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Baselll的理论基础-IRB,CreditRisk,CreditMetrics,Lemma，极限VaR收敛
1 个回复 - 1156 次查看 Baselll的理论基础-IRB,CreditRisk,CreditMetrics,Lemma，极限VaR收敛。当使用信用VaR的组合模型计算经济资本时，对于其中的一个工具的边际资本的要求依赖于它所在的组合的性质. ·基于评级的资本准则，包括t ...2020-5-31 18:47 - Tiger-like - 现金交易版

【信用风险Credit Metrics模型】A one-parameter representation of credit risk
2 个回复 - 1036 次查看由JP Morgan等机构推出的credit metrics模型，是目前较为先进的计量预期信用损失的方法。2021-6-25 13:47 - zh980401 - 风险管理

Nonparametric estimation of the cumulative incidences of competing risks under d
1 个回复 - 270 次查看【作者(必填)】 23 【文题(必填)】 Nonparametric estimation of the cumulative incidences of competing risks under double truncation【年份(必填)】 2323 【全文链接或数据库名称(选填)】https://onlineli ...2022-11-29 11:15 - internet.hzx - 求助成功区

【经典教材系列】Econometrics of Risk
115 个回复 - 12708 次查看 2015年最新教材降价出售期已过！如果喜欢，就请“加关注”我吧（点击头像下方，http://bbs.pinggu.org/z_guanzhu.php?action=add&fuid=452766）。关注成功后，查看这里即可：三步走，把千本好书“一网打尽”！。 ...2015-2-18 09:46 - wwqqer - 金融学（理论版）

Joint price and volumetric risk in wind power trading: A copula approach
2 个回复 - 606 次查看【作者(必填)】A.Pircalabuab, T.Hvolbya, J.Jungb, E.Høga 【文题(必填)】Joint price and volumetric risk in wind power trading: A copula approach 【年份(必填)】2017 【全文链接或数据库名称(选 ...2022-3-3 10:08 - zpx283349 - 求助成功区

The Effect of Dependence on European Market Risk. A Nonparametric Time Varying A
1 个回复 - 780 次查看【作者(必填)】 23 【文题(必填)】 The Effect of Dependence on European Market Risk. A Nonparametric Time Varying Approach 【年份(必填)】 23 【全文链接或数据库名称(选填)】https://amstat.tandfonlin ...2022-3-2 11:35 - internet.hzx - 求助成功区

The Effect of Dependence on European Market Risk. A Nonparametric Time Varying A
6 个回复 - 810 次查看【作者(必填)】 23 【文题(必填)】 The Effect of Dependence on European Market Risk. A Nonparametric Time Varying Approach 【年份(必填)】 23 【全文链接或数据库名称(选填)】 https://amstat.tandfonl ...2021-6-2 21:40 - internet.hzx - 求助成功区

Forecasting portfolio-Value-at-Risk with nonparametric lower tail dependence est
1 个回复 - 627 次查看【作者(必填)】 2323 【文题(必填)】 Forecasting portfolio-Value-at-Risk with nonparametric lower tail dependence estimates【年份(必填)】 2323 【全文链接或数据库名称(选填)】https://www.sciencedirec ...2021-6-21 22:05 - internet.hzx - 求助成功区

基于RiskMetrics模型的比特币的VAR、ES计算R语言代码
0 个回复 - 1601 次查看此代码需在Rstudio上运行。以BTC-USD数据为例，基于RiskMetrics模型，分析计算了比特币的VaR(风险价值)与ES(期望损失)。同时也可以计算其他资产的VaR与ES,代码便于模仿，即使没有R语言基础的也可以模仿，同时代码中有 ...2021-1-7 15:59 - 201518050108 - 现金交易版

深度解析：Value at Risk、风险价值、在险价值VaR计算方法-RiskMetrics法
7 个回复 - 7898 次查看基本原理介绍，R语言实现代码，见附件本附件包括以下内容：1、免费获取证券价格历史数据的方法2、历史数据的获取3、价格走势图的绘制4、对数收益率的计算5、收益率分布图的绘制6、详细计算步骤、注释7、易学习、 ...2019-4-10 16:25 - GaussAnalytica - 现金交易版

