並列摘要
We examine the state-of-the-art of modeling financial risks and propose a data-driven construction of risk measures. We take one form of coarse data in economics to suggest such an approach. The observed data are modeled probabilistically as random sets whose distribution functions are Choquet capacities giving rise to risk measures as Choquet integrals, a plausible class of coherent risk measures.
並列關鍵字
無資料參考文獻
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延伸閱讀
- 曾惠卿（2021）。Risk attitude and Investment Behavioral Bias〔碩士論文，淡江大學〕。華藝線上圖書館。https://www.airitilibrary.com/Article/Detail?DocID=U0002-2806202119221000
- 林俊宇（2009）。A Study of Value at Risk Models〔碩士論文，國立清華大學〕。華藝線上圖書館。https://www.airitilibrary.com/Article/Detail?DocID=U0016-1111200916011198
- Pervan, I. (2016). Are Risk Index Models Useful for Firm Failure Prediction?. Journal of Financial Studies & Research, 2016(), b1-12. https://doi.org/10.5171/2016.751408
- 鄭凱文（2009）。A Study on Building the Discriminate Model of Account Risk Managementabout Investor in Security Market〔碩士論文，中原大學〕。華藝線上圖書館。https://doi.org/10.6840/cycu200901210
- Hsieh, Y. T. (2010). Modeling Credit Risk in a Reduced Form Model [master's thesis, National Taiwan University]. Airiti Library. https://doi.org/10.6342/NTU.2010.01566