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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
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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
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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
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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
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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
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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
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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
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Robust Optimization of Spline Models and Complex Regulatory Networks : Theory, Methods and Applications
Özmen, Ayse - 2016
regression. It presents the theory of and approaches to robust (conic) multivariate adaptive regression splines - R(C)MARS – and … implementation. It explains robust optimization in these models in terms of both the theory and methodology. In this context it …
Persistent link: https://www.econbiz.de/10014019963
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Coping with Uncertainty : Robust Solutions
Marti, Kurt - 2010
General Remarks on Robust Solutions -- Modeling of Uncertainty and Probabilistic Issues -- On Joint Modelling of Random Uncertainty and Fuzzy Imprecision -- On the Approximation of a Discrete Multivariate Probability Distribution Using the New Concept of -Cherry Junction Tree -- Robust Solutions...
Persistent link: https://www.econbiz.de/10013521308
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Advanced Robust and Nonparametric Methods in Efficiency Analysis : Methodology and Applications
Daraio, Cinzia (contributor); Simar, Léopold (contributor) - 2007
can be used in theories based on the neoclassical theory of production and its alternatives, including evolutionary …
Persistent link: https://www.econbiz.de/10013520623