Evaluating Total Operational Value and Associated Risks of Financial Holding Companies in Taiwan
Li-Hui Chen (2010)
The Yugoslav Journal of Operations Research
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Li-Hui Chen (2010)
The Yugoslav Journal of Operations Research
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Hürlimann, Werner (2003)
Journal of Applied Mathematics
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Hürlimann, Werner (2004)
International Journal of Mathematics and Mathematical Sciences
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Thomas H. McInish, Joel N. Morse, Erwin M. Saniga (1984)
RAIRO - Operations Research - Recherche Opérationnelle
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Philippe Durand, Jean-Frédéric Jouanin (2007)
ESAIM: Probability and Statistics
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In practice, it is well known that hedging a derivative instrument can never be perfect. In the case of credit derivatives ( synthetic CDO tranche products), a trader will have to face some specific difficulties. The first one is the inconsistence between most of the existing pricing models, where the risk is the occurrence of defaults, and the real hedging strategy, where the trader will protect his portfolio against small CDS spread movements. The second one, which is the main subject...
Jewan, Diresh, Guo, Renkuan, Witten, Gareth (2009)
Journal of Applied Mathematics and Decision Sciences
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Risklab project in model risk (2000)
Journal de la société française de statistique
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Carole Bernard, Steven Vanduffel (2015)
Dependence Modeling
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We provide an explicit expression for the quantile of a mixture of two random variables. The result is useful for finding bounds on the Value-at-Risk of risky portfolios when only partial dependence information is available. This paper complements the work of [4].
Jakub Szotek (2015)
Annales Universitatis Paedagogicae Cracoviensis. Studia Mathematica
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In the paper we give a mathematical overview of the CreditRisk+ model as a tool used for calculating credit risk in a portfolio of debts and suggest some other applications of the same method of analysis.
Lindström, Erik (2010)
Advances in Decision Sciences
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Lo, C.F., Tang, H.M., Ku, K.C., Hui, C.H. (2009)
Journal of Applied Mathematics and Decision Sciences
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Manuel L. Esquível, Luís Dimas, João Tiago Mexia, Philippe Didier (2013)
Discussiones Mathematicae Probability and Statistics
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We show that in the delta-normal model there exist perturbations of the Gaussian multivariate distribution of the returns of a portfolio such that the initial marginal distributions of the returns are statistically undistinguishable from the perturbed ones and such that the perturbed V@R is close to the worst possible V@R which, under some reasonable assumptions, is the sum of the V@Rs of each of the portfolio assets.
Jandačka, Martin, Ševčovič, Daniel (2005)
Journal of Applied Mathematics
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