9 citations · 10 across the 8 of their papers we have counts for
5 papers · 1 filter
Portfolio Risk Measurement Using a Mixture Simulation Approach
Seyed Mohammad Sina Seyfi, Azin Sharifi, Hamidreza Arian
Monte Carlo Approaches for calculating Value-at-Risk (VaR) are powerful tools widely used by financial risk managers across the globe. However, they are time consuming and sometime…
Forecasting Probability of Default for Consumer Loan Management with Gaussian Mixture Models
Hamidreza Arian, Seyed Mohammad Sina Seyfi, Azin Sharifi
Credit scoring is an essential tool used by global financial institutions and credit lenders for financial decision making. In this paper, we introduce a new method based on Gaussi…
Encoded Value-at-Risk: A Predictive Machine for Financial Risk Management
Hamidreza Arian, Mehrdad Moghimi, Ehsan Tabatabaei +1
Measuring risk is at the center of modern financial risk management. As the world economy is becoming more complex and standard modeling assumptions are violated, the advanced arti…
The Uncertain Shape of Grey Swans: Extreme Value Theory with Uncertain Threshold
Hamidreza Arian, Hossein Poorvasei, Azin Sharifi +1
Extreme Value Theory (EVT) is one of the most commonly used approaches in finance for measuring the downside risk of investment portfolios, especially during financial crises. In t…
A Novel Classification Approach for Credit Scoring based on Gaussian Mixture Models
Hamidreza Arian, Seyed Mohammad Sina Seyfi, Azin Sharifi
Credit scoring is a rapidly expanding analytical technique used by banks and other financial institutions. Academic studies on credit scoring provide a range of classification tech…