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A dimension reduction approach for loss valuation in credit risk modeling 信用风险建模中损失估值的降维方法
International Journal of Financial Engineering Pub Date : 2023-12-29 DOI: 10.1142/s2424786323500585
Jian He, Asma Khedher, Peter Spreij
{"title":"A dimension reduction approach for loss valuation in credit risk modeling","authors":"Jian He, Asma Khedher, Peter Spreij","doi":"10.1142/s2424786323500585","DOIUrl":"https://doi.org/10.1142/s2424786323500585","url":null,"abstract":"This paper addresses the “curse of dimensionality” in the loss valuation of credit risk models. A dimension reduction methodology based on the Bayesian filter and smoother is proposed. This methodology is designed to achieve a fast and accurate loss valuation algorithm in credit risk modeling, but it can also be extended to valuation models of other risk types. The proposed methodology is generic, robust and can easily be implemented. Moreover, the accuracy of the proposed methodology in the estimation of expected loss and value-at-risk (VaR) is illustrated by numerical experiments. The results suggest that, compared to the currently most used Principal Component Analysis (PCA) approach, the proposed methodology provides more accurate estimation of expected loss and VaR of a loss distribution.","PeriodicalId":505765,"journal":{"name":"International Journal of Financial Engineering","volume":" 7","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-12-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139142259","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Decoding financial choices: Investigating factors influencing the investment dynamics of the working women 解码财务选择：调查影响职业女性投资动态的因素
International Journal of Financial Engineering Pub Date : 2023-12-29 DOI: 10.1142/s242478632350055x
K. Sushmitha, A. Jayabal
{"title":"Decoding financial choices: Investigating factors influencing the investment dynamics of the working women","authors":"K. Sushmitha, A. Jayabal","doi":"10.1142/s242478632350055x","DOIUrl":"https://doi.org/10.1142/s242478632350055x","url":null,"abstract":"The landscape of earnings has become commonplace with evolving social, cultural, personal, psychological, and environmental variables empowering women to earn on par with men. In response to the increasing economic factors, it has become imperative for women to invest, safeguarding against present and future uncertainties. This study aims to scrutinize, identify, and evaluate the investment behavior and decision-making processes of women investors. Traditionally, future investment decisions were exclusive to men, but in today’s world, women are gradually assuming this role. Recognizing the distinct financial habits of men and women, this study endeavors to explore the factors influencing the investment behavior of working women from their perspective. Data were gathered from 385 working women in Chennai City using the snowball sampling technique. The data were analyzed through exploratory factor analysis, and the investment behavior of working women was examined across five major dimensions: investment awareness, investment attributes, investment preference, investment decision, and investment satisfaction. The study findings indicate that sub-factors within each dimension significantly influence the investment behavior of working women.","PeriodicalId":505765,"journal":{"name":"International Journal of Financial Engineering","volume":" 34","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-12-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139145127","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Evaluating performance of SMEs using structure equation modeling 利用结构方程模型评估中小企业绩效
International Journal of Financial Engineering Pub Date : 2023-12-27 DOI: 10.1142/s2424786323500421
Sunil Kumar Das Bendi
{"title":"Evaluating performance of SMEs using structure equation modeling","authors":"Sunil Kumar Das Bendi","doi":"10.1142/s2424786323500421","DOIUrl":"https://doi.org/10.1142/s2424786323500421","url":null,"abstract":"Entrepreneurial skills enable people to develop new business ideas or improve existing ones. Entrepreneurship transcends firm ownership, private profit production, and the commercial exploitation of new markets, goods, or processes. The literature review demonstrates how competencies are linked with entrepreneur performance. The primary goal of this study was to evaluate the role of entrepreneurs’ competency in mediating the relationship between bank funding and Small and Medium Enterprisers (SMEs’) performance. A survey was conducted among 398 SMEs owner-managers were chosen at random. The direct and mediated effects of entrepreneurs’ competency were not significant in the Factor Analysis and Structural Equation Model. However, bank financing improves SMEs’ performance. A strong mediation influence of behavioral Finance on the connection between bank loans and SMEs performance was also found. The model’s competitive mediation pattern for bank loans and behavioral finance was non-mediation for bank loans and entrepreneurs’ skill.","PeriodicalId":505765,"journal":{"name":"International Journal of Financial Engineering","volume":"80 4","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-12-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139154349","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Future trends of cryptocurrency in India: A perception study 印度加密货币的未来趋势：认知研究
