Measuring risk in complex stochastic systems /
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| Imprint: | New York : Springer, 2000. |
|---|---|
| Description: | xiii, 257 p. ; 24 cm. |
| Language: | English |
| Series: | Lecture notes in statistics ; 147 Lecture notes in statistics (Springer-Verlag) ; v. 147. |
| Subject: | |
| Format: | Print Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/4346588 |
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| 019 | |a 44932522 | ||
| 020 | |a 038798996X (softcover : alk. paper) | ||
| 035 | |a (OCoLC)43656974 | ||
| 040 | |a DLC |c DLC |d C#P |d OHX |d UKM |d OCoLC |d OrLoB-B | ||
| 042 | |a pcc | ||
| 049 | |a CGUA | ||
| 050 | 0 | 0 | |a HD61 |b .M43 2000 |
| 072 | 7 | |a HD |2 lcco | |
| 082 | 0 | 0 | |a 658.15/5 |2 21 |
| 245 | 0 | 0 | |a Measuring risk in complex stochastic systems / |c Jürgen Franke, Wolfgang Härdle, Gerhard Stahl, editors. |
| 260 | |a New York : |b Springer, |c 2000. | ||
| 300 | |a xiii, 257 p. ; |c 24 cm. | ||
| 336 | |a text |b txt |2 rdacontent |0 http://id.loc.gov/vocabulary/contentTypes/txt | ||
| 337 | |a unmediated |b n |2 rdamedia |0 http://id.loc.gov/vocabulary/mediaTypes/n | ||
| 338 | |a volume |b nc |2 rdacarrier |0 http://id.loc.gov/vocabulary/carriers/nc | ||
| 490 | 1 | |a Lecture notes in statistics ; |v 147 | |
| 504 | |a Includes bibliographical references and index. | ||
| 505 | 0 | 0 | |g 1. |t Allocation of Economic Capital in loan portfolios / |r Ludger Overbeck -- |g 2. |t Estimating Volatility for Long Holding Periods / |r Rudiger Kiesel, William Perraudin and Alex Taylor -- |g 3. |t A Simple Approach to Country Risk / |r Frank Lehrbass -- |g 4. |t Predicting Bank Failures in Transition / |r Jan Hanousek -- |g 5. |t Credit Scoring using Semiparametric Methods / |r Morlene Muller and Bernd Ronz -- |g 6. |t On the (Ir)Relevancy of Value-at-Risk Regulation / |r Phornchanok J. Cumperayot, Jon Danielsson and Bjorn N. Jorgensen / |r [et al.] -- |g 7. |t Backtesting beyond VaR / |r Wolfgang Hardle and Gerhard Stahl -- |g 8. |t Measuring Implied Volatility Surface Risk using PCA / |r Alpha Sylla and Christophe Villa -- |g 9. |t Detection and estimation of changes in ARCH processes / |r Piotr Kokoszka and Remigijus Leipus -- |g 10. |t Behaviour of Some Rank Statistics for Detecting Changes / |r Ales Slaby -- |g 11. |t A stable CAPM in the presence of heavy-tailed distributions / |r Stefan Huschens and Jeong-Ryeol Kim -- |g 12. |t A Tailored Suit for Risk Management: Hyperbolic Model / |r Jens Breckling, Ernst Eberlein and Philip Kokic -- |g 13. |t Computational Resources for Extremes / |r Torsten Kleinow and Michael Thomas -- |g 14. |t Confidence intervals for a tail index estimator / |r Sergei Y. Novak -- |g 15. |t Extremes of alpha-ARCH Models / |r Christian Robert. |
| 650 | 0 | |a Risk management |x Mathematical models. |0 http://id.loc.gov/authorities/subjects/sh2008110811 | |
| 650 | 0 | |a Investments |x Mathematical models. |0 http://id.loc.gov/authorities/subjects/sh85067718 | |
| 650 | 0 | |a Finance |x Mathematical models. |0 http://id.loc.gov/authorities/subjects/sh85048260 | |
| 650 | 0 | |a Asset-liability management. |0 http://id.loc.gov/authorities/subjects/sh85008782 | |
| 650 | 7 | |a Asset-liability management. |2 fast |0 http://id.worldcat.org/fast/fst00819062 | |
| 650 | 7 | |a Finance |x Mathematical models. |2 fast |0 http://id.worldcat.org/fast/fst00924398 | |
| 650 | 7 | |a Investments |x Mathematical models. |2 fast |0 http://id.worldcat.org/fast/fst00978277 | |
| 650 | 7 | |a Risk management |x Mathematical models. |2 fast |0 http://id.worldcat.org/fast/fst01098179 | |
| 700 | 1 | |a Franke, Jürgen. |0 http://id.loc.gov/authorities/names/n90693774 |1 http://viaf.org/viaf/122139792 | |
| 700 | 1 | |a Härdle, Wolfgang. |0 http://id.loc.gov/authorities/names/n83028714 |1 http://viaf.org/viaf/39441475 | |
| 700 | 1 | |a Stahl, Gerhard. |0 http://id.loc.gov/authorities/names/n00098039 |1 http://viaf.org/viaf/10367307 | |
| 830 | 0 | |a Lecture notes in statistics (Springer-Verlag) ; |v v. 147. | |
| 901 | |a ToCBNA | ||
| 903 | |a HeVa | ||
| 903 | |a Hathi | ||
| 929 | |a cat | ||
| 999 | f | f | |i 69d3bc13-3448-51f7-84a6-19ba3ad5cba5 |s 85fbd803-531f-5c77-906b-31a162ead550 |
| 928 | |t Library of Congress classification |a HD61.M43 2000 |l JRL |c JRL-Gen |i 4677229 | ||
| 927 | |t Library of Congress classification |a HD61.M43 2000 |l JRL |c JRL-Gen |b 54664865 |i 6932331 | ||