β Scribed by Ludger Overbeck (auth.), JΓΌrgen Franke, Gerhard Stahl, Wolfgang HΓ€rdle (eds.)
No coin nor oath required. For personal study only.
Complex dynamic processes of life and sciences generate risks that have to be taken. The need for clear and distinctive definitions of different kinds of risks, adequate methods and parsimonious models is obvious. The identification of important risk factors and the quantification of risk stemming from an interplay between many risk factors is a prerequisite for mastering the challenges of risk perception, analysis and management successfully. The increasing complexity of stochastic systems, especially in finance, have catalysed the use of advanced statistical methods for these tasks. The methodological approach to solving risk management tasks may, however, be undertaken from many different angles. A financial instiΒ tution may focus on the risk created by the use of options and other derivatives in global financial processing, an auditor will try to evaluΒ ate internal risk management models in detail, a mathematician may be interested in analysing the involved nonlinearities or concentrate on extreme and rare events of a complex stochastic system, whereas a statisΒ tician may be interested in model and variable selection, practical imΒ plementations and parsimonious modelling. An economist may think about the possible impact of risk management tools in the framework of efficient regulation of financial markets or efficient allocation of capital.
Front Matter....Pages i-xiii
Allocation of Economic Capital in loan portfolios....Pages 1-17
Estimating Volatility for Long Holding Periods....Pages 19-31
A Simple Approach to Country Risk....Pages 33-67
Predicting Bank Failures in Transition: Lessons from the Czech Bank Crisis of the mid-Nineties....Pages 69-81
Credit Scoring using Semiparametric Methods....Pages 83-97
On the (Ir)Relevancy of Value-at-Risk Regulation....Pages 99-117
Backtesting beyond VaR....Pages 119-130
Measuring Implied Volatility Surface Risk using Principal Components Analysis....Pages 131-148
Detection and estimation of changes in ARCH processes....Pages 149-160
Behaviour of Some Rank Statistics for Detecting Changes....Pages 161-174
A stable CAPM in the presence of heavy-tailed distributions....Pages 175-188
A Tailored Suit for Risk Management: Hyperbolic Model....Pages 189-202
Computational Resources for Extremes....Pages 203-213
Confidence intervals for a tail index estimator....Pages 215-222
Extremes of alpha-ARCH Models....Pages 223-257
Back Matter....Pages 259-260
Statistics, general; Quantitative Finance
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