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1Report
المؤلفون: Albanese, Claudio, Crépey, Stéphane, Iabichino, Stefano
المساهمون: UFR Mathématiques Sciences - Université Paris Cité (UFR Mathématiques UPCité), Université Paris Cité (UPCité)
المصدر: https://hal.science/hal-03910136 ; 2022.
مصطلحات موضوعية: quantitative reverse stress testing cost of capital (KVA) model validation model risk trading limits PFE JEL Classification: D81 G13 G28 G32 Mathematics Subject Classification: 91B30 91G20 91G30 91G40, quantitative reverse stress testing, cost of capital (KVA), model validation, model risk, trading limits, PFE, [QFIN.CP]Quantitative Finance [q-fin]/Computational Finance [q-fin.CP], [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM]
Relation: hal-03910136; https://hal.science/hal-03910136; https://hal.science/hal-03910136/document; https://hal.science/hal-03910136/file/RST.pdf
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2Academic Journal
المؤلفون: Albanese, Claudio, Armenti, Yannick, Crépey, Stéphane
المساهمون: UFR Mathématiques et informatique Sciences - Université Paris Cité, Université Paris Cité (UPCité), Laboratoire de Probabilités, Statistique et Modélisation (LPSM (UMR_8001)), Sorbonne Université (SU)-Centre National de la Recherche Scientifique (CNRS)-Université Paris Cité (UPCité)
المصدر: EISSN: 2196-7040 ; Statistics & Risk Modeling with Applications in Finance and Insurance ; https://hal.science/hal-03910114 ; Statistics & Risk Modeling with Applications in Finance and Insurance, 2020
مصطلحات موضوعية: Central counterparty (CCP) initial margin default fund cost of funding initial margin (MVA) cost of capital (KVA) Mathematics Subject Classification: 60G44 91B25 91B26 91B30 91B70 91B74 91G20 91G40 91G60 91G80 JEL Classification: G13 G14 G28 G33 M41, Central counterparty (CCP), initial margin, default fund, cost of funding initial margin (MVA), cost of capital (KVA), [QFIN]Quantitative Finance [q-fin]
Relation: hal-03910114; https://hal.science/hal-03910114; https://hal.science/hal-03910114/document; https://hal.science/hal-03910114/file/CCP-NEW.pdf
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3
المؤلفون: Claudio Albanese, Stéphane Crépey, Stefano Iabichino
المساهمون: Crépey, Stéphane
مصطلحات موضوعية: model validation, PFE, model risk, [QFIN.CP] Quantitative Finance [q-fin]/Computational Finance [q-fin.CP], [QFIN.RM] Quantitative Finance [q-fin]/Risk Management [q-fin.RM], cost of capital (KVA), General Economics, Econometrics and Finance, quantitative reverse stress testing, trading limits, Finance, quantitative reverse stress testing cost of capital (KVA) model validation model risk trading limits PFE JEL Classification: D81 G13 G28 G32 Mathematics Subject Classification: 91B30 91G20 91G30 91G40
وصف الملف: application/pdf
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4Report
المؤلفون: Armenti, Yannick, Crépey, Stéphane, Zhou, Chao
المساهمون: Laboratoire de Mathématiques et Modélisation d'Evry (LaMME), Institut National de la Recherche Agronomique (INRA)-Ecole Nationale Supérieure d'Informatique pour l'Industrie et l'Entreprise (ENSIIE)-Université d'Évry-Val-d'Essonne (UEVE)-Centre National de la Recherche Scientifique (CNRS), Department of Mathematics Singapore, National University of Singapore (NUS)
المصدر: https://hal.science/hal-01764397 ; 2018.
مصطلحات موضوعية: Market incompleteness, cost of capital (KVA), cost of funding (FVA), model risk, volatility uncertainty, optimal martingale transport, [QFIN.CP]Quantitative Finance [q-fin]/Computational Finance [q-fin.CP]
Relation: hal-01764397; https://hal.science/hal-01764397; https://hal.science/hal-01764397/document; https://hal.science/hal-01764397/file/bsfbsde.pdf
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5
المؤلفون: Claudio Albanese, Stéphane Crépey, Simone Caenazzo
المصدر: Probability, Uncertainty and Quantitative Risk, Vol 2, Iss 1, Pp 1-26 (2017)
مصطلحات موضوعية: Economic capital, Risk-adjusted return on capital, Monetary economics, 01 natural sciences, lcsh:QA75.5-76.95, Credit valuation adjustment (CVA), 010104 statistics & probability, 0502 economics and business, Cost of funding initial margin (MVA), 0101 mathematics, Return on capital, Valuation (finance), Finance, 050208 finance, Counterparty risk, business.industry, 05 social sciences, Cost of capital (KVA), Capital adequacy ratio, Cost of capital, lcsh:Electronic computers. Computer science, Business, lcsh:Probabilities. Mathematical statistics, Credit valuation adjustment, lcsh:QA273-280, Cost of funding variation margin (FVA), Credit risk
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6
المؤلفون: Stéphane Crépey, Chao Zhou, Yannick Armenti
المساهمون: Laboratoire de Mathématiques et Modélisation d'Evry (LaMME), Institut National de la Recherche Agronomique (INRA)-Université d'Évry-Val-d'Essonne (UEVE)-ENSIIE-Centre National de la Recherche Scientifique (CNRS), Department of Mathematics [Singapore], National University of Singapore (NUS), ENSIIE-Université d'Évry-Val-d'Essonne (UEVE)-Institut National de la Recherche Agronomique (INRA)-Centre National de la Recherche Scientifique (CNRS), Crépey, Stéphane
المصدر: Springer Proceedings in Mathematics & Statistics ISBN: 9783319665344
مصطلحات موضوعية: cost of funding (FVA), 050208 finance, Financial economics, [QFIN.CP] Quantitative Finance [q-fin]/Computational Finance [q-fin.CP], 05 social sciences, cost of capital (KVA), volatility uncertainty, Black–Scholes model, Market incompleteness, [QFIN.CP]Quantitative Finance [q-fin]/Computational Finance [q-fin.CP], 01 natural sciences, optimal martingale transport, 010104 statistics & probability, Nonlinear system, model risk, Incomplete markets, 0502 economics and business, Financial crisis, Economics, Portfolio, Model risk, Imperfect, 0101 mathematics, Valuation (finance)
وصف الملف: application/pdf