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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：67/0  |  提交时间：2023/02/07
Counterparty credit exposure  VaR  CVaR  Sensitivity  Greeks  
Infection rate models for COVID-19: Model risk and public health news sentiment exposure adjustments 期刊论文
PLOS ONE, 2021, 卷号: 16, 期号: 6, 页码: 39
作者:  Chalkiadakis, Ioannis;  Yan, Hongxuan;  Peters, Gareth W.;  Shevchenko, Pavel, V
收藏  |  浏览/下载：125/0  |  提交时间：2021/10/26
Efficiency evaluation for banking systems under uncertainty: A multi-period three-stage DEA model 期刊论文
OMEGA-INTERNATIONAL JOURNAL OF MANAGEMENT SCIENCE, 2019, 卷号: 85, 页码: 68-82
作者:  Zhou, Xiaoyang;  Xu, Zhongwen;  Chai, Jian;  Yao, Liming;  Wang, Shouyang;  Lev, Benjamin
收藏  |  浏览/下载：164/0  |  提交时间：2020/01/10
Multi-period three-stage DEA  Banking system  Triangular type-2 fuzzy undesirable outputs  Shared inputs  Carryovers  
Do Trading Volume and Downside Trading Volume Help Forecast the Downside Risk? 期刊论文
EURASIA JOURNAL OF MATHEMATICS SCIENCE AND TECHNOLOGY EDUCATION, 2017, 卷号: 13, 期号: 12, 页码: 8367-8382
作者:  He, Zhifang;  Huang, Chuangxia;  Gong, Xu;  Yang, Xiaoguang;  Wen, Fenghua
收藏  |  浏览/下载：185/0  |  提交时间：2018/07/30
downside realized semi variance  stock spot market  futures market  risk periods  forecasting power  
astudyonthevolatilityofthebangladeshstockmarketbasedongarchtypemodels 期刊论文
journalofsystemsscienceandinformation, 2017, 卷号: 000, 期号: 003, 页码: 193
作者:  Roni Bhowmik;  Wu Chao;  Jewel Roy Kumar;  Wang Shouyang
收藏  |  浏览/下载：112/0  |  提交时间：2020/01/10
Equilibrium Investment Strategy for DC Pension Plan with Inflation and Stochastic Income under Heston's SV Model 期刊论文
MATHEMATICAL PROBLEMS IN ENGINEERING, 2016, 页码: 18
作者:  Sun, Jingyun;  Li, Zhongfei;  Li, Yongwu
收藏  |  浏览/下载：91/0  |  提交时间：2018/07/30
Multiperiod portfolio selection on a minimax rule 期刊论文
DYNAMICS OF CONTINUOUS DISCRETE AND IMPULSIVE SYSTEMS-SERIES B-APPLICATIONS & ALGORITHMS, 2005, 卷号: 12, 期号: 4, 页码: 565-587
作者:  Yu, M;  Wang, SY;  Lai, KK;  Chao, X
收藏  |  浏览/下载：108/0  |  提交时间：2018/07/30
portfolio optimization  minimax rule  bicriteria piecewise linear program  dynamic programming  
A dynamic stochastic programming model for bond portfolio management 期刊论文
COMPUTATIONAL SCIENCE - ICCS 2004, PROCEEDINGS, 2004, 卷号: 3039, 页码: 876-883
作者:  Yu, LY;  Wang, SY;  Wu, Y;  Lai, KK
收藏  |  浏览/下载：94/0  |  提交时间：2018/07/30
bond portfolio management  stochastic programming  scenario generation