Results 111 to 120 of about 2,923 (211)

Country Default Probabilities: Assessing and Backtesting [PDF]

, 2006
We address the problem how to estimate default probabilities for sovereign countries based on market data of traded debt. A structural Merton-type model is applied to a sample of emerging market and transition countries.
Vogl, Konstantin, Maltritz, Dominik, Karmann, Alexander, Huschens, Stefan   +3 more
core  

A Comprehensive Survey of Cryptocurrency Forecasting: Methods, Trends, and Challenges

Journal of Applied Informatics and Computing
This comprehensive survey paper explores the diverse landscape of cryptocurrency forecasting, tracing its evolution from an alternative to traditional monetary systems to its significant growth in the global financial arena.
Mahmood Yousaf, Muhammad Tariq, Abdul Jabbar, Syed Qaiser Jalil   +3 more
doaj   +1 more source

Sistem Pendukung Keputusan Perdagangan Cryptocurrency Menggunakan Pembobotan Kombinasi Indikator EMA, RSI, MACD, dan Bollinger Bands

JOINS (Journal of Information System)
Perdagangan cryptocurrency mempunyai perubahan harga yang cepat dan besar yang menyebabkan pengambilan keputusan investor ketika membeli aset hanya mengandalkan intuisi sehingga berpotensi menimbulkan risiko kerugian.
M. Zaky Pria Maulana, Rizky Parlika, Firza Prima Aditiawan   +2 more
doaj   +1 more source

Models backtesting performances.

This study employs seven advanced machine learning approaches to conduct numerical predictions of the next-day returns of VIX constant-maturity futures (VIX CMFs) using the term structure information derived from VIX CMFs.
Keran Li (9099584), Yaling Liu (204231), Xianbo Tang (18414623), Sangyuan Wang (18414620), Yijun Chen (107514)   +4 more
core   +1 more source

Backtesting Value-at-Risk: A Duration-Based Approach

, 2004
Financial risk model evaluation or backtesting is a key part of the internal model's approach to market risk management as laid out by the Basle Committee on Banking Supervision.
Denis Pelletier, James Mackinnon, Matt Pritsker The Usual, Rob Engle, Nour Meddahi, Peter Christoffersen, Eric Ghysels   +6 more
core   +1 more source

A structured multi-head attention prediction method based on heterogeneous financial data. [PDF]

PeerJ Comput Sci, 2023
Zhao C, Li F, Peng Z, Zhou X, Zhuge Y.
europepmc   +1 more source

Measuring market risk using extreme value theory

The adoption of Basel II standards by the Bangko Sentral ng Pilipinas initiates financial institutions to develop value-at-risk (VaR) models to measure market risk.
Mapa, Dennis S., Suaiso, Oliver Q.
core  

Mixed-frequency quantile regressions to forecast value-at-risk and expected shortfall. [PDF]

Ann Oper Res, 2023
Candila V, Gallo GM, Petrella L.
europepmc   +1 more source

Empirical evaluation of existing backtesting techniques for market risk models

, 2019
: This study investigates the performance of different backtesting techniques at evaluating market risk models with different conditional distributions.
Sangweni, Xolile Zodwa
core