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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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Collateralized Debt Obligations : A Moment Matching Pricing Technique based on Copula Functions
Marcantoni, Enrico - 2014
The author focuses on a method to price Collateralized Debt Obligations (CDO) tranches. The original method is developed by Castagna, Mercurio and Mosconi in 2012. The Thesis provides an extension of the original work by generalizing the Gaussian dependence in terms of Copula functions. In...
Persistent link: https://www.econbiz.de/10014017445
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Pricing and Risk Management of Synthetic CDOs
Schlösser, Anna - 2011
Introduction -- Part I Fundamentals: Credit Derivatives and Markets -- Mathematical Preliminaries -- Part II Static Models: One Factor Gaussian Copula Model -- Normal Inverse Gaussian Factor Copula Model -- Part III: Term-Structure Models -- Large Homogeneous Cell Approximation for Factor Copula...
Persistent link: https://www.econbiz.de/10014015252
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Sampling Spatial Units for Agricultural Surveys
Benedetti, Roberto - 2015
The research and its outcomes presented here focus on spatial sampling of agricultural resources. The authors introduce … sampling designs and methods for producing accurate estimates of crop production for harvests across different regions and …
Persistent link: https://www.econbiz.de/10012402062
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Telephone Surveys in Europe : Research and Practice
Häder, Sabine - 2012
-- Italy -- Portugal -- Part II Sampling for Telephone Surveys: Who can be contacted by phone? Lessons from Switzerland … -- Sampling Frames for Telephone Surveys in Europe -- Mobile- and Landline-Onlys in Dual-Frame-Approaches: Effects on Sample … addressed to all scientists and practitioners who deal with theory and application of telephone surveys - in academic and market …
Persistent link: https://www.econbiz.de/10013522965
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Inflation versus Price-Level Targeting : Bayesian Estimation of a Small Open DSGE Model for Switzerland
Heim, Lukas - 2015
Lukas Heim evaluates the performance of a price-level targeting rule compared to that of a standard inflation targeting rule. The comparison is based on a medium-scale DSGE model which has been estimated based on state-of-the-art Bayesian methods. The model for the Swiss economy is an expanded...
Persistent link: https://www.econbiz.de/10012819094
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Operationalizing Dynamic Pricing Models : Bayesian Demand Forecasting and Customer Choice Modeling for Low Cost Carriers
Christ, Steffen - 2011
Dynamic Pricing of services has become the norm for many young service industries - especially in today’s volatile markets. Steffen Christ shows how theoretic optimization models can be operationalized by employing self-learning strategies to construct relevant input variables, such as latent...
Persistent link: https://www.econbiz.de/10014425365
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Financial Risk Management with Bayesian Estimation of GARCH Models : Theory and Applications
Ardia, David (contributor) - 2008
This book presents methodologies for the Bayesian estimation of GARCH models and their application to financial risk management. The study of these models from a Bayesian viewpoint is relatively recent and can be considered very promising due to the advantages of the Bayesian approach, in...
Persistent link: https://www.econbiz.de/10013520959
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Process Optimization : A Statistical Approach
Castillo, Enrique Del - 2007
PROCESS OPTIMIZATION: A Statistical Approach is a textbook for a course in experimental optimization techniques for industrial production processes and other 'noisy' systems where the main emphasis is process optimization. The book can also be used as a reference text by Industrial, Quality and...
Persistent link: https://www.econbiz.de/10013520718
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Applications of Simulation Methods in Environmental and Resource Economics
Scarpa, Riccardo (contributor); Alberini, Anna (contributor) - 2005
Persistent link: https://www.econbiz.de/10013520450