Measuring Risk in Complex Stochastic Systems : LECTURE NOTES IN STATISTICS - J. Franke

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Measuring Risk in Complex Stochastic Systems

By: J. Franke (Editor), Wolfgang HÃ¤rdle (Editor), Gerhard Stahl (Editor)

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Paperback | 1 July 2000

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276 Pages

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Complex dynamic processes of life and sciences generate risks that have to be taken. The need for clear and distinctive definitions of different kinds of risks, adequate methods and parsimonious models is obvious. The identification of important risk factors and the quantification of risk stemming from an interplay between many risk factors is a prerequisite for mastering the challenges of risk perception, analysis and management successfully. The increasing complexity of stochastic systems, especially in finance, have catalysed the use of advanced statistical methods for these tasks. The methodological approach to solving risk management tasks may, however, be undertaken from many different angles. A financial insti tution may focus on the risk created by the use of options and other derivatives in global financial processing, an auditor will try to evalu ate internal risk management models in detail, a mathematician may be interested in analysing the involved nonlinearities or concentrate on extreme and rare events of a complex stochastic system, whereas a statis tician may be interested in model and variable selection, practical im plementations and parsimonious modelling. An economist may think about the possible impact of risk management tools in the framework of efficient regulation of financial markets or efficient allocation of capital.

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Non-Fiction Business & Management Business Mathematics & Systems Mathematics Probability & Statistics Accounting & Finance Finance Corporate Finance Medicine Medicine in General Entrepreneurship / Start-ups Applied Mathematics

Stochastics Optimisation Game Theory Gardening Management & Management Techniques

Preface
Contributors
Allocation of Economic Capital in loan portfolios	p. 1
Estimating Volatility for Long Holding Periods	p. 19
A Simple Approach to Country Risk	p. 33
Predicting Bank Failures in Transition	p. 69
Credit Scoring using Semiparametric Methods	p. 83
On the (Ir)Relevancy of Value-at-Risk Regulation	p. 99
Backtesting beyond VaR	p. 119
Measuring Implied Volatility Surface Risk using PCA	p. 131
Detection and estimation of changes in ARCH processes	p. 149
Behaviour of Some Rank Statistics for Detecting Changes	p. 161
A stable CAPM in the presence of heavy-tailed distributions	p. 175
A Tailored Suit for Risk Management: Hyperbolic Model	p. 189
Computational Resources for Extremes	p. 203
Confidence intervals for a tail index estimator	p. 215
Extremes of alpha-ARCH Models	p. 223
Table of Contents provided by Blackwell. All Rights Reserved.

Measuring Risk in Complex Stochastic Systems

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Paperback

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