Results 21 to 30 of about 7,803,855 (292)
Term Default, Balloon Risk, and Credit Risk in Commercial Mortgages [PDF]
, 2003 Term default and balloon risk play an interactive role in the pricing of credit risk in commercial mortgages. Most commercial mortgage pricing studies assume a borrower\u27s default decision is based solely on the property value; the mortgage valuation ...
Eppli, Mark, Tu, Charles C.
core +3 more sources
An Entropic Approach for Pair Trading
Entropy, 2017 In this paper, we derive the optimal boundary for pair trading. This boundary defines the points of entry into or exit from the market for a given stock pair.
Daisuke Yoshikawa
doaj +1 more source
Risk Analysis, 2007 In an interdependent world the risks faced by any one agent depend not only on its choices but also on those of all others. Expectations about others' choices will influence investments in risk management and the outcome can be suboptimal for everyone. We model this as the Nash equilibrium of a game and give conditions for such a suboptimal equilibrium
Heal, Geoffrey, Kunreuther, Howard
openaire +4 more sources
Integrating Blue Energy in Maritime Spatial Planning of Mediterranean Regions
Frontiers in Energy Research, 2022 Blue Energy (BE) is expected to play a strategic role in the energy transition of Europe, particularly toward the 2050 horizon. It refers to a set of Marine Energy Sources (MES), including offshore wind, waves, tides, marine currents, sea thermal energy,
Riccardo Maria Pulselli +22 more
doaj +1 more source
Bank and sovereign debt risk connection : [draft december 2012] [PDF]
, 2012 Euro area data show a positive connection between sovereign and bank risk, which increases with banks’ and sovereign long run fragility. We build a macro model with banks subject to incentive problems and liquidity risk (in the form of liquidity based ...
Darracq Pariès, Matthieu +2 more
core +1 more source
Advancing nearshore and onshore tsunami hazard approximation with machine learning surrogates [PDF]
Natural Hazards and Earth System SciencesProbabilistic tsunami hazard assessment and probabilistic tsunami risk assessment (PTHA and PTRA) are vital methodologies for computing tsunami risk and prompt measures to mitigate impacts. However, their application across extensive coastlines, spanning
N. Ragu Ramalingam +4 more
doaj +1 more source
Digital Health, 2023 Objective Continuous physiological measurements during a laboratory-based exercise test can provide physiological biomarkers, such as heart rate (HR) and oxygen uptake (V̇O 2 ) kinetics, that carry clinically relevant information.
Joren Buekers +6 more
doaj +1 more source
Risk-sensitive investment in a finite-factor model [PDF]
, 2016 A new jump diffusion regime-switching model is introduced, which allows for linking jumps in asset prices with regime changes. We prove the existence and uniqueness of the solution to the risk-sensitive asset management criterion maximisation problem in ...
Andruszkiewicz, Grzegorz +2 more
core +2 more sources
Evaluating health risk models [PDF]
Statistics in Medicine, 2010 AbstractInterest in targeted disease prevention has stimulated development of models that assign risks to individuals, using their personal covariates. We need to evaluate these models and quantify the gains achieved by expanding a model to include additional covariates.
openaire +3 more sources
Model Risk in Portfolio Optimization
Risks, 2014 We consider a one-period portfolio optimization problem under model uncertainty. For this purpose, we introduce a measure of model risk. We derive analytical results for this measure of model risk in the mean-variance problem assuming we have ...
David Stefanovits +2 more
doaj +1 more source