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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：78/0  |  提交时间：2023/02/07
Counterparty credit exposure  VaR  CVaR  Sensitivity  Greeks  
Economic exposure to regional value chain disruptions: evidence from Wuhan's lockdown in China 期刊论文
REGIONAL STUDIES, 2022, 页码: 12
作者:  Tian, Kailan;  Zhang, Zhuoying;  Zhu, Lingxiu;  Yang, Cuihong;  He, Jianwu;  Li, Shantong
收藏  |  浏览/下载：89/0  |  提交时间：2023/02/07
economic exposure  Covid-19  input-output model  regional value chains  disaster impact analysis  
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：121/0  |  提交时间：2022/06/21
forward rate agreement  counterparty credit risk  expected exposure  potential future exposure  
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：145/0  |  提交时间：2020/05/24
Counterparty credit exposure  Explicit expressions  Forward  European Option  
Extreme-value sampling design is cost-beneficial only with a valid statistical approach for exposure-secondary outcome association analyses 期刊论文
STATISTICAL METHODS IN MEDICAL RESEARCH, 2020, 卷号: 29, 期号: 2, 页码: 466-480
作者:  Zhang, Hang;  Bi, Wenjian;  Cui, Yuehua;  Chen, Honglei;  Chen, Jinbo;  Zhao, Yanlong;  Kang, Guolian
收藏  |  浏览/下载：198/0  |  提交时间：2020/05/24
Secondary outcome  exposure  extreme-value sampling design  primary outcome  cost-effective