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Multivariate Modellierung operationeller Risiken in Kreditinstituten

Bayer, Verena - 2012

Operationelle Risiken betreffen nahezu jede Geschäftstätigkeit von Banken. Sie verfügen über ein hohes Schadenspotential und stellen eine große Herausforderung für das Risikomanagement der Banken dar. Verena Bayer untersucht Ansätze zur Quantifizierung operationeller Risiken und der...

Persistent link: https://www.econbiz.de/10014016438

Time Series Econometrics : Learning Through Replication

Levendis, John D. - 2018 - Corrected publication 2021

In this book, the authors reject the theorem-proof approach as much as possible, and emphasize the practical application of econometrics. They show with examples how to calculate and interpret the numerical results. This book begins with students estimating simple univariate models, in a step by...

Persistent link: https://www.econbiz.de/10012397044

Multivariate Modelling of Non-Stationary Economic Time Series

Hunter, John - 2017 - 2nd ed. 2017

This book examines conventional time series in the context of stationary data prior to a discussion of cointegration, with a focus on multivariate models. The authors provide a detailed and extensive study of impulse responses and forecasting in the stationary and non-stationary context,...

Persistent link: https://www.econbiz.de/10012398276

Modelling Non-Stationary Time Series : A Multivariate Approach

Burke, Simon P.; Hunter, John - 2005

. Econometric theory is linked to practical issues such as how to identify equilibrium relationships, how to deal with structural …

Persistent link: https://www.econbiz.de/10012053773

A Primer for Unit Root Testing

Patterson, Kerry - 2010

This book gives an authoritative overview of the literature on non-stationarity, integration and unit roots, providing direction and guidance. It also provides detailed examples to show how the techniques can be applied in practical situations and the pitfalls to avoid.

Persistent link: https://www.econbiz.de/10012106206

Pricing and Risk Management of Synthetic CDOs

Schlösser, Anna - 2011

Models: One Factor Gaussian Copula Model -- Normal Inverse Gaussian Factor Copula Model -- Part III: Term-Structure Models … -- Large Homogeneous Cell Approximation for Factor Copula Models -- Regime-Switching Extension of the NIG Factor Copula Model …This book considers the one-factor copula model for credit portfolios that are used for pricing synthetic CDO …

Persistent link: https://www.econbiz.de/10014015252

Collateralized Debt Obligations : A Moment Matching Pricing Technique based on Copula Functions

Marcantoni, Enrico - 2014

CDO: General Characteristics.- Credit Risk Modeling -- Copula Functions and Dependency Concepts -- Moment Matching … Gaussian dependence in terms of Copula functions. In particular the model is rewritten for the specific case of the Clayton … copula. The method is applied to price the tranches of a CDX. By comparing the tranches prices, it is possible to notice that …

Persistent link: https://www.econbiz.de/10014017445

Effizienzanalyse von Dienstleistungsproduktionen : Eine Data Envelopment Analysis unter Berücksichtigung stochastischer externer Faktoren

Schlindwein, Regina - 2016

Ausgewählte DEA-Modelle: CCR-Modell und BCC-Modell -- Stochastische Effizienzkonzepte -- Entwicklung einer stochastischen Dienstleistungsaktivität -- DEA-Technologiemengen für stochastische Produktionen -- Chance-Constrained Technologiemenge.

Persistent link: https://www.econbiz.de/10013533862

Value-at-Risk Ansätze zur Abschätzung von Marktrisiken : Theoretische Grundlagen und empirische Analysen

Fricke, Jens (contributor) - 2006

Für eine effiziente Kapitalallokation, insbesondere mit Blick auf die Hinterlegung ausreichender Eigenmittel zur Absicherung gegen extreme Marktbewegungen, ist eine möglichst genaue Abschätzung der Marktrisiken erforderlich. Die Ermittlung des Value-at-Risk ist in diesem Zusammenhang von...

Persistent link: https://www.econbiz.de/10013516630

Multidimensional Screening

Basov, Suren (contributor) - 2005

vector calculus, the theory of partial differential equations, and the theory of generalized convexity. These techniques are …

Persistent link: https://www.econbiz.de/10014014034