Computational Methods for Risk Management in Economics and Finance

Resta, Marina

doi:10.3390/books978-3-03928-499-3

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https://mdpi.com/books/pdfview/book/2159

Author(s)

Resta, Marina

Language

English

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Abstract

At present, computational methods have received considerable attention in economics and finance as an alternative to conventional analytical and numerical paradigms. This Special Issue brings together both theoretical and application-oriented contributions, with a focus on the use of computational techniques in finance and economics. Examined topics span on issues at the center of the literature debate, with an eye not only on technical and theoretical aspects but also very practical cases.

URI

https://directory.doabooks.org/handle/20.500.12854/43705

Keywords

growth optimal portfolio; Wishart model; conditional Value-at-Risk (CoVaR); systemic risk; utility functions; current drawdown; risk measure; risk-based portfolios; capital market pricing model; systemic risk measures; Big Data; International Financial Reporting Standard 9; cartography; stock prices; copula models; CoVaR; quantitative risk management; auto-regressive; fractional Kelly allocation; independence assumption; deep learning; structural models; financial regulation; data science; efficient frontier; weighted logistic regression; estimation error; financial markets; capital allocation; multi-step ahead forecasts; target matrix; value at risk; random matrices; credit risk; portfolio theory; convex programming; admissible convex risk measures; non-stationarity; financial mathematics; quantile regression; Markowitz portfolio theory; shrinkage; loss given default; ordered probit