掺假
发表于 2025-3-25 07:15:46
Basics of Statistical VaR-Estimation,tics. This paper gives a survey of common procedures to analyze risk exposure by VaR and studies basic statistical properties of various VaR-estimators. An application to foreign exchange rate risk gives insight into the accuracy of those VaR-strategies.
G-spot
发表于 2025-3-25 08:44:13
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影响深远
发表于 2025-3-25 11:53:31
1431-1933 etrics and innovative methods from machine learning such as neural nets are applied to financial issues. Neural Networks are successfully applied to different areas such as debtor analysis, forecasting and corporate finance. In the second part various aspects from Value-at-Risk are discussed. The pr
Irascible
发表于 2025-3-25 19:49:26
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Vsd168
发表于 2025-3-25 20:53:46
https://doi.org/10.1007/978-3-642-58272-1Credit Risk; Econometrics; Forecasting; Neural Networks; RM; Risikomessung; Risk Management; Risk Measureme
Initiative
发表于 2025-3-26 01:35:04
The Durbin-Watson Test for Neural Regression Models,The need to subject neural regression models to residual diagnostic tests is justified. A generalisation of the Durbin-Watson statistic is introduced for neural network regression models. The distribution of the statistic is estimated using approximation and exact methods (Imhof algorithm).
HAWK
发表于 2025-3-26 06:25:02
Statistical Process Control and its Application in Finance,Analyzing a financial time series it is of great interest to monitor changes in its structure. In this paper it is shown how control charts can be used to detect such positions. Several control schemes for GARCH processes are introduced and compared with each other. Furthermore these methods are applied to stock market returns.
残忍
发表于 2025-3-26 10:37:12
Confidence Intervals for the Value-at-Risk,Exact and asymptotic confidence intervals for the Value-at-Risk (VaR) are derived in a parametric context with linear portfolio structure and multinormal distributed returns..
affinity
发表于 2025-3-26 14:13:31
Data Warehousing and OLAP: Delivering Just-In-Time Information for Decision Support,s an integrated view on all business-relevant data, and thus, provides the data foundation upon which an enterprise-wide information system can be based. OLAP is an analytical processing technology, which creates new business information from existing data, through a rich set of business transformations and numerical calculations.
失望未来
发表于 2025-3-26 18:41:57
978-3-7908-1152-0Springer-Verlag Berlin Heidelberg 1998