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Stochastic evolution equations in portfolio credit modelling
credit risky assets large portfolio numerical methods
2011/3/30
We consider a structural credit model for a large portfolio of credit risky assets where the correlation is due to a market factor. By considering the large portfolio limit of this system we show the ...
Modelling catastrophic risk in international equity markets: An extreme value approach
Maxima Extreme Value catastrophic Risk measures
2011/3/31
This letter uses the Block Maxima Extreme Value approach to quantify catastrophic risk in international equity markets. Risk measures are generated from a set threshold of the distribution of returns ...