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econ.GN2020
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…
econ.GN2020
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…
econ.GN2020
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…