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Can Analysts Assess Fundamental Risk and Valuation Uncertainty?An Empirical Analysis of Scenario-Based Value Estimates
Analyst Forecasts Scenarios Uncertainty Risk and Uncertainty Valuation
2015/4/27
We use a dataset of sell-side analysts' scenario-based valuation estimates to examine whether analysts reliably assess the risk surrounding a firm's fundamenatal value. We find that the spread in anal...
Estimation of Operational Risk Capital Charge under Parameter Uncertainty
quantitative risk management operational risk loss distribution approach
2010/10/29
Many banks adopt the Loss Distribution Approach to quantify the operational risk capital
charge under Basel II requirements. It is common practice to estimate the capital charge
using the 0.999 quan...