Titlebook: Applied Quantitative Finance; Wolfgang Karl H?rdle,Cathy Yi-Hsuan Chen,Ludger Ov Textbook 2017Latest edition Springer-Verlag GmbH Germany

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Statistics and Computinghttp://image.papertrans.cn/b/image/160083.jpg

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https://doi.org/10.1007/978-3-662-54486-0quantitative finance; risk management; market risk; credit risk; value at risk; volatility; systemic risk;

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馬籠頭

GAVEL

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Directed

Exotics and Invasions of Plants and Animalstfolio. More precisely the risk aversion is codified in a weight function, weighting each quantile. Since the basic coherent building blocks of spectral risk measures are expected shortfall measures, the most intuitive approach comes from combinations of those. For investment decisions the marginal

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https://doi.org/10.1007/978-1-4020-8213-9involve a lot of firm-specific information which is hard to obtain or only available quarterly. In this chapter, we propose a two-step algorithm involving ARIMA-GARCH modelling and clustering to obtain a market based credit rating utilizing easily obtained public information. The algorithm is applie