Keywords: خطر مدل; Option risk; Model risk; Risk measurement; Liquidity risk; Option trading strategies;
مقالات ISI خطر مدل (ترجمه نشده)
مقالات زیر هنوز به فارسی ترجمه نشده اند.
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Keywords: خطر مدل; G210; G320; Credit portfolio loss; Extreme risk; Limit distribution; Loss given default; Model risk; Multivariate regular variation; Tail dependence;
Keywords: خطر مدل; Bayesian estimation; Maximum likelihood estimation; Model risk; Mortgage; Value-at-risk
Keywords: خطر مدل; Risk management; Model risk; Robustness and sensitivity analysis; Variance swap; Forward-start option;
Keywords: خطر مدل; C10; C53; G32; Model risk; Capital requirements; Value-at-Risk; Expected Shortfall;
Keywords: خطر مدل; primary; 91B30; secondary; 60E15; Model risk; Dependence uncertainty; Positive dependence; Value-at-Risk; Convex risk measures;
Keywords: خطر مدل; G32; G28; C35; C52; C60; Model risk; VaR; Rearrangement Algorithm; Tail dependence; Outlier detection; Minimum variance portfolio; Credit risk management;
Keywords: خطر مدل; C02; C23; C52; C61; G11; G12Preference trading; Pricing kernel; Model risk; Trading strategy; Model-free; Variance premium; Equity premium; Skew premium; Kurtosis premium
Keywords: خطر مدل; Stable volatility strategies; Jump diffusion processes; Model risk; Robustness; Performance evaluation; G11; G12;
Keywords: خطر مدل; C63; D81; G32; Divergence estimation; Model risk; Risk management; Robustness; Sequential Monte Carlo;
Keywords: خطر مدل; Global minimum variance portfolio; Model risk; Parameter uncertainty; Robust least squares; Robust portfolio;
Keywords: خطر مدل; G22; G23; G13; Variable annuity; Guaranteed lifetime withdrawal benefits (GLWB); Systematic mortality risk; Parameter risk; Model risk; Static hedging;
Keywords: خطر مدل; C50; G11; G32; Model risk; Value-at-risk; Backtesting;
Keywords: خطر مدل; C18; C44; C60; G01; G32; M48; Scenario analysis; Worst case; Risk measures; Multiple priors; Model risk; Relative entropy;
Keywords: خطر مدل; Model risk; Interest-rate curve; OIS discount curve; Implied default distribution; Kriging
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Keywords: خطر مدل; C13; C31; C58; Confidence intervals for VaR; Dynamic portfolio; Elliptical distribution; Filtered historical simulation; Minimum variance portfolio; Model risk; Multivariate GARCH;
Evaluating Value-at-Risk forecasts: A new set of multivariate backtests
Keywords: خطر مدل; Model risk; Multivariate backtesting; Value-at-Risk; Systemic risk; C52; C53; C58;
The bounds of heavy-tailed return distributions in evolving complex networks
Keywords: خطر مدل; Agent-based model; Criticality and crisis; Model risk
Statistical analysis of model risk concerning temperature residuals and its impact on pricing weather derivatives
Keywords: خطر مدل; G12; G22; C13; Weather derivatives; Levy models; Asymmetric ARCH; Esscher transform; Model risk;
Mortality density forecasts: An analysis of six stochastic mortality models
Keywords: خطر مدل; Plausibility; Fan charts; Model risk; Forecasting; Model selection criteria;
Model risk and capital reserves
Keywords: خطر مدل; G12; G18; Capital requirements; Model risk; Risk measures; Estimation risk; Misspecification risk; Identification risk;
What is the impact of stock market contagion on an investor's portfolio choice?
Keywords: خطر مدل; G12; G13; Asset allocation; Jumps; Contagion; Model risk;
Pricing discretely monitored Asian options under Lévy processes
Keywords: خطر مدل; G13; C63; Asian options; Discrete monitoring; Quadrature; Lévy processes; Stable processes; Model risk;
Fair valuation of insurance contracts under Lévy process specifications
Keywords: خطر مدل; G13; G22; IM30; IE50; IB10; Embedded options; Interest rate guarantees; Model risk; Participating contracts; Risk-neutral valuation; Unit-linked contracts;
Pitfalls in static superhedging of barrier options
Keywords: خطر مدل; G13; Down-and-out call; Static hedging; Local time; Model risk;
On the suboptimality of single-factor exercise strategies for Bermudan swaptions
Keywords: خطر مدل; C52; E43; E47; G12; G13; Bermudan swaption; American option; Least square Monte Carlo; Model risk; Model calibration;