download：16/0  |  Submit date：2023/02/07
SSD-minimal  stochastic dominance  Skorokhod lemma  complete market  risk minimizing  
Capture the contagion network of bitcoin - Evidence from pre and mid COVID-19 期刊论文
RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2021, 卷号: 58, 页码: 14
Authors:  Guo, Xiaochun;  Lu, Fengbin;  Wei, Yunjie
Favorite  |  View/Download：80/0  |  Submit date：2022/04/02
Bitcoin  COVID-19  Contagion  DAG  Financial market risk  
A Network Evolution Model of Credit Risk Contagion between Banks and Enterprises Based on Agent-Based Model 期刊论文
JOURNAL OF MATHEMATICS, 2021, 卷号: 2021, 页码: 12
Authors:  Mu, Pei;  Chen, Tingqiang;  Pan, Kun;  Liu, Meng
Favorite  |  View/Download：69/0  |  Submit date：2022/04/02
20 Years of Research on Real Estate Bubbles, Risk and Exuberance: A Bibliometric Analysis 期刊论文
SUSTAINABILITY, 2021, 卷号: 13, 期号: 17, 页码: 24
Authors:  Li, Shengguo;  Liu, Jiaqi;  Dong, Jichang;  Li, Xuerong
Favorite  |  View/Download：75/0  |  Submit date：2022/04/02
real estate  risk  bubble  exuberant  bibliometric  
Dynamic network topology and market performance: A case of the Chinese stock market 期刊论文
INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 2020, 页码: 17
Authors:  Huang, Chuangxia;  Zhao, Xian;  Su, Renli;  Yang, Xiaoguang;  Yang, Xin
Favorite  |  View/Download：138/0  |  Submit date：2020/11/18
Chinese stock market  complex network  financial crises  market performance  minimum spanning tree  
Systemic Importance of China's Financial Institutions: A Jump Volatility Spillover Network Review 期刊论文
ENTROPY, 2020, 卷号: 22, 期号: 5, 页码: 15
Authors:  Yang, Xin;  Zhao, Xian;  Gong, Xu;  Yang, Xiaoguang;  Huang, Chuangxia
Favorite  |  View/Download：100/0  |  Submit date：2020/09/23
financial institution  complex network  jump volatility  entropy weight TOPSIS