İstatistik
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Altman Z-Score: Forudsigelse af virksomhedsinsolvensThe Altman Z-Score is a linear discriminant model developed by Edward I. Altman in 1968 to predict corporate bankruptcy using five accounting-based financial ratios. Derived througAnalytiske procedurer i revisionAnalytical procedures are evaluations of financial information made by studying plausible relationships among both financial and non-financial data. Rather than testing individual Bates-modellenThe Bates model (1996) combines stochastic volatility and jump diffusion to capture both the volatility smile and the implied volatility skew observed in equity and currency optionBeneish M-Score: Detektering af resultatmanipulationThe Beneish M-Score is a statistical model developed by Messod Beneish in 1999 to identify whether a company has manipulated its reported earnings. The model combines eight financiBinomial optionsprissætning (Cox-Ross-Rubinstein)The binomial option pricing model, introduced by John Cox, Stephen Ross, and Mark Rubinstein in 1979, prices options by modelling the underlying as a discrete tree in which the priBlack-Litterman PorteføljemodelThe Black-Litterman model, introduced by Fischer Black and Robert Litterman in 1992, is a Bayesian portfolio allocation framework that blends market-equilibrium returns with an inv
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Altman Z-Score: Forudsigelse af virksomhedsinsolvensAnalytiske procedurer i revisionBates-modellenBeneish M-Score: Detektering af resultatmanipulationBinomial optionsprissætning (Cox-Ross-Rubinstein)Black-Litterman PorteføljemodelBlack-Scholes-Merton-modellen til prisfastsættelse af optionerCAMELS-vurderingssystemetCapital Asset Pricing Model (CAPM)Numeraire-skifteBetinget Value-at-Risk (Forventet Underskud)Kontingent VurderingsmetodeCopula CDO-modelKopulamodeller (Gaussisk, t, Clayton, Gumbel, Frank)Kreditrisikomodeller (Merton, KMV, CreditMetrics)Kreditvurdering (Scorecards, WoE/IV)Credit Valuation AdjustmentDCC-GARCH (Dynamic Conditional Correlation)Debit Valuation AdjustmentDiamond-Mortensen-Pissarides' søge-matchningsmodelDuPont-analyseEvent Study (CAR og BHAR)Ekstremværditeori (EVT)Faktorrisikomodeller (Fama-French, APT)Beregning af græske bogstaver via automatisk differentiationHAR-RV-modellen for realiseret volatilitetHedonisk prismodelHJM-rammeværketHull-White-modellenRente-modeller (Vasicek, CIR, Nelson-Siegel)Johansens kointegrationstest og vektorfejlkorrektionsmodelMerton Jump-Diffusion ModelKalman FilterKelly KriterietLibor Market ModelLikviditetsrisikomodeller (Amihud, Roll, LOT)Lokal volatilitet (Dupire)Langhukommelsesmodeller (ARFIMA, FIGARCH)Højfrekvensdata og markedsmikrostrukturanalyseMiddel-varians porteføljeoptimering (Markowitz)Merton's standardmodel for konkursrisikoOverlappende GenerationsmodelParhandel (Statistisk Arbitrage)Principal Component RisikofaktorerRamsey-Cass-Koopmans ModellenReal Business Cycle ModelRealiseret volatilitet og HAR-modellenMarkov Regime-Switching Model for Financial SeriesRisikoparitet (Lige Risikobidrag) PorteføljemodelRisikoneutral VærdiansættelseSABR-modelSlutsky-ligningenStokastisk volatilitetsmodel (Heston)Halrisikomål (Expected Shortfall, Spektrale, Expektil)RejseomkostningsmetodenValue-at-Risk (VaR) Backtesting