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Measuring Risk in Complex Stochastic Systems : Lecture Notes in Statistics - Wolfgang Hardle

Measuring Risk in Complex Stochastic Systems

Lecture Notes in Statistics

By: Wolfgang Hardle (Editor), J. Franke (Editor), G. Stahl (Editor)

Paperback Published: 15th June 2000
ISBN: 9780387989969
Number Of Pages: 260

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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.

Preface
Contributors
Allocation of Economic Capital in loan portfoliosp. 1
Estimating Volatility for Long Holding Periodsp. 19
A Simple Approach to Country Riskp. 33
Predicting Bank Failures in Transitionp. 69
Credit Scoring using Semiparametric Methodsp. 83
On the (Ir)Relevancy of Value-at-Risk Regulationp. 99
Backtesting beyond VaRp. 119
Measuring Implied Volatility Surface Risk using PCAp. 131
Detection and estimation of changes in ARCH processesp. 149
Behaviour of Some Rank Statistics for Detecting Changesp. 161
A stable CAPM in the presence of heavy-tailed distributionsp. 175
A Tailored Suit for Risk Management: Hyperbolic Modelp. 189
Computational Resources for Extremesp. 203
Confidence intervals for a tail index estimatorp. 215
Extremes of alpha-ARCH Modelsp. 223
Table of Contents provided by Blackwell. All Rights Reserved.

ISBN: 9780387989969
ISBN-10: 038798996X
Series: Lecture Notes in Statistics
Audience: General
Format: Paperback
Language: English
Number Of Pages: 260
Published: 15th June 2000
Publisher: Springer-Verlag New York Inc.
Country of Publication: US
Dimensions (cm): 23.39 x 15.6  x 1.47
Weight (kg): 0.39

Earn 363 Qantas Points
on this Book