This paper presents a practical volatility estimation method for cash flow simulation based real option valuation with … changing volatility. During cash flow simulation, present value of the future cash flows and their corresponding cash flow … state variable values are recorded for all time periods. Then, for each time period, regression analysis is used for …

The purpose of this study is to assess model risk with respect to parameter estimation for a simple binary logistic … regression model applied as a predictive model. The assessment is done by comparing the effectiveness of eleven different … using several optimization methods to address parameter estimation risk for predictive models is substantial. This is the …

introduce the concept and theory of Gaussian Process Regression (GPR). Thereafter, we show the motivation and we also explain …One innovation defined in the new market risk rules by the Fundamental Review of the Trading Book (FRTB) is the Non …-Modellable Risk Factor (NMRF) framework. This new concept introduces a methodology to differentiate between modellable and non …