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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)...
The credit risk measurement of the Small and Medium Enterprises (SMEs) is a big problem in resolving their financing difficulties. In this paper, by improving the precision of parameters, we use the improved KMV model to identify the credit risk of listed SMEs in China. The model effectiveness test indicates that the KMV model after adjusting parameters is sensitive to the changes of credit risk,...
Based on the noise trading theory, proposed modifier DVI formula, development CAPM and BAPM, to carry on a empirical study to Chinese stock market noise trading risk premium. Arrive at following conclusions, the behavioral portfolio yield show significant peak skewed distribution, China stock market exist remarkable noise trader risk and risk premium, between noise trader risk and risk premium has...
Banks and investment funds are increasingly basing their competitiveness on the quality of their quantitative technology, including programming techniques, analytical methods, and applications such as financial forecasting, option pricing, and risk management, which are all essential elements of the field of computational finance.
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