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                Risk Management

                Authors and titles for recent submissions

                [ total of 7 entries: 1-7 ]
                [ showing up to 25 entries per page: fewer | more ]

                Fri, 22 May 2020

                [1]  arXiv:2005.10488 (cross-list from q-fin.TR) [pdf, other]
                Title: Does an artificial intelligence perform market manipulation with its own discretion? -- A genetic algorithm learns in an artificial market simulation
                Authors: Takanobu Mizuta
                Subjects: Trading and Market Microstructure (q-fin.TR); Computational Finance (q-fin.CP); Risk Management (q-fin.RM)

                Thu, 21 May 2020

                [2]  arXiv:2005.09974 [pdf, other]
                Title: Stochastic modeling of assets and liabilities with mortality risk
                Subjects: Risk Management (q-fin.RM); Econometrics (econ.EM); Optimization and Control (math.OC)

                Tue, 19 May 2020

                [3]  arXiv:2005.07967 [pdf, ps, other]
                Title: Parameter estimation of default portfolios using the Merton model and Phase transition
                Comments: 19 pages, 5 figures
                Subjects: Risk Management (q-fin.RM); Statistical Mechanics (cond-mat.stat-mech)
                [4]  arXiv:2005.08929 (cross-list from q-fin.GN) [pdf, other]
                Title: Disaster Resilience and Asset Prices
                Comments: 40 pages, 11 figures, 7 tables
                Subjects: General Finance (q-fin.GN); General Economics (econ.GN); Risk Management (q-fin.RM)

                Thu, 14 May 2020

                [5]  arXiv:2005.06015 (cross-list from q-fin.MF) [pdf, ps, other]
                Title: Quadratic Hedging for Sequential Claims with Random Weights in Discrete Time
                Authors: Jun Deng, Bin Zou
                Comments: 16 pages
                Subjects: Mathematical Finance (q-fin.MF); Portfolio Management (q-fin.PM); Pricing of Securities (q-fin.PR); Risk Management (q-fin.RM)

                Wed, 13 May 2020

                [6]  arXiv:2005.05428 [pdf, ps, other]
                Title: Value-at-Risk substitute for non-ruin capital is fallacious and redundant
                Comments: 21 pages, 12 figures, 1 table
                Subjects: Risk Management (q-fin.RM); Probability (math.PR)
                [7]  arXiv:2005.05364 [pdf, ps, other]
                Title: A Repo Model of Fire Sales with VWAP and LOB Pricing Mechanisms
                Comments: 30 pages
                Subjects: Risk Management (q-fin.RM); Mathematical Finance (q-fin.MF)
                [ total of 7 entries: 1-7 ]
                [ showing up to 25 entries per page: fewer | more ]