Some approaches to financial risk assessment

DOI10.1007/S10559-010-9225-YzbMath1288.91188OpenAlexW2155792138MaRDI QIDQ2452832

L. B. Vovk, A. P. Knopov, T. V. Pepelyaeva

Publication date: 5 June 2014

Published in: Cybernetics and Systems Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10559-010-9225-y

zbMATH Keywords

stochastic optimizationstochastic programmingcredit riskrisk managementrisk assessmentrisk function

Mathematics Subject Classification ID

Stochastic programming (90C15) Credit risk (91G40)

Cites Work

• Unnamed Item
• Convex structure of the constrained least square problem for estimating the forward rate sequence
• Asymptotic properties of some classes of \(M\)-estimates
• Properties of empirical estimates in stochastic optimization and identification problems
• On the measurability and consistency of minimum contrast estimates
• Asymptotic Properties of Non-Linear Least Squares Estimators

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