نتایج جستجو برای: value estimation

تعداد نتایج: 975804  

Journal: :Computation (Basel) 2023

Range value at risk (RVaR) is a quantile-based measure with two parameters. As special examples, the (VaR) and expected shortfall (ES), well-known but competing regulatory measures, are both members of RVaR family. The estimation critical issue in financial sector. Several nonparametric estimators described here. We examine these estimators’ accuracy various scenarios using Monte Carlo simulati...

2011
Abhay K Singh David E Allen Robert J Powell Edith Cowan

A common assumption in quantitative financial risk modelling is the distributional assumption of normality in the asset’s return series, which makes modelling easy but proves to be inefficient if the data exhibit extreme tails. When dealing with extreme financial events like the Global Financial Crisis of 2007-2008 while quantifying extreme market risk, Extreme Value Theory (EVT) proves to be a...

Journal: :Annales de Génétique et de Sélection Animale 1980

Journal: :Korean Journal of Applied Statistics 2009

Journal: :IEEE Transactions on Software Engineering 2012

Journal: :PRACE NAUKOWE UNIWERSYTETU EKONOMICZNEGO WE WROCŁAWIU 2018

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