21 Heng Mui Keng Terrace
Risk Management Institute, NUS
in Total Papers Downloads
in Total Papers Citations
Contingent claims, high peak, heavy tails, interest rate models, rational expectation, overreaction and underreaction
cumulative prospect theory, portfolio selection, hedge funds, managerial incentive, first-loss scheme
Markov chains, Large order execution, Electricity trading/production, Partitioning, Quadratic stochastic programming
biotechnology and internet stocks, asset pricing, birth-death process, convergence rate, power-type distribution, regression.
financial regulation, capital requirements, risk measure, scenario analysis, robustness, value-at-risk, expected shortfall, tail conditional expectation
comonotonic independence, Choquet integral, elicitability, robustness, model uncertainty, value-at-risk, median shortfall, backtest
EM algorithm, stochastic control, recursive model, dynamic programming, monopoly pricing, real business cycle, numerical methods, stochastic approximation
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