Estimation Theory for Generalized Linear Models -- New Distorsion Risk Measure Based on Bimodal Distributions -- Stress … Testing Engineering: Risk Vs Incident -- The Skin In The Game Heuristic for Protection Against Tail Events -- The Fragility …This book provides a perspective on a number of approaches to financial modelling and risk management. It examines both …

This book is a guide to asset and risk management from a practical point of view. It is centered around two questions … triggered by the global events on the stock markets since the middle of the last decade: - Why do crashes happen when in theory … they should not? - How do investors deal with such crises in terms of their risk measurement and management and, as a …

in finance related to: asset pricing, optimal portfolio management, risk measurement, risk control and asset …Multi-period Risk Measures and Optimal Investment Policies -- Asset Price Dynamics: Shocks and Regimes -- Scenario … Uncertainty -- Liability-driven Investment in Longevity Risk Management -- Pricing Multiple Exercise American Options by Linear …

Due to their business activities, banks are exposed to many different risk types. Peter Grundke shows how various risk … exposures can be aggregated to a comprehensive risk position. Furthermore, computational problems of determining a loss … distribution that comprises various risk types are analyzed. PD Dr. Peter Grundke habilitierte am Seminar für Allgemeine …

The bulk of this volume deals with the four main aspects of risk management: market risk, credit risk, risk management … risk management to diverse business environments. Included are traditional market and credit risk management models such as …

Performance Evaluation -- Selected Algorithms from the Literature -- Proposed Algorithms with Risk Management … problem. He proposes two new competitive online algorithms with risk management, which he evaluates analytically. The author …-the-loser algorithms show the most promising performance when the objective is the maximization of return on investment and risk …

and the reward-to-VaR ratio are proposed for loan portfolios, although it is not proven whether their risk-return trade … ratio and the reward-to-VaR ratio are proposed for loan portfolios although it is not assessed whether their risk … optimal risk-return trade-offs of commercial banks and to compare them with those of reward-to-risk ratios. The risk …