This paper proposes a rating methodology that is based on a non-linear classification method, the support vector machine, and a non-parametric technique for mapping rating scores into probabilities of default. We give an introduction to underlying statistical models and represent the results of...

The simulation of risk processes is a standard procedure for insurance companies. The generation of simulated (aggregated) claims is vital for the calculation of the amount of loss that may occur. Simulation of risk processes also appears naturally in rating triggered step-up bonds, where the...

Statistische Prognosen basieren auf der Annahme, dass ein funktionaler Zusammenhang zwischen der zu prognostizierenden Variable y und anderen dimensionalen beobachtbaren Variablen x=(x1,...,xj)t – Rj besteht. Kann der funktionale Zusammenhang geschätzt werden, so kann im Prinzip für jedes x...

In this paper we investigate the profitability of ?skewness trades? and ?kurtosis trades? based on comparisons of implied state price densities versus historical densities. In particular, we examine the ability of SPD comparisons to detect structural breaks in the options market behaviour. While...

Modern statistical computing requires smooth integration of new algorithms and quantitative analysis results in all sorts of platforms such as webbrowsers, standard and proprietary application software. Common statistical software packages can often not be adapted to integrate into new...

Die Berechnung des VaR führt zur Reduktion der Dimension des Raumes der Risikofaktoren. Die vorzunehmenden Vereinfachungen resultieren aus unterschiedlichen Beweggründen, z.B. technische Effizienz, Sachlogik der Ergebnisse und statistische Adäquanz des Modells. Im Kapitel 2 stellen wir drei...

Die vorliegende Studie untersucht den Realoptionsansatz als Bewertungsverfahren für unentwickelte Immobilien. Im Gegensatz zu klassischen Bewertungsverfahren berücksichtigt das Realoptionsverfahren explizit die Unsicherheit zukünftiger Mieterträge und die daraus folgenden...

Travel arrangements and flight ticket booking via internet is widely used nowadays and follow already certain standards. Although increasing activity for multimedia/web education components can be observed, we are far away from standards in this important area. Statistics can possibly profit the...

The use of electronic spreadsheets as the primary software tool for teaching management science modeling techniques and quantitative methods in economics and finance undoubtedly played a key role in the increasing impact of quantitative lectures given in graduate programs. Researchers suggest...