econometrics. Recent advances in asymptotic approximation theory, including the use of higher order asymptotics for things like … of econometrics. One important feature of these advances in the theory of econometrics is that they are being seamlessly … focus on macroeconomic and financial applications, such as the construction of diffusion index models for forecasting with …

In spite of the widespread use of the concept of potential output in economic theory and empirical applications as well …

This book explores how to set up an empirical model that helps with forecasting long-term economic growth in a large …

all important commercial banking risk management topics, including market risk, counterparty credit risk, liquidity risk … -- 9 Model Risk Management under the Current Environment -- 10 The Effects of Macroeconomic Scenarios in Forecasting -- 11 … with stringent new regulations and adapt to the pressures of close supervision while responsibly managing risk. It covers …

gewonnen, dass es als Teilaspekt des Operational Risk zu sehen ist. Für das Operational Risk wird im Rahmen der "Neuen Basler … keine Standards zur Messung von Operational Risk etabliert. Anja Hechenblaikner untersucht die derzeit wichtigsten Methoden … zur Messung von Operational Risk. Aufbauend auf einer klaren Kategorisierung des IT-Risikos als Teil des Operational Risk …

Rating Approach - Experience from Banking Practice -- Estimating Probabilities of Default for Low Default Portfolios … -- Transition Matrices: Properties and Estimation Methods -- A Multi-Factor Approach for Systematic Default and Recovery Risk … -- Modelling Loss Given Default: A "Point in Time"-Approach -- Estimating Loss Given Default - Experiences from Banking Practice …

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 …