Nonparametric Tail Risk, Stock Returns, and the Macroeconomy
0 个回复 - 449 次查看【作者(必填)】Caio Almeida, Kym Ardison, René Garcia, Jose Vicente 【文题(必填)】Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 【年份(必填)】2017 【全文链接或数据库名称(选填)】h ...2020-3-21 15:13 - hnhs100 - 文献求助专区

几何布朗运动（Geometric Brownian Motion）GBM蒙特卡罗模拟计算Value at Risk、VaR
3 个回复 - 9562 次查看几何布朗运动（Geometric Brownian Motion）GBM计算VaR的基本原理：1、假设资产价格的变动服从某种随机过程。 2、利用计算机模型一定时期内的资产价格变动路径。 3、步骤2重复n次。 4、可以得到一定时期内资产 ...2019-7-2 18:27 - GaussAnalytica - 现金交易版

A mixed C-vine copula model for hedging price and volumetric risk in wind power
1 个回复 - 588 次查看【作者(必填)】 23 【文题(必填)】 A mixed C-vine copula[/backcolor] model for hedging price and volumetric risk in wind power trading 【年份(必填)】 23 【全文链接或数据库名称(选填)】https://www.t ...2020-1-9 22:56 - internet.hzx - 求助成功区

Asymmetric Cost Behavior: Implications for the Credit and Financial Risk of ...
15 个回复 - 3228 次查看 Asymmetric Cost Behavior: Implications for the Credit and Financial Risk of a Firm by Kristina Reimer (Author) About the Author Dr. Kristina Reimer received her doctoral degree at the University ...2018-10-12 03:53 - slowry - 金融学（理论版）

Dynamic semiparametric models for expected shortfall (and Value-at-Risk)
1 个回复 - 492 次查看【作者(必填)】 23 【文题(必填)】 Dynamic semiparametric models for expected shortfall (and Value-at-Risk)【年份(必填)】 2 【全文链接或数据库名称(选填)】https://www.sciencedirect.com/science/artic ...2019-5-31 08:58 - internet.hzx - 求助成功区

VaR度量的RiskMetrics方法
7 个回复 - 13451 次查看摘要 A new methodology to evaluate market risks is introduced. It is designed to be more accurate than the existing methodologies, and to be able to reach long risk horizons, up to one year. Consist ...2014-9-17 21:09 - haotianhaotian - 风险管理

The Symmetric Downside-Risk Sharpe Ratio
4 个回复 - 746 次查看【作者(必填)】William T. Ziemba 【文题(必填)】The Symmetric Downside-Risk Sharpe Ratio 【年份(必填)】2005 【全文链接或数据库名称(选填)】http://jpm.iijournals.com/content/32/1/1082018-10-24 01:59 - yishuiyuan2604 - 求助成功区

急求ISS(RiskMetrics)之Voting Analytics数据库,重谢
1 个回复 - 1098 次查看如题.必有重谢. 请先站内联系我,或用qq:二五22五六8317.2016-9-25 17:26 - forstorage - 数据求助

求Econometrics of Risk
2 个回复 - 994 次查看【作者(必填)】 Van-Nam Huynh, Vladik Kreinovich, Songsak Sriboonchitta, Komsan Suriya 【文题(必填)】 Econometrics of Risk【年份(必填)】 2015 【全文链接或数据库名称(选填)】http://link.springer.com ...2015-1-8 11:32 - waterup - 文献求助专区

Applied Econometrics with SAS: Modeling Demand, Supply, and Risk
32 个回复 - 4813 次查看 SAS Institute | 2018 | ISBN 978-1629604077 | 203 pages | PDF conv **** 本内容被作者隐藏 ****2018-11-3 10:49 - igs816 - 商业数据分析

