Zobrazeno 1 - 10
of 185
pro vyhledávání: '"Giribone, P."'
Publikováno v:
Risk Management Magazine, Vol 19, Iss 1, Pp 26-49 (2024)
This study explores an innovative approach to portfolio optimization, bridging traditional Modern Portfolio Theory (MPT) with advanced Machine Learning techniques. We start by recognizing the significance of Markowitz's model in MPT and quickly proce
Externí odkaz:
https://doaj.org/article/b1e4a1ca608b40719e5f7788b5301042
Publikováno v:
Risk Management Magazine, Vol 18, Iss 3, Pp 16-35 (2023)
The correct modeling of the interest rates term structure should definitely be considered an aspect of primary importance since the forward rates and the discount factors used in any financial and risk analysis are calculated from such structure. The
Externí odkaz:
https://doaj.org/article/e4ff8c594cbd4fc58c795bf8cabcaaa2
Publikováno v:
Risk Management Magazine, Vol 18, Iss 2, Pp 13-26 (2023)
The Heston model is one of the most used techniques for estimating the fair value and the risk measures associated with investment certificates. Typically, the pricing engine implements a significant number of projections of the underlying until matu
Externí odkaz:
https://doaj.org/article/50b5f5e31a4241ecbb68a83745750a58
Publikováno v:
Electrochem, Vol 4, Iss 2, Pp 239-254 (2023)
This paper focuses on an industrial application where renewable power produced by photovoltaic panels is exploited to feed a pneumatic transport plant. The proposed system requires the careful management of the energy flows involved since it includes
Externí odkaz:
https://doaj.org/article/459a4df7bdec436888fd10d6de7bef99
Publikováno v:
Risk Management Magazine, Vol 18, Iss 1, Pp 19-42 (2023)
Certificates are structured financial instruments that aim to provide investors with investment solutions tailored to their needs. Certificates can be modeled using a bond component and a derivative component, typically an options strategy. The pric
Externí odkaz:
https://doaj.org/article/0ecaacfd0c214309bf4a5879a4cdd194
Publikováno v:
Brazilian Journal of Empirical Legal Studies, Vol 9, Pp 1-24 (2023)
O objetivo dessa pesquisa é apresentar um panorama em relação as mortes sob custódia prisional a partir de uma triangulação no Brasil: análise de acórdãos que julgaram pedidos de indenização das famílias de detentos que vieram a óbito no
Externí odkaz:
https://doaj.org/article/e6d80c36172c4b08afebdb31052f5d79
Publikováno v:
Risk Management Magazine, Vol 17, Iss 3, Pp 25-41 (2022)
This work aims to investigate the main problems that impact the pricing models and the sensitivity measures of American options written on shares without a pay-out, in the presence of negative interest rates with a specific focus on the Monte Carlo m
Externí odkaz:
https://doaj.org/article/23ced254478a437da976157684114d86
Publikováno v:
Risk Management Magazine, Vol 17, Iss 2, Pp 42-61 (2022)
The estimate of the probability of default plays a central role for any financial entity that wants to have an overview of the risks of insolvency it may incur by having economic relations with counterparties. This study aims to analyze the calculati
Externí odkaz:
https://doaj.org/article/a92d2cc176464bddabd7e951d9421b50
Publikováno v:
Risk Management Magazine, Vol 16, Iss 3, Pp 54-69 (2021)
An Inflation-Indexed Swap (IIS) is a derivative in which, at every payment date, the counterparties swap an inflation rate with a fixed rate. For the calculation of the Inflation Leg cash flows it is necessary to build a mathematical model suitable f
Externí odkaz:
https://doaj.org/article/39f5ef5115dc4adf847ff0ad98e68017
Publikováno v:
Risk Management Magazine, Vol 15, Iss 1, Pp 50-69 (2021)
The purpose of this article is to explain how a technology based on dynamic neural networks is used for prices forecasting in order to calculate risk measures, such as the Expected Shortfall (CVar). The paper is focused on US market and is divided i
Externí odkaz:
https://doaj.org/article/81ee63178a324fb5a906c11eabfee560