Pod vodarenskou vezi 4
CZ-18208 Praha 8
Institute of Information Theory and Automation, Prague
tail exponents, estimation, price return
continuous double auction, limit order markets, distribution, simulation, statistical inference, price increment tails
risk management, loan portfolio, dynamic model
credit risk, probability of default, loss given default, credit loss, credit loss distribution, Basel II
Stochastic programming, Risk management, Mean-risk modeling, Emission trading, EUA, EU ETS
Credit Risk, Mortgage, Delinquency Rate, Generalized Hyperbolic Distribution, Normal Distribution
credit risk, mortgage, loan portfolio, dynamic model, estimation
market maker, optimal decision, price and inventory, high frequency data, dynamic model
credit risk, loan portfolio, dynamic model, PD, LGD, overall loss
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