金融计量经济学
52 种方法属于此方法族。
精选
Altman Z-Score：预测公司破产The 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：识别盈余操纵The 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布莱克-利特曼投资组合模型The 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 期权定价模型The 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奖惩系统A 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骆驼评级体系The 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,
阅读路径
本主题被引用最多的基础方法，按其提出的先后顺序排列——若您初次接触，不妨从这里开始。
全部方法 52
Altman Z-Score：预测公司破产Beneish M-Score：识别盈余操纵布莱克-利特曼投资组合模型Black-Scholes-Merton 期权定价模型奖惩系统骆驼评级体系资本资产定价模型 (CAPM)链梯法损失准备金评估（Mack模型）数元（Numeraire）的变换条件在险价值（预期缺口）条件价值评估法Copula CDO模型高斯、t、Clayton、Gumbel、Frank 联结模型可信度理论信用风险模型（Merton、KMV、CreditMetrics）信用评分（评分卡、WoE/IV）信用估值调整债务估值调整Diamond-Mortensen-Pissarides 搜寻匹配模型杜邦分析事件研究法（CAR 和 BHAR）极值理论 (EVT)多因子风险模型（Fama-French, APT）自动微分计算希腊值已实现波动率的HAR-RV模型享乐定价模型HJM框架Hull-White模型利率模型（Vasicek模型、CIR模型、Nelson-Siegel模型）默顿跳跃扩散模型Kelly CriterionLibor Market Model流动性风险模型（Amihud、Roll、LOT）局部波动率 (Dupire)损失分布模型高频数据与市场微观结构分析均值-方差投资组合优化（Markowitz）Merton违约模型世代交叠模型配对交易（统计套利）主成分风险因子Ramsey-Cass-Koopmans模型真实业务周期模型已实现波动率与HAR模型金融序列的马尔可夫状态转换模型风险均值（等风险贡献）投资组合模型无风险中性定价破产论Slutsky Equation尾部风险度量（预期短缺、谱系、期望分位数）旅行成本法VaR回测