Ekonometrik kewangan
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Skor Z Altman: Meramal Kebankrapan KorporatThe 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: Mengesan Manipulasi PendapatanThe 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 financiModel Portfolio Black-LittermanThe 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 invModel Penilaian Opsyen Black-Scholes-MertonThe 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 pricSistem Bonus-MalusA Bonus-Malus System (BMS) is an actuarial experience-rating mechanism used primarily in automobile insurance to adjust individual policyholders' premiums based on their personal cSistem Penarafan CAMELSThe 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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Skor Z Altman: Meramal Kebankrapan KorporatBeneish M-Score: Mengesan Manipulasi PendapatanModel Portfolio Black-LittermanModel Penilaian Opsyen Black-Scholes-MertonSistem Bonus-MalusSistem Penarafan CAMELSModel Penentuan Harga Aset Modal (CAPM)Penyimpanan Liabiliti Rantaian Tangga (Model Mack)Perubahan NumeraireNilai-Risiko Bersyarat (Expected Shortfall)Kaedah Penilaian BersyaratModel CDO CopulaModel Copula (Gaussian, t, Clayton, Gumbel, Frank)Teori KebolehpercayaanModel Risiko Kredit (Merton, KMV, CreditMetrics)Pemarkahan Kredit (Kad Skor, WoE/IV)Penyesuaian Penilaian KreditPenyesuaian Nilai DebitModel Carian-Padanan Diamond-Mortensen-PissaridesAnalisis DuPontEvent Study (CAR dan BHAR)Teori Nilai Extrem (EVT)Model Risiko Berbilang Faktor (Fama-French, APT)Yunani melalui Pembezaan AutomatikModel HAR-RV bagi Volatiliti TerealisasiModel Harga HedonikRangka HJMModel Hull-WhiteModel Kadar Faedah (Vasicek, CIR, Nelson-Siegel)Model Lompatan-Peredaran MertonKriteria KellyModel Pasaran LIBORModel Risiko Kecairan (Amihud, Roll, LOT)Volatiliti Lokal (Dupire)Model Taburan KerugianAnalisis Mikrostruktur Pasaran dan Data Frekuensi TinggiPengoptimuman Portfolio Min-Varians Purata (Markowitz)Model Lalai MertonModel Generasi BertindihPerdagangan Berpasangan (Arbitraj Statistik)Faktor Risiko Komponen UtamaModel Ramsey-Cass-KoopmansModel Kitaran Ekonomi SebenarVolatiliti Sedia (Realized Volatility) dan Model HARModel Peralihan Rejim Markov untuk Siri KewanganModel Portfolio Parisium (Sumbangan Risiko Sama)Penilaian Bebas RisikoTeori KerugianPersamaan SlutskyUkuran Risiko Ekor (Jangkaan Kerugian Terkurang, Spektral, Ekspektil)Kaedah Kos PerjalananUjian Balik Nilai-dalam-Risiko (VaR)