Robust conditional value-at-risk optimization for asymmetrically distributed ass
0 个回复 - 560 次查看【作者(必填)】Zhifeng Dai, Donghui Li and Fenghua Wen 【文题(必填)】Robust conditional value-at-risk optimization for asymmetrically distributed asset returns 【年份(必填)】2012 【全文链接或数据 ...2018-10-28 21:45 - 杨万弟 - 文献求助专区

Market Risk Analysis vol 2, Practical Financial Econometrics 随书CD
48 个回复 - 6634 次查看 Market Risk Analysis vol 2, Practical Financial Econometrics, by Carol Alexander电子书坛子里已经有了 http://bbs.pinggu.org/thread-954158-1-1.html http://bbs.pinggu.org/thread-1154148-1-1.html 但随书 ...2013-4-5 01:05 - lugoo - 金融学（理论版）

Backtesting Parametric Value-at-Risk With Estimation Risk
1 个回复 - 491 次查看【作者(必填)】 Carlos Escanciano[/backcolor] &Jose Olmo[/backcolor] 【文题(必填)】 Backtesting Parametric Value-at-Risk With Estimation Risk【年份(必填)】 2012 【全文链接或数据库名称(选填)】http: ...2018-1-13 20:27 - internet.hzx - 求助成功区

Risk Metrics and Fine Tuning of High Frequency Trading Strategies
5 个回复 - 953 次查看 Risk Metrics and Fine Tuning of High Frequency Trading Strategies 原版英文版2017-11-8 14:50 - kewmudcake - 投资人（实务版）

Market Risk Analysis Volume II Practical Financial Econometrics
4 个回复 - 3105 次查看 Product Description Written by leading market risk academic, Professor Carol Alexander, Practical Financial Econometrics forms part two of the Market Risk Analysis four volume set. It introduces th ...2010-10-15 08:25 - wxysjtu - 金融学（理论版）

Semiparametric Relative-Risk Regression
2 个回复 - 1096 次查看【作者(必填)】Eben Kenah 【文题(必填)】Semiparametric Relative-Risk Regression for Infectious Disease Transmission Data 【年份(必填)】22 Apr 2015 【全文链接或数据库名称(选填)】http://www.ta ...2015-5-23 00:20 - ynlihuiqiong - 求助成功区

Risk Measurement, Econometrics and Neural Networks
0 个回复 - 839 次查看 Risk Measurement, Econometrics and Neural Networks Selected Articles of the 6th Econometric-Workshop in Karlsruhe, Germany by Georg Bol (Editor), Gholamreza Nakhaeizadeh (Editor), Karl-Heinz Vollm ...2016-9-12 12:49 - cmwei333 - 金融学（理论版）

Non-parametric threshold estimation for classical risk process
0 个回复 - 716 次查看 Non-parametric threshold estimation for classical risk process perturbed by diffusion. (arXiv:1606.06459v1 [math.ST])4d [/url] 由 Chunhao Cai, Junyi Guo, Honglong You[/url] 通过 Statisti ...2016-6-26 14:47 - oliyiyi - LATEX论坛

Asymmetric impacts of global risk appetite on the risk premium for an emerging m
1 个回复 - 724 次查看【作者(必填)】【文题(必填)】【年份(必填)】【全文链接或数据库名称(选填)】Asymmetric impacts of global risk appetite on the risk premium for an emerging marketİB Kanlı - Physica A: ...2016-6-12 22:48 - 马甲甲 - 求助成功区

The Econometrics of Individual Risk.Credit, Insurance, and Marketing 2007
1 个回复 - 2277 次查看 20论坛币 Gourieroux & Jasiak 2007 The Econometrics of Individual Risk.Credit, Insurance, and Marketing The Econometrics of Individual Risk: Credit, Insurance, and Marketing Christian Gouriero ...2009-8-11 08:39 - linmao001 - 金融学（理论版）

