Results 11 to 20 of about 573,541 (281)

Internet Financial Risk Management Study [PDF]

, 2023
Driven by technological change, the Internet has rapidly integrated with the traditional financial sector of the economy, and has continued to advance and develop new features.
Du, Guansan
core   +1 more source

CONSUMERS’ PERCEPTION of THE COST of CREDIT DEFAULT in THE VEHICLE FINANCE INDUSTRY in SOUTH AFRICA [PDF]

, 2021
The risk that a borrower may not fulfill his/her borrowing obligation presents the credit owner (lender) a default risk management opportunity to maximize the risk-adjusted rate of return and to maintain minimum exposure to default associated cost.  This
Obokoh, Lawrence, Onojaefe, Darlington P., Soga, Nomaphelo, Ukpere, Wilfred Isioma   +3 more
core   +2 more sources

Theoretically Motivated Data Augmentation and Regularization for Portfolio Construction [PDF]

, 2021
The task we consider is portfolio construction in a speculative market, a fundamental problem in modern finance. While various empirical works now exist to explore deep learning in finance, the theory side is almost non-existent. In this work, we focus on developing a theoretical framework for understanding the use of data augmentation for deep ...
arxiv   +1 more source

Efficient pricing algorithms for exotic derivatives [PDF]

, 2008
Since the Nobel-prize winning papers of Black and Scholes and Merton in 1973, the derivatives market has evolved into a multi-trillion dollar market. Structures which were once considered as exotic are now commonplace, appearing in retail products such
Lord, R. (Roger)
core   +12 more sources

A Non-Gaussian Approach to Risk Measures [PDF]

, 2006
Reliable calculations of financial risk require that the fat-tailed nature of prices changes is included in risk measures. To this end, a non-Gaussian approach to financial risk management is presented, modeling the power-law tails of the returns ...
Bacry, Borland, Borland, Bouchaud, Efron, Enrica Cisana, Gell-Mann, Giacomo Bormetti, Goldstein, Guido Montagna, Heikkinen, Heston, Hill, Jorion, Kamdem, Mandelbrot, Mantegna, Mantegna, Mattedi, McNeil, Mina, Nelson, Oreste Nicrosini, Pafka, Press, Tsallis   +25 more
core   +2 more sources

Extreme dependence for multivariate data [PDF]

Quantitative Finance 14-7 (2014) pp. 1187-1199, 2021
This article proposes a generalized notion of extreme multivariate dependence between two random vectors which relies on the extremality of the cross-covariance matrix between these two vectors. Using a partial ordering on the cross-covariance matrices, we also generalize the notion of positive upper dependence. We then proposes a means to quantify the
arxiv   +1 more source

A Survey of Systemic Risk Analytics [PDF]

, 2012
We provide a survey of 31 quantitative measures of systemic risk in the economics and finance literature, chosen to span key themes and issues in systemic risk measurement and management.
Bisias, Dimitrios, Flood, Mark, Lo, Andrew W., Valavanis, Stavros   +3 more
core   +1 more source

The effectiveness of risk management system and firm performance in the European context

Journal of Economics Finance and Administrative Science, 2021
PurposeThe purpose of this paper is to study the effectiveness of the risk management system in the European context, especially with regard to the risk management committee, the uncertainty of the environment and company performance.
Louai Ghazieh, Nadia Chebana
semanticscholar   +1 more source

WARNING: Physics Envy May Be Hazardous To Your Wealth! [PDF]

, 2010
The quantitative aspirations of economists and financial analysts have for many years been based on the belief that it should be possible to build models of economic systems - and financial markets in particular - that are as predictive as those in ...
A Blinder, A Damasio, A Hull, A Khandani, A Khandani, A Lo, A Lo, A Lo, A Lo, A Lo, A Lo, A Lo, Andrew W. Lo, B Lehmann, C Lloyd, D Crane, D Duffie, D Farmer, D Farmer, D Li, E Lorenz, E Peters, E Rolls, E Sirri, F Knight, F Reif, F Salmon, G Debreu, G Debreu, G Gigerenzer, G Loewenstein, H Scarf, H Theil, H White, J Bouchaud, J Caouette, J Coffee, J Elster, J Hamilton, J Hamilton, J Hawkins, J Lintner, J Muth, J Nash, J Satow, J Stiglitz, J Stiglitz, J Tinbergen, J Tobin, J Von Neumann, Kenneth Arrow, L Klein, L Pickard, M Gitterman, Mark T. Mueller, N Taleb, P Cootner, P Diaconis, P Samuelson, P Samuelson, P Samuelson, R Lucas, R Mantegna, R Mantegna, R Merton, R Merton, R Solow, S Grossberg, S Labaton, S Weinberg, S Woodward, Steven H Strogatz, T Brennan, T De Jong, T Masters, T Philippon, W Sharpe   +76 more
core   +3 more sources

Shai-am: A Machine Learning Platform for Investment Strategies [PDF]

arXiv, 2022
The finance industry has adopted machine learning (ML) as a form of quantitative research to support better investment decisions, yet there are several challenges often overlooked in practice. (1) ML code tends to be unstructured and ad hoc, which hinders cooperation with others.
arxiv