搜索结果: 1-7 共查到“经济学 parameter”相关记录7条 . 查询时间(0.186 秒)
Robust parameter design for the optimisation of cutting conditions according to energy efficiency criteria
energy efficiency optimization sustainable development Taguchi design
2017/2/21
An important objective in process design in the wood-processing industry is to make the system robust – or insensitive – to sources of variability that cannot be entirely controlled once the system is...
Methods of Efficient Parameter Estimation in Control Problems
Efficient Parameter Estimation Control Problems
2015/8/5
Methods of Efficient Parameter Estimation in Control Problems.
CREDIT RISK AND INCOMPLETE INFORMATION:: FILTERING AND EM PARAMETER ESTIMATION
contagion Default risk EM algorithm extended Kalman filter factor models partial information
2011/9/2
We consider a reduced-form credit risk model where default intensities and interest rate are functions of a not fully observable Markovian factor process, thereby introducing an information-driven def...
Macrostate Parameter, an Econophysics Approach for the Risk Analysis of the Stock Exchange Market Transactions
econophysics stock-exchange markets financial risk informatinal fascicle
2010/11/1
In this paper we attempt to introduce an econophysics approach to evaluate some aspects of
the risks in financial markets. For this purpose, the thermodynamical methods and
statistical physics resul...
LGD credit risk model: estimation of capital with parameter uncertainty using MCMC
LGD credit risk model capital parameter MCMC
2010/12/13
This paper investigates the impact of parameter uncertainty on capital estimate in the well-known extended Loss Given Default (LGD) model with systematic dependence between default and recovery. We de...
Estimation of Operational Risk Capital Charge under Parameter Uncertainty
quantitative risk management operational risk loss distribution approach
2010/10/29
Many banks adopt the Loss Distribution Approach to quantify the operational risk capital
charge under Basel II requirements. It is common practice to estimate the capital charge
using the 0.999 quan...
Addressing the Impact of Data Truncation and Parameter Uncertainty on Operational Risk Estimates
operational risk truncated data Poisson-Lognormal compound distribution loss distribution approach
2010/11/1
Typically, operational risk losses are reported above some threshold. This paper studies the
impact of ignoring data truncation on the 0.999 quantile of the annual loss distribution for
operational ...