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Kreditportfoliomodellierung : Abhängigkeiten zwischen Ausfallwahrscheinlichkeit, Verlustrate und Forderungshöhe
Eckert, Johanna - 2016 - 1. Aufl. 2016
Modellierung der Abhängigkeiten zwischen Ausfall, Verlustrate und Forderungshöhe bei Ausfall mit Faktoren und Copulae -- Multivariate Erweiterung des Heckman-Schätzers, um der Stichprobenselektion seitens der Verlustrate und der Forderungshöhe gerecht zu werden -- Empirische Befunde zur...
Persistent link: https://www.econbiz.de/10014018364
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Forecasting High-Frequency Volatility Shocks : An Analytical Real-Time Monitoring System
Kömm, Holger - 2016 - 1st ed. 2016
This thesis presents a new strategy that unites qualitative and quantitative mass data in form of text news and tick-by-tick asset prices to forecast the risk of upcoming volatility shocks. Holger Kömm embeds the proposed strategy in a monitoring system, using first, a sequence of competing...
Persistent link: https://www.econbiz.de/10014018810
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Effizienzanalyse im Marketing : Ein produktionstheoretisch fundierter Ansatz auf Basis von Frontier Functions
Hammerschmidt, Maik - 2006
Einführung -- Zunehmender Effizienzdruck im Marketing - Doing more with less -- Konzeptionelle und theoretische Grundlagen der Effizienzanalyse -- Begrifflich-konzeptionelle Grundlagen der Effizienzanalyse -- Allgemeine theoretische Fundierung der Effizienzanalyse -- Konzeptualisierung der...
Persistent link: https://www.econbiz.de/10014019373
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An Introduction to Efficiency and Productivity Analysis
Coelli, Tim; Prasada Rao, D. S.; O'Donnell, Christopher J. - 2005 - Second Edition
Softcover version of the second edition Hardcover.Incorporates a new author, Dr. Chris O'Donnell, who brings considerable expertise to the project in the area of performance measurement. Numerous topics are being added and more applications using real data, as well as exercises at the end of the...
Persistent link: https://www.econbiz.de/10013520409
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A Structural Framework for the Pricing of Corporate Securities : Economic and Empirical Issues
Genser, Michael (contributor) - 2006
advanced economic settings or to price derivatives on corporate securities. Numerical examples make the theory easily …
Persistent link: https://www.econbiz.de/10013520503
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Empirical Techniques in Finance
Bhar, Ramaprasad - 2005
Basic Probability Theory and Markov Chains -- Estimation Techniques -- Non-Parametric Method of Estimation -- Unit Root … Implementation, this book helps foc- ing on strategies for rigorously combing finance theory and modeling technology to extend extant … other related modeling topics that help more in-depth exploration of finance theory and putting it into practice. As seen in …
Persistent link: https://www.econbiz.de/10014014047
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The Basel II Risk Parameters : Estimation, Validation, Stress Testing - with Applications to Loan Risk Management
Engelmann, Bernd - 2011
Statistical Methods to Develop Rating Models -- Estimation of a Rating Model for Corporate Exposures -- The Shadow Rating Approach - Experience from Banking Practice -- Estimating Probabilities of Default for Low Default Portfolios -- Transition Matrices: Properties and Estimation Methods -- A...
Persistent link: https://www.econbiz.de/10014015277
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Calibration and Parameterization Methods for the Libor Market Model
Hackl, Christoph - 2014
The Libor Market Model (LMM) is a mathematical model for pricing and risk management of interest rate derivatives and has been built on the framework of modelling forward rates. For the conceptual understanding of the model a strong background in the fields of mathematics, statistics, finance...
Persistent link: https://www.econbiz.de/10014277634
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Analysis of Microdata
Winkelmann, Rainer (contributor); Boes, Stefan (contributor) - 2006
The book provides a simple, intuitive introduction to regression models for qualitative and discrete dependent variables, to sample selection models, and to event history models, all in the context of maximum likelihood estimation. It presents a wide range of commonly used models. The book...
Persistent link: https://www.econbiz.de/10013520518
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Modern Econometric Analysis : Surveys on Recent Developments
Hübler, Olaf (contributor); Frohn, Jachim (contributor) - 2006
Traditional econometric analysis concentrate on classical methods which are far from suitable handling actual economic problems. Modern econometric analysis tries to develop approaches from an economic perspective. This book presents survey articles of the most important methods in econometrics....
Persistent link: https://www.econbiz.de/10013520671