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When we consider risk as a type of financial asset, and accordingly transform the measurement of risk into the pricing of asset (i.e. risk), a series of assets pricing methods in financial economics can be applied. Furthermore, Equilibrium Pricing Principle has proved the rationality and feasibility of this consideration, and points out that traditional risk measurement method, VaR (Value at Risk)...
This paper reviews the literature on the risk allocation mechanism on PPP project financing. Based on this, a risk allocation program model involving a risk allocation utility model and a bargain game model is made. The first model called risk allocation utility model is applicable to identify what risks are allocated by both public sector and private sector, while the second model called risk allocation...
Electricity is the basic industry of the national economy. The effective financial evaluation on thermoelectricity enterprises is an important mean and basic work to improve operation and circumvent risks. the financial evaluation of thermoelectricity project investment refers to an assessment process, which is the investment institution conducts a comprehensive analysis and evaluation on financial...
In this paper, we studied the two most commonly used artificial intelligence methods (Multilayer Perceptron and Radial Basis Function network) to build the credit scoring model of applications, and analyzed the most important restraining factors of the applications of neural network which is the exponential increase in the variables bringing the model over-complex. On this basis, the author combines...
The real estate portfolio is a dynamic process and an effective way to spread risk. The article analyses the risk of real estate portfolio using VaR method, and on the basis of this, establishes an optimization model for real estate portfolio under VaR constraint, in addition, arrives its efficient frontier and optimal strategy. Finally, through a case of real estate portfolio, the paper also discusses...
For portfolio value-at-risk analysis, a novel approach is proposed based on Independent Component Analysis (ICA) and Mixture Density Network (MDN). Specifically, the original data is first transformed into separate signals which are independent from each other through ICA. Then using MDN their conditional density functions are fitted, from which the joint distribution function of the multivariate...
The simulation model of corporate waste recycling capacity and income was established by system dynamics approach and the results showed the recycling capacity and income were increased in long-term. On the condition of changing systemic parameters, the simulation results showed governmental subsidy has a littlie effect on recycling capacity and income, while market risk has a great effect on recycling...
This paper presents a modified model for Chinese credit risk management. The model is based on KMV model with consideration of Generalized Autoregressive Conditional Heteroskedasticit (GARCH). Data used in this research are from the balance sheet and the Chinese stock market. T-tests and ROC curves are employed to analyze the data, examining the model. It is shown that the model can be applied to...
Credit Risk Identification in small and medium enterprises(SMEs) is a real problem which is necessary to be solved in financial sector. Focusing on 32 small and medium enterprises which had bank loan, dimension of six indicators used to judge whether enterprises had credit risk was reduced to simplify model by adopting the factor analysis method. Then small sample data was trained and simulated in...
Financial institutions are affected by various risk factors. With the wide spreading subprime crisis, more and more people are paying attention to risk management. In order to enhance the mechanism, techniques and skills of risk management, this paper firstly describes the traditional models of risk management, then presents an integrated risk management model, which consists of three stages as risk...
In this paper, by Logit regression technology, we construct a model for recognizing and warning credit risk based on financial and non-financial ratios. The testpsilas results show that the accuracy of the model is up to 86.6%. Obversely, it can offer enterprise some supports for recognizing and warning credit risk in credit sale.
Financial crisis early warning analysis is important for enterprises, commercial banks and various investors. The aim of my study was to determine if the Logistic multi-regression model enhances the efficiency veracity of financial crisis early warning. In this thesis, the author choose 63 A stock companies, which are marked ST companies because of abnormal financial standing in Shanghai and Shenzhen...
CHP (combined heat and power) corporates not only can economize energy source, but also can integrate the benefits of increasing the quality of heating supply. So CHP developed rapidly after reformation in China, especially after promulgating the Law of the People's Republic of China on conserving energy. However analysis and pre-warning about the financial risks of CHP is not found in present literature...
Information security risk management is the crucial protection for the financial institute's operation and development. As the key step of information security risk, risk quantification will determine the resource allocation between various security measures. This article quantifies the risk from the angle of view of financial risk and refers to the mature quantitative models and methods. This approach...
The financial risk is the representation of enterprise operating risk in the finance activity, is the feasibility which the result of finance activity deviate to the prospective result. It is an important thing is to know how much financial risks the enterprise can bear, without turn financial risks into financial crisis. So, how to recognize and evaluate financial risks become the most significant...
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