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 |
Table of Contents:
- 1. Allocation of Economic Capital in loan portfolios / Ludger Overbeck
- 2. Estimating Volatility for Long Holding Periods / Rudiger Kiesel, William Perraudin and Alex Taylor
- 3. A Simple Approach to Country Risk / Frank Lehrbass
- 4. Predicting Bank Failures in Transition / Jan Hanousek
- 5. Credit Scoring using Semiparametric Methods / Morlene Muller and Bernd Ronz
- 6. On the (Ir)Relevancy of Value-at-Risk Regulation / Phornchanok J. Cumperayot, Jon Danielsson and Bjorn N. Jorgensen / [et al.]
- 7. Backtesting beyond VaR / Wolfgang Hardle and Gerhard Stahl
- 8. Measuring Implied Volatility Surface Risk using PCA / Alpha Sylla and Christophe Villa
- 9. Detection and estimation of changes in ARCH processes / Piotr Kokoszka and Remigijus Leipus
- 10. Behaviour of Some Rank Statistics for Detecting Changes / Ales Slaby
- 11. A stable CAPM in the presence of heavy-tailed distributions / Stefan Huschens and Jeong-Ryeol Kim
- 12. A Tailored Suit for Risk Management: Hyperbolic Model / Jens Breckling, Ernst Eberlein and Philip Kokic
- 13. Computational Resources for Extremes / Torsten Kleinow and Michael Thomas
- 14. Confidence intervals for a tail index estimator / Sergei Y. Novak
- 15. Extremes of alpha-ARCH Models / Christian Robert.