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Simultaneous determination of market value and risk premium in the valuation of firms
firm valuation DCF CAPM risk premium transfer pricing
2014/6/24
Valuing a firm using the discounted cash flow method (DCF) requires the joint determination of the market value of its equity (MVE) together with the equity risk premium (ERP) the firm should earn, si...
Multivariate heavy-tailed models for Value-at-Risk estimation
Multivariate heavy-tailed models Value-at-Risk estimation
2010/10/20
For purposes of Value-at-Risk estimation, we consider three multivariate families of heavy-tailed distributions, which can be seen as multidimensional versions of Paretian stable and Student's t distr...