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Capital flows and the risk-taking channel of monetary policy
Bank leverage monetary policy capital fl ows risk-taking channel
2014/3/18
We study the dynamics linking monetary policy with bank leverage and show that adjustments
in leverage act as the linchpin in the monetary transmission mechanism that works through fluctuations...
Default Risk Modeling Beyond the First-Passage Approximation: Extended Black-Cox Model
Default Risk Modeling the First-Passage Approximation Extended Black-Cox Model
2010/10/18
We develop a generalization of the Black-Cox structural model of default risk. The extended model captures uncertainty related to firm's ability to avoid default even if company's liabilities momentar...
Monitoring dates of maximal risk
Convex RiskMeasures Monitoring Stopping times Time-consistency Upper Snell envelope
2010/10/29
Monitoring means to observe a system for any changes which may occur over time, using a monitor or measuring device of some sort. In this paper we formulate a problem of monitoring dates of maximal ri...