Nonparametric analysis of bivariate gap time with competing risks
4 个回复 - 602 次查看【作者(必填)】 Chiung-Yu Huang，Chenguang Wang，Mei-Cheng Wang 【文题(必填)】 Nonparametric analysis of bivariate gap time with competing risks 【年 ...2016-4-22 11:20 - internet.hzx - 求助成功区

Systemic risk and asymmetric responses in the financial industry
1 个回复 - 683 次查看【作者(必填)】 [*]Germán López-Espinosaa, , [*]Antonio Morenoa, , [*]Antonio Rubiab, , , [*]Laura Valderrama 【文题(必填)】 Systemic risk and asymmetric responses in the financial industry【 ...2016-4-3 14:27 - internet.hzx - 求助成功区

Nonparametric analysis of bivariate gap time with competing risks
1 个回复 - 548 次查看【作者(必填)】 [*]Chiung-Yu Huang1,2,*, [*]Chenguang Wang1and [*]Mei-Cheng Wang2 【文题(必填)】 Nonparametric analysis of bivariate gap time with competing risks 【年份(必填)】 2016 【全文链 ...2016-4-2 10:39 - internet.hzx - 求助成功区

Econometrics and Risk Management
5 个回复 - 1344 次查看 Econometrics and Risk Management (Advances in Econometrics) (Hardcover)~ Jean-Pierre Fouque (Author, Editor), Thomas B. Fomby (Editor), Knut Solna (Editor)2010-6-25 12:51 - shiningwang1980 - 金融学（理论版）

Equity Options(Risk Metrics, Technical Research Notes )
1 个回复 - 1439 次查看 BS模型和BAW模型2015-9-24 10:23 - LinXiao36 - 风险管理

Equity Single Barrier Options. RiskMetrics(Reserach Technic Notes)
0 个回复 - 1070 次查看定价single Barrier Option2015-9-24 10:19 - LinXiao36 - 风险管理

Anthropometric Risk Factors for Differentiated Thyroid Cancer in Young Men and W
1 个回复 - 678 次查看 Oxford JournalsMedicine & Health American Journal of Epidemiology Volume 182, Issue 3Pp. 202-214. Anthropometric Risk Factors for Differentiated Thyroid Cancer in Young Men and Women From Eastern Fra ...2015-7-29 09:24 - oliyiyi - 求助成功区

Intraday Value-at-Risk: An asymmetric autoregressive conditional duration approa
1 个回复 - 897 次查看【作者(必填)】Shouwei Liua, Yiu-Kuen Tseb, , 【文题(必填)】Intraday Value-at-Risk: An asymmetric autoregressive conditional duration approach 【年份(必填)】2015 【全文链接或数据库名称(选填)】htt ...2015-4-24 22:40 - hnhs100 - 求助成功区

Introduction to RiskMetrics
4 个回复 - 1796 次查看【作者(必填)】 Introduction to RiskMetricsJ Longerstaey, L More - Morgan Guaranty Trust Company, 1998 【文题(必填)】【年份(必填)】【全文链接或数据库名称(选填)】2012-9-24 15:35 - 金融坦然 - 求助成功区

RiskMetrics
1 个回复 - 3544 次查看我正在搞有关风险度量的论文，急需RiskMetrics，哪位大侠愿意帮忙。。。我在这里先谢了！2005-7-6 09:35 - 无暨哥哥 - 金融学（理论版）

Risk Metrics官方公布的creditmetrics技术文件
4 个回复 - 3230 次查看是官方文件2013-3-23 09:13 - karma3001 - 投资人（实务版）

Market Risk Analysis _ Practical Financial Econometrics volume 2
8 个回复 - 2961 次查看 2010-9-21 03:50 - napoleon999nap - 金融学（理论版）

求ALEXANDER, Carol - Market Risk Analysis II：Practical Financial Econometrics
7 个回复 - 2767 次查看搜了一下论坛好像其他几本都有，就是没有第二本，哪位有麻烦上传一下，十分感谢2010-9-11 04:42 - nezhangwei - 金融学（理论版）

