Title | Measuring Risk in Complex Stochastic Systems [electronic resource] / edited by Jรผrgen Franke, Gerhard Stahl, Wolfgang Hรคrdle |
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Imprint | New York, NY : Springer New York : Imprint: Springer, 2000 |
Connect to | http://dx.doi.org/10.1007/978-1-4612-1214-0 |
Descript | XIV, 260 p. 3 illus. online resource |
1 Allocation of Economic Capital in loan portfolios -- 1.1 Introduction -- 1.2 Credit portfolios -- 1.3 Economic Capital -- 1.4 Capital allocation based on Var/Covar -- 1.5 Allocation of marginal capital -- 1.6 Contributory capital based on coherent risk measures -- 1.7 Comparision of the capital allocation methods -- 1.8 Summary -- 2 Estimating Volatility for Long Holding Periods -- 2.1 Introduction -- 2.2 Construction and Properties of the Estimator -- 2.3 Monte Carlo Illustrations -- 2.4 Applications -- 2.5 Conclusion -- 3 A Simple Approach to Country Risk -- 3.1 Introduction -- 3.2 A Structural No-Arbitrage Approach -- 3.3 Description of Data and Parameter Setting -- 3.4 Pricing Capability -- 3.5 Hedging -- 3.6 Management of a Portfolio -- 3.7 Summary and Outlook -- 4 Predicting Bank Failures in Transition -- 4.1 Motivation -- 4.2 Improving โStandardโ Models of Bank Failures -- 4.3 Czech banking sector -- 4.4 Data and the Results -- 4.5 Conclusions -- 5 Credit Scoring using Semiparametric Methods -- 5.1 Introduction -- 5.2 Data Description -- 5.3 Logistic Credit Scoring -- 5.4 Semiparametric Credit Scoring -- 5.5 Testing the Semiparametric Model -- 5.6 Misclassification and Performance Curves -- 6 On the (Ir) Relevancy of Value-at-Risