Financial econometrics

52 methods in this family.

Featured

Altman Z-ScoreThe 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 throug Beneish M-ScoreThe 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 financi Black-Litterman ModelThe 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 Black-Scholes ModelThe 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 pric Bonus-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 c CAMELS RatingThe 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,

All methods 52

Altman Z-Score Beneish M-Score Black-Litterman Model Black-Scholes Model Bonus-Malus System CAMELS Rating CAPM Chain-Ladder Reserving Change of Numeraire Conditional Value-at-Risk Contingent Valuation Copula CDO Model Copula Models Credibility Theory Credit Risk Models Credit Scoring Credit Valuation Adjustment Debit Valuation Adjustment Diamond-Mortensen-Pissarides Search-Matching DuPont Analysis Event Study Extreme Value Theory Factor Risk Model Greeks via Automatic Differentiation HAR-RV Model Hedonic Pricing HJM Framework Hull-White Model Interest Rate Models Jump-Diffusion Model Kelly Criterion Libor Market Model Liquidity Risk Models Local Volatility (Dupire)Loss Distribution Model Market Microstructure Analysis Mean-Variance Portfolio Optimization Merton Default Model Overlapping Generations Model Pairs Trading Principal Component Risk Factors Ramsey-Cass-Koopmans Model Real Business Cycle Model Realized Volatility Regime-Switching Model Risk Parity Portfolio Risk-Neutral Valuation Ruin Theory Slutsky Equation Tail Risk Measures Travel Cost Method VaR Backtesting

More in Time Series & Forecasting

Forecasting & evaluation 123 Unit root & cointegration 69 Econometric models 61 Volatility models 47 Multivariate time series 42 ARIMA & smoothing 31