Market Risk Analysis Practical Financial Econometrics (Volume 2)
2 个回复 - 1867 次查看高清非扫描版 Volume II provides a detailed understanding of financial econometrics, with a unique focus on applications to asset pricing, fund management and market risk analysis. It covers e ...2010-11-7 10:56 - napoleon999nap - 金融学（理论版）

Market Risk Analysis Practical Financial Econometrics (Volume 2)
5 个回复 - 2770 次查看高清非扫描版 Volume II provides a detailed understanding of financial econometrics, with a unique focus on applications to asset pricing, fund management and market risk analysis. It covers e ...2010-11-7 10:57 - napoleon999nap - 金融学（理论版）

A Probability Metrics Approach To Financial Risk Measures
2 个回复 - 849 次查看急求A Probability Metrics Approach To Financial Risk Measures2014-5-11 17:00 - 千年寒玉生 - 求助成功区

A Probability Metrics Approach to Financial Risk Measures
5 个回复 - 1973 次查看 A Probability Metrics Approach to Financial Risk Measures Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi, CFA ISBN: 978-1-4051-8369-7 Hardcover 392 pages January 2011, Wiley-Blackwell ...2011-12-18 10:26 - martinnyj - 金融学（理论版）

Semiparametric Marginal Regression Analysis for Dependent Competing Risks under
1 个回复 - 585 次查看【作者(必填)】 SDFSDFSD 【文题(必填)】 Semiparametric Marginal Regression Analysis for Dependent Competing Risks under an Assumed Copula【年份(必填)】 2010 【全文链接或数据库名称(选填)】http://ww ...2014-12-17 11:03 - internet.hzx - 文献求助专区

Econometric Estimation of Producers' Risk Attitudes
2 个回复 - 1019 次查看【作者(必填)John M. Antle 【文题(必填)】Econometric Estimation of Producers' Risk Attitudes 【年份(必填)】1987 【全文链接或数据库名称(选填)】http://ajae.oxfordjournals.org/content/69/3/509.sh ...2014-11-20 11:21 - throndon - 求助成功区

and nonparametric estimation for the CTE risk measure
2 个回复 - 766 次查看【作者(必填)】Catalina Bolancea, , Montserrat Guillena, , Elena Pelicanb, , Raluca Vernicb, 【文题(必填)】Skewed bivariate models and nonparametric estimation for the CTE risk measure【年份(必填)】 ...2014-10-25 10:19 - yhzhong - 文献求助专区

公司治理研究必备数据(更新至2012年) RiskMetrics 公司治理指标+d董事会资料数据
9 个回复 - 3597 次查看 2012-11-28 12:02 - shuhuanbao123 - 会计与财务管理

JPMorgan 技術手冊 RiskMetrics(全)+ CreditMetrics
21 个回复 - 10154 次查看 RiskMetrics(全)+ CreditMetrics 包含了 (1)RiskMetrics(1996) Part 1-5 + Return to RiskMetrics (2001補充手冊) (2)以及CreditMetrics (1997) 為對想從事風險管理建模者不可或確的重要工具書希望對 ...2010-2-22 16:19 - marcockc - 金融工程（数量金融）与金融衍生品

Safety margins for unsystematic biometric risk in life and health insurance
1 个回复 - 1103 次查看【作者(必填)】Christiansen, M. C. 【文题(必填)】Safety margins for unsystematic biometric risk in life and health insurance 【年份(必填)】2013(4) 【全文链接或数据库名称(选填)】Scandinavian Ac ...2014-5-14 01:27 - @zhuanyong - 求助成功区

财务风险措施de概率度量方法A Probability Metrics Approach to Financial Risk Meas
2 个回复 - 1383 次查看财务风险措施概率度量方法A Probability Metrics Approach to Financial Risk Meas Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi CFA Wiley-Blackwell 2011 A Probability Metrics Approac ...2013-10-7 09:05 - xxka917 - 计量经济学与统计软件

