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2次ガウス過程を用いた担保付貸出の解析的な損失分布のモーメント評価
http://hdl.handle.net/10787/2934
http://hdl.handle.net/10787/2934b6ed1cad-f337-4339-9b1e-9846c8d29b01
名前 / ファイル | ライセンス | アクション |
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Item type | 学術雑誌論文 / Journal Article(1) | |||||
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公開日 | 2013-08-29 | |||||
タイトル | ||||||
タイトル | 2次ガウス過程を用いた担保付貸出の解析的な損失分布のモーメント評価 | |||||
タイトル | ||||||
言語 | en | |||||
タイトル | Analytical Solution for the m-th Moment of a Collateralized Loan's Loss under a Quadratic Gaussian Default Intensity Process | |||||
言語 | ||||||
言語 | jpn | |||||
資源タイプ | ||||||
資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||
資源タイプ | journal article | |||||
著者 |
山下, 智志
× 山下, 智志× 吉羽, 要直× Yamashita, Satoshi× Yoshiba, Toshinao |
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内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 要旨あり | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 金融リスクの統計解析 | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 原著論文 | |||||
書誌情報 |
統計数理 en : Proceedings of the Institute of Statistical Mathematics 巻 59, 号 1, p. 141-157, 発行日 2011-06 |
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ISSN | ||||||
収録物識別子タイプ | ISSN | |||||
収録物識別子 | 0912-6112 | |||||
書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AN10043856 | |||||
権利 | ||||||
権利情報 | (C)The Institute of Statistical Mathematics | |||||
出版者 | ||||||
出版者 | 統計数理研究所 |