搜索结果: 1-15 共查到“货币银行学 modeling”相关记录20条 . 查询时间(0.14 秒)
Modeling Bond Yields in Finance and Macroeconomics
Finance Macroeconomics
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2015/7/23
From a macroeconomic perspective, the shortterm interest rate is a policy instrument under
the direct control of the central bank, which
adjusts the rate to achieve its economic stabilzation goals. ...
CREDIT RISK MODELING USING TIME-CHANGED BROWNIAN MOTION
credit derivative Credit risk default probability first passage time
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2011/8/22
Motivated by the interplay between structural and reduced form credit models, we propose to model the firm value process as a time-changed Brownian motion that may include jumps and stochastic volatil...
Is a probabilistic modeling really useful in financial engineering? - A-t-on vraiment besoin d'un modèle probabiliste en ingénierie financière ?
Quantitative finance dynamic portfolio management strategy time series trends volatility,
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2011/7/22
A new standpoint on financial time series, without the use of any mathematical model and of probabilistic tools, yields not only a rigorous approach of trends and volatility, but also efficient calcul...
Modeling the Dynamics of Chinese Spot Interest Rates
Generalized residuals Robust specification tests Robust M-estimation Spot rate
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2011/4/2
Understanding the dynamics of spot interest rates is important for derivatives pricing, risk
management, interest rate liberalization, and macroeconomic control. Based on a daily data of Chinese 7-da...
The Impossible Trio in CDO Modeling
The Impossible Trio CDO Modeling
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2011/1/4
We show that stochastic recovery always leads to counter-intuitive behaviors in the risk measures of a CDO tranche - namely, continuity on default and positive credit spread risk cannot be ensured sim...
Modeling share prices of banks and bankrupts
share price modeling CPI prediction the USA bankruptcy
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2010/10/19
Share prices of financial companies from the S&P 500 list have been modeled by a linear function of consumer price indices in the USA. The Johansen and Engle-Granger tests for cointegration both demo...
Default Risk Modeling Beyond the First-Passage Approximation: Extended Black-Cox Model
Default Risk Modeling the First-Passage Approximation Extended Black-Cox Model
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2010/10/18
We develop a generalization of the Black-Cox structural model of default risk. The extended model captures uncertainty related to firm's ability to avoid default even if company's liabilities momentar...
Jump-diffusion modeling in emission markets
Jump-diffusion modeling emission markets
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2010/10/18
Mandatory emission trading schemes are being established around the world. Participants of such market schemes are always exposed to risks. This leads to the creation of an accompanying market for emi...
A Guide to Modeling Credit Term Structures
Modeling Credit Term Structures
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2010/11/3
We give a comprehensive review of credit term structure modeling methodologies. The conventional approach to modeling credit term struc-ture is summarized and shown to be equivalent to a particular ty...
Credit risk modeling using time-changed Brownian motion
Credit risk structural credit model time change L´ evy process first passage time default probability credit derivative
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2010/11/1
Motivated by the interplay between structural and reduced form credit models, we propose
to model the firm value process as a time-changed Brownian motion that may include
jumps and stochastic volat...
A Simplified Approach to modeling the credit-risk of CMO
implified credit-risk of CMO
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2010/10/29
The credit crisis of 2007 and 2008 has thrown much focus on the models used to price
mortgage backed securities. Many institutions have relied heavily on the credit ratings
provided by credit agency...
The Problem of Modeling of Economic Dynamics
Problem of Modeling Economic Dynamics
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2010/10/29
The correctness of Harrod’s model in the differential form is studied. The inadequacy of exponential growth of economy is shown; an alternative result is obtained. By example of Phillips’ model, an ap...
Numéraire-invariant preferences in financial modeling
Numéraire-invariant preferences financial modeling
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2010/10/29
We provide an axiomatic foundation for the representation of num´eraire-invariant pref-
erences of economic agents acting in a financial market. In a static environment, the simple axioms turn ...
Old and new approaches to LIBOR modeling
LIBOR rate LIBOR market model forward price model Markov-functional model affine LIBOR model
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2010/11/2
In this article, we review the construction and properties of some popular approaches to modeling LIBOR rates. We discuss the fol-lowing frameworks: classical LIBOR market models, forward price mod-el...
Modeling the non-Markovian, non-stationary scaling dynamics of financial markets
Modeling the non-Markovian financial markets
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2010/11/2
A central problem of Quantitative Finance is that of formulating a probabilistic model of the time evolution of asset prices allowing reliable predictions on their future volatility. As in several nat...