Results 41 to 50 of about 80,406 (115)
Short-Term Volatility Prediction Using Deep CNNs Trained on Order Flow
, 2023 As a newly emerged asset class, cryptocurrency is evidently more volatile compared to the traditional equity markets. Due to its mostly unregulated nature, and often low liquidity, the price of crypto assets can sustain a significant change within ...
Hao, Mingyu, Lenskiy, Artem
core
On the properties of the Lambda value at risk: robustness, elicitability and consistency [PDF]
, 2017 © 2017 Informa UK Limited, trading as Taylor & Francis Group. Recently, the financial industry and regulators have enhanced the debate on the good properties of a risk measure.
Burzoni, Matteo, Peri, I, Ruffo, CM
core +2 more sources
Towards a Better Microcredit Decision
, 2022 Reject inference comprises techniques to infer the possible repayment behavior of rejected cases. In this paper, we model credit in a brand new view by capturing the sequential pattern of interactions among multiple stages of loan business to make better
Song, Mengnan, Su, Suisui, Wang, Jiasong
core
Risk Management with Tail Quasi-Linear Means [PDF]
Ann. actuar. sci. 14 (2020) 170-187, 2019 We generalize Quasi-Linear Means by restricting to the tail of the risk distribution and show that this can be a useful quantity in risk management since it comprises in its general form the Value at Risk, the Tail Value at Risk and the Entropic Risk Measure in a unified way.
arxiv +1 more source
Particle MCMC in forecasting frailty correlated default models with expert opinion
, 2023 Predicting corporate default risk has long been a crucial topic in the finance field, as bankruptcies impose enormous costs on market participants as well as the economy as a whole.
Nguyen, Ha
core +1 more source
Loan portfolio management and Liquidity Risk: The impact of limited liability and haircut
, 2023 In this article, we consider the problem of a bank's loan portfolio in the context of liquidity risk, while allowing for the limited liability protection enjoyed by the bank.
Barik, Deb Narayan +1 more
core
International Journal of Disaster Risk Science, 2020 The Sendai Framework for Disaster Risk Reduction 2015–2030 recognizes health at the heart of disaster risk management (DRM) at the global policy level.
Natalie Wright +6 more
semanticscholar +1 more source
The role of the Model Validation function to manage and mitigate model risk [PDF]
arXiv, 2012 This paper describes the current taxonomy of model risk, ways for its mitigation and management and the importance of the model validation function in collaboration with other departments to design and implement them.
arxiv
Enterprise risk management and firm performance: Empirical evidence from Ghana equity market
Cogent Economics & Finance, 2020 This paper examines the linear and non-linear relationship between Enterprise Risk Management (ERM) and firm performance while focusing on how operational status (financial and non-financial listed firms’ status) affects this relationship in Ghana ...
Sylvester Senyo Horvey, J. Ankamah
semanticscholar +1 more source
Scenarios and their Aggregation in the Regulatory Risk Measurement Environment [PDF]
arXiv, 2012 We define scenarios, propose different methods of aggregating them, discuss their properties and benchmark them against quadrant requirements.
arxiv