英国金融博士方向选择：Model Risk or Financial Econometrics or Credit Risk
5 个回复 - 8222 次查看最近跟导师谈博士的事情谈的差不多了，但是还没有确定发offer，英国一个金融 top 10 的学校的全奖phd，但是导师有几个方向，我需要选一个，第一个导师有三个方向让我选一个：Model Risk, Financial Econometrics, C ...2012-6-23 07:56 - happynoend - 爱问频道

在线求Asymmetric Information and Risky Debt Maturity Choice
3 个回复 - 1131 次查看【作者(必填)】.queryString=]MARK J. FLANNERY 【文题(必填)】Asymmetric Information and Risky Debt Maturity Choice 【年份(必填)】1986 【全文链接或数据库名称(选填)】http://onlinelibrary.wiley.co ...2013-8-25 21:44 - joyye2008joyye - 求助成功区

Andrew W.Lo:Non-Parametric Risk Management and Implied Risk Aversion
0 个回复 - 817 次查看 Abstract: Typical value-at-risk (VaR) calculations involve the probabilities of extreme dollar losses, based on the statistical distributions of market prices. Such quantities do not account for ...2013-5-17 21:47 - delphy_crystal - 金融学（理论版）

RiskMetrics 2006
0 个回复 - 1855 次查看最近读 RiskMetrics 2006 ,实在是困难啊~~~ 有没有大神可以帮帮忙大概说一些这是个什么模型。我理解的是研究long term 的 volatility，但是具体是怎么研究的真心没看明白~~~ 求大神帮帮忙啦2013-4-13 02:52 - 溜溜果冻糖 - 金融学（理论版）

High Risk Scenarios and Extremes A Geometric Approach
1 个回复 - 1350 次查看 Guus Balkema, "High Risk Scenarios and Extremes" English | 2007 | ISBN: 3037190353 | 388 pages | PDF | 4 MB Quantitative Risk Management (QRM) has become a field of research of considerable ...2013-3-30 00:54 - eurwalt - 金融学（理论版）

JPMorgan 1996 RiskMetrics
1 个回复 - 1819 次查看吐槽下，大一小本搬砖，信用风险这块真心捉急。花积分下了JPMorgan 经典大作，放上来分享，同时抛砖引玉，关于商行信用风险管理这块求大神推荐一两本适合入门的书，感激不尽！2013-3-18 22:41 - 戏_._子 - 经济金融数学专区

【电子书】Return to RiskMetrics: The Evolution of a Standard
4 个回复 - 2372 次查看【电子书】Return to RiskMetrics: The Evolution of a Standard2011-1-7 12:54 - shihuan - 金融工程（数量金融）与金融衍生品

基于公司治理构建稳健投资组合 RiskMetrics (更新至2012）
0 个回复 - 1114 次查看公司治理研究必备数据(更新至2012年) RiskMetrics 公司治理指标+d董事会资料数据 http://bbs.pinggu.org/forum.php?mod=viewthread&tid=2142846&fromuid=17976082012-11-28 12:05 - shuhuanbao123 - 数据分析与数据挖掘

RiskMetrics Technical Document(J.P.Morgan)
9 个回复 - 7061 次查看 Fourth edition,1996,NEW YORK J.P.Morgan/Reuters 主要讲Value at Risk and RISKMETRICS方法 RiskMetrics Technical Document [此贴子已经被作者于2007-3-11 13:07:09编辑过]2007-3-11 00:58 - adun83 - 计量经济学与统计软件

求书：A Probability Metrics Approach to Financial Risk Measures
2 个回复 - 1215 次查看大家好，由于学习需求，求这本书，谢谢大家。书名： A Probability Metrics Approach to Financial Risk Measures作者： Svetlozar T. Rachev,Stoyan V. Stoyanov,Frank J. Fabozzi2011-3-31 21:16 - pangyatou - 金融学（理论版）

Riskmetrics - Risk Management
1 个回复 - 2414 次查看这是一本很好的关于risk matrix的书。为了买study manual 只好筹点钱2007-8-16 22:45 - netfog - CFA、CVA、FRM等金融考证论坛