International Journal of Financial Engineering Pub Date : 2023-12-27 DOI: 10.1142/s2424786323500500
Kishore Kumar Das, Tania Guharay
{"title":"Future trends of cryptocurrency in India: A perception study","authors":"Kishore Kumar Das, Tania Guharay","doi":"10.1142/s2424786323500500","DOIUrl":"https://doi.org/10.1142/s2424786323500500","url":null,"abstract":"Cryptocurrency is a digital currency designed for use in transactions just like regular money. To safeguard its exchanges, restrict the development of a specific kind of cryptocurrency, and keep track of each and every transaction across the entire network, it uses blockchain and cryptography. Even after a decade of existence, cryptocurrency has not established a reputation as a new age currency system among the majority of countries in the world, and people are still dubious about its value despite being loaded with numerous cutting-edge technologies and having a sizable market presence everywhere. Cryptocurrencies have been around for almost 10 years, but it is still unclear whether they will ever become a real currency or if they will stay a component of investment portfolios. Since Odisha is a backward state, a study has been done to determine the level of awareness and perception of cryptocurrencies in its cities.","PeriodicalId":505765,"journal":{"name":"International Journal of Financial Engineering","volume":"6 24","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-12-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139154537","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Exploring factors influencing investment satisfaction: A study of women investors in Chennai city 探索影响投资满意度的因素：对钦奈市女性投资者的研究
International Journal of Financial Engineering Pub Date : 2023-11-24 DOI: 10.1142/s2424786323500408
K. Sushmitha, A. Jayabal
{"title":"Exploring factors influencing investment satisfaction: A study of women investors in Chennai city","authors":"K. Sushmitha, A. Jayabal","doi":"10.1142/s2424786323500408","DOIUrl":"https://doi.org/10.1142/s2424786323500408","url":null,"abstract":"Investment is the action of saving something at present for the probability of earning return in future. Women have broken various personal and social hindrances to earn and manage their money for the purpose of safeguarding their future. The factors that highly influence investment satisfaction include profitability, liquidity, tax implications, investment risk, investment stability, investment regulation, investment location, investment decision and investment service provider. The main purpose of the study is to analyze the factors that influence the investor’s satisfaction towards various investment avenues. It is very much challenging for the companies and various financial marketers, to understand the factors that influence the satisfaction of women investors. In order to earn return, the investors choose the suitable investment option based on their income and savings pattern. Factor analysis, linear multiple regression analysis and one-way analysis of variance have been used for data analysis. The result of the study states that various demographic factors and investment details influence the investment satisfaction of women investors.","PeriodicalId":505765,"journal":{"name":"International Journal of Financial Engineering","volume":"66 19","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-11-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139240628","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Lie symmetry, exact solutions and conservation laws of bi-fractional Black–Scholes equation derived by the fractional G-Brownian motion 分式 G 布朗运动导出的双分式布莱克-斯科尔斯方程的列对称性、精确解和守恒定律
International Journal of Financial Engineering Pub Date : 2023-11-18 DOI: 10.1142/s2424786323500378
Jicheng Yu, Yuqiang Feng, Xianjia Wang
{"title":"Lie symmetry, exact solutions and conservation laws of bi-fractional Black–Scholes equation derived by the fractional G-Brownian motion","authors":"Jicheng Yu, Yuqiang Feng, Xianjia Wang","doi":"10.1142/s2424786323500378","DOIUrl":"https://doi.org/10.1142/s2424786323500378","url":null,"abstract":"The Black–Scholes equation is an important analytical tool for option pricing in finance. This paper discusses the Lie symmetry analysis of bi-fractional Black–Scholes equation derived by the fractional G-Brownian motion. Then some exact solutions are obtained and the figures of which are presented to illustrate the characteristics with different values of the parameters. In addition, the new conservation theorem and the generalization of the Noether operators are developed to construct the conservation laws for bi-fractional Black–Scholes equation.","PeriodicalId":505765,"journal":{"name":"International Journal of Financial Engineering","volume":"13 5","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-11-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139261211","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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