Search results
Results from the WOW.Com Content Network
In many applications, objective functions, including loss functions as a particular case, are determined by the problem formulation. In other situations, the decision maker’s preference must be elicited and represented by a scalar-valued function (called also utility function) in a form suitable for optimization — the problem that Ragnar Frisch has highlighted in his Nobel Prize lecture. [4]
Business mathematics comprises mathematics credits taken at an undergraduate level by business students.The course [3] is often organized around the various business sub-disciplines, including the above applications, and usually includes a separate module on interest calculations; the mathematics itself comprises mainly algebraic techniques. [1]
Expected loss is the sum of the values of all possible losses, each multiplied by the probability of that loss occurring. In bank lending (homes, autos, credit cards, commercial lending, etc.) the expected loss on a loan varies over time for a number of reasons. Most loans are repaid over time and therefore have a declining outstanding amount ...
Asset prices are also modeled using optimization theory, though the underlying mathematics relies on optimizing stochastic processes rather than on static optimization. International trade theory also uses optimization to explain trade patterns between nations. The optimization of portfolios is an example of multi-objective optimization in ...
The result is a monetary value in the same unit as the single-loss expectancy is expressed (euros, dollars, yens, etc.): exposure factor is the subjective, potential percentage of loss to a specific asset if a specific threat is realized. The exposure factor is a subjective value that the person assessing risk must define.
The 5% Value at Risk of a hypothetical profit-and-loss probability density function. Value at risk (VaR) is a measure of the risk of loss of investment/capital.It estimates how much a set of investments might lose (with a given probability), given normal market conditions, in a set time period such as a day.
Get AOL Mail for FREE! Manage your email like never before with travel, photo & document views. Personalize your inbox with themes & tabs. You've Got Mail!
In financial mathematics, tail value at risk (TVaR), also known as tail conditional expectation (TCE) or conditional tail expectation (CTE), is a risk measure associated with the more general value at risk. It quantifies the expected value of the loss given that an event outside a given probability level has occurred.