Finansiel økonometri
52 metoder i denne familie.
Udvalgte
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 througBeneish 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 financiBlack-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 invBlack-Scholes-Merton-modellen til prisfastsættelse af optionerThe Black-Scholes-Merton model, published by Fischer Black and Myron Scholes in 1973 with the theoretical framework extended by Robert Merton, gives a closed-form no-arbitrage pricBonus-Malus-systemA Bonus-Malus System (BMS) is an actuarial experience-rating mechanism used primarily in automobile insurance to adjust individual policyholders' premiums based on their personal cCAMELS-vurderingssystemetThe CAMELS Rating System is a supervisory framework used by US bank regulators to evaluate the overall condition of financial institutions across six dimensions: Capital Adequacy,
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Alle metoder 52
Altman Z-Score: Forudsigelse af virksomhedsinsolvensBeneish M-Score: Detektering af resultatmanipulationBlack-Litterman PorteføljemodelBlack-Scholes-Merton-modellen til prisfastsættelse af optionerBonus-Malus-systemCAMELS-vurderingssystemetCapital Asset Pricing Model (CAPM)Kæde-stige tabsafsættelse (Mack-modellen)Numeraire-skifteBetinget Value-at-Risk (Forventet Underskud)Kontingent VurderingsmetodeCopula CDO-modelKopulamodeller (Gaussisk, t, Clayton, Gumbel, Frank)KredibilitetsteoriKreditrisikomodeller (Merton, KMV, CreditMetrics)Kreditvurdering (Scorecards, WoE/IV)Credit Valuation AdjustmentDebit 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)Merton Jump-Diffusion ModelKelly KriterietLibor Market ModelLikviditetsrisikomodeller (Amihud, Roll, LOT)Lokal volatilitet (Dupire)Loss Distribution ModelHøjfrekvensdata 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 VærdiansættelseRuinteoriSlutsky-ligningenHalrisikomål (Expected Shortfall, Spektrale, Expektil)RejseomkostningsmetodenValue-at-Risk (VaR) Backtesting