Keywords: اعتیاد به مواد مخدر; Q47; Carbon dioxide emission allowance prices; GARCH; Markov-switching GARCH; FIGARCH; Multifractal processes; SPA test; Encompassing test; Backtesting;
مقالات ISI اعتیاد به مواد مخدر (ترجمه نشده)
مقالات زیر هنوز به فارسی ترجمه نشده اند.
در صورتی که به ترجمه آماده هر یک از مقالات زیر نیاز داشته باشید، می توانید سفارش دهید تا مترجمان با تجربه این مجموعه در اسرع وقت آن را برای شما ترجمه نمایند.
در صورتی که به ترجمه آماده هر یک از مقالات زیر نیاز داشته باشید، می توانید سفارش دهید تا مترجمان با تجربه این مجموعه در اسرع وقت آن را برای شما ترجمه نمایند.
Keywords: اعتیاد به مواد مخدر; G21; G28; G32; Bank regulation; Interest rate risk; Monte Carlo simulations; Historical simulations; Backtesting;
Keywords: اعتیاد به مواد مخدر; Market risk; VaR; Backtesting; Profit and loss; Financial crisis; G01; G21; G28;
Keywords: اعتیاد به مواد مخدر; Claim amounts; Temporal dependence; Generalized extreme value model; Value at risk; Backtesting; C22; C23; C52; C58; G22;
Keywords: اعتیاد به مواد مخدر; C41; G12; High-frequency transaction data; Market microstructure noise; Asymmetric autoregressive conditional duration model; Intraday Value-at-Risk; Backtesting;
Keywords: اعتیاد به مواد مخدر; G1; G17; C1; Risk measures; Expected shortfall; Risk estimation; Backtesting;
Keywords: اعتیاد به مواد مخدر; Risk management; Value-at-risk; Backtesting; Conditional and unconditional coverage tests; Monte Carlo;
Keywords: اعتیاد به مواد مخدر; Crude oil; Joint dynamics; Tail copulas; Goodness-of-fit tests; Backtesting; Risk measures;
Keywords: اعتیاد به مواد مخدر; C50; G11; G32; Model risk; Value-at-risk; Backtesting;
Keywords: اعتیاد به مواد مخدر; G19; C52; C53; C58; G10; Backtesting; Delta method; Finance; GARCH; Risk management;
Keywords: اعتیاد به مواد مخدر; Backtesting; Expected shortfall; Generalized hyperbolic skew Student’s tt-distribution; Markov chain Monte Carlo; Realized volatility; Stochastic volatility; Value-at-risk
Keywords: اعتیاد به مواد مخدر; Backtesting; Extreme value theory; GARCH; Quantile; Risk
Backtesting an equity risk model under Solvency II
Keywords: اعتیاد به مواد مخدر; Internal models; Solvency II; Backtesting; Validation; Equity risk; Value-at-risk;
Moments of standardized Fernandez-Steel skewed distributions: Applications to the estimation of GARCH-type models
Keywords: اعتیاد به مواد مخدر; Asymmetric GARCH; Backtesting; Bayesian; Maximum likelihood; Skewness;
The dynamics of precious metal markets VaR: A GARCHEVT approach
Keywords: اعتیاد به مواد مخدر; Precious metal; Value-at-Risk (VaR); Risk management; Asymmetric GARCH; Generalized error distribution (GED); Extreme value theory (EVT); Backtesting;
A new set of improved Value-at-Risk backtests
Keywords: اعتیاد به مواد مخدر; Value-at-Risk; Backtesting; Monte Carlo simulation; C52; C53; C58;
Semi-nonparametric VaR forecasts for hedge funds during the recent crisis
Keywords: اعتیاد به مواد مخدر; Hedge funds; Value-at-risk; Backtesting; Extreme value theory; Gram–Charlier series; Copulas
VaR performance during the subprime and sovereign debt crises: An application to emerging markets
Keywords: اعتیاد به مواد مخدر; Value-at-risk; Backtesting; Skewed Student's t; Extreme value theory; Gram-Charlier expansion; Hedge funds; G17;
Measuring daily Value-at-Risk of SSEC index: A new approach based on multifractal analysis and extreme value theory
Keywords: اعتیاد به مواد مخدر; Multifractal analysis; Volatility measurement; Extreme value theory; Value-at-Risk; Backtesting;
Risk contagion in the north-western and southern European stock markets
Keywords: اعتیاد به مواد مخدر; C58; G11; G15Value-at-risk (VaR); Backtesting; Granger causality in risk; Risk spillover; European stock markets
Pitfalls in backtesting Historical Simulation VaR models
Keywords: اعتیاد به مواد مخدر; C52; C32; G21; G32; Backtesting; Basel Accord; Risk management; Value-at-Risk; Conditional quantile; Market risk capital requirements;
Some nonstandard stochastic volatility models and their estimation using structured hidden Markov models
Keywords: اعتیاد به مواد مخدر; C13; C51; C53State-space models; Mixture models; Financial time series; Forecasting; Pseudo-residuals; Backtesting
A new class of independence tests for interval forecasts evaluation
Keywords: اعتیاد به مواد مخدر; Hit sequence; Backtesting; Quantitative risk management
Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range
Keywords: اعتیاد به مواد مخدر; Value-at-Risk; CAViaR model; Skewed–Laplace distribution; Intra-day range; Backtesting; Markov chain Monte Carlo
Analytical VaR for international portfolios with common jumps
Keywords: اعتیاد به مواد مخدر; International portfolios; Exchange rate risk; Jump–diffusion; Backtesting; Out-of-sample fitting
The pernicious effects of contaminated data in risk management
Keywords: اعتیاد به مواد مخدر; G21; G28; G32; Regulatory capital; Proprietary trading; Backtesting; Value-at-risk; Profit-and-loss;
Backtesting value-at-risk based on tail losses
Keywords: اعتیاد به مواد مخدر; G10; G18; G32Value-at-Risk; Tail risk; Backtesting; Risk management; Risk capital
Modelling VaR for foreign-asset portfolios in continuous time
Keywords: اعتیاد به مواد مخدر; Continuous time; Foreign-asset portfolio; Volatility of exchange rate; Correlation coefficient; Backtesting;
Predicting tail-related risk measures: The consequences of using GARCH filters for non-GARCH data
Keywords: اعتیاد به مواد مخدر; G12; C32Extreme value theory; Value-at-Risk (VaR); Expected shortfall; GARCH; Markov switching; Jump diffusion; Backtesting
Backtesting trading risk of commercial banks using expected shortfall
Keywords: اعتیاد به مواد مخدر; G32; Value-at-Risk; Expected shortfall; Backtesting; Saddlepoint technique;
Do banks overstate their Value-at-Risk?
Keywords: اعتیاد به مواد مخدر; G21; G28; G32; Value-at-Risk (VaR); Capital requirement; Backtesting;
An empirical comparison of default risk forecasts from alternative credit rating philosophies
Keywords: اعتیاد به مواد مخدر; Credit rating; Basel II; Backtesting; Risk management; Credit risk modeling;
Estimation of Value-at-Risk by extreme value and conventional methods: a comparative evaluation of their predictive performance
Keywords: اعتیاد به مواد مخدر; C53; G21; G28; Value-at-Risk; Extreme Value Theory; Backtesting;