Econometric Analysis of Individual Risk
1 个回复 - 2517 次查看 Please have a look of the content of the book first as below,2006-6-16 00:25 - milesgao1 - 计量经济学与统计软件

求书:"Riskmetrics technical document"
6 个回复 - 3453 次查看哪位学者有书:"Riskmetrics technical document"?贡献一下好吗?谢谢!2010-9-1 15:27 - yangxin789 - 求助成功区

Nonparametric Estimation of the Risk-Neutral Process
0 个回复 - 813 次查看风险中性过程下的非参数估计的相关文献2011-6-28 17:50 - 邵伟学经济 - Forum

Non-parametric Future Looking Value-at-Risk
0 个回复 - 1279 次查看 Non-parametric Future Looking Value-at-Risk2011-3-15 01:09 - cop207 - Forum

J.P.Morgan 《RiskMetrics》英文版
6 个回复 - 3295 次查看 [ 本帖最后由 chaoweish 于 2011-11-9 22:38 编辑 ] 本帖最后由 chaoweish 于 2010-1-15 19:46 编辑一个风险度量方法，可以说是VaR的源起吧，这个是Technical Document 有年头了，便宜卖啦2010-1-15 19:36 - chaoweish - 金融学（理论版）

RiskMetrics 方法论
4 个回复 - 3811 次查看 RiskMetrics公司VAR计算的方法论2010-3-5 11:07 - qunchangli - 金融学（理论版）

risk metrics材料的汇总（7篇）
5 个回复 - 2342 次查看内容如下risk metricsrisk Gradesrisk managementlong runcredit gradingcredit metricscorporate metrics Risk metrics的材料，有些比较厚，感觉能够当书看了。当初念研究生时老师提到过她和Risk metric在一些问题上 ...2010-5-21 17:05 - alex.wh - 金融学（理论版）

Risk metrics：technical document
0 个回复 - 2496 次查看 This Technical Document provides a detailed description of RiskMetrics Ô , a set of techniques and data to measure market risks in portfolios of fixed income instruments, equities, foreig ...2010-6-28 23:26 - hujie0423 - 金融学（理论版）

Econometrics and Risk Management
3 个回复 - 1275 次查看 Econometrics and Risk Management (Advances in Econometrics) (Hardcover)~ Jean-Pierre Fouque (Author, Editor), Thomas B. Fomby (Editor), Knut Solna (Editor) Editorial ReviewsProduct Descr ...2010-3-18 22:18 - martinnyj - 金融学（理论版）

Role of risk metrics [foundation]
0 个回复 - 1414 次查看 Role of risk metrics [foundation] by suzanne ShareThis AIM: Explain the role of risk metrics and discuss the shortcomings of existing risk metrics. Shortcomings of existing risk metrics include: ...2010-3-5 11:02 - 静湖宜陶 - CFA、CVA、FRM等金融考证论坛

Practitional Guide for Risk Metrics
0 个回复 - 2270 次查看 Practitional Guide for Risk Metrics enjoy2009-8-10 01:02 - dreamuc - 经济金融数学专区

[求助]advances in econometrics VOL22 Econometrics and Risk Management
0 个回复 - 1370 次查看哪位有这个麻烦分享一下，可以交换资料，也可以支付论坛币，谢谢！Volume 22, Pages 1-291 (2008) ...2009-3-20 14:25 - waterup - 计量经济学与统计软件

难题求助（RiskMetrics model）
2 个回复 - 3435 次查看 Are foreign exchange volatilities (standard deviations) constant over time?Assume RiskMetrics' model with 0.97 and 0.03 weights on the previous month's variance and squared spot rate change, respectiv ...2007-9-10 03:14 - flowermusic - 金融学（理论版）

RiskMetrics monthly research-Feb. 2007
2 个回复 - 1788 次查看 [此贴子已经被作者于2007-2-13 12:02:59编辑过]2007-2-13 11:49 - deeplake - CFA、CVA、FRM等金融考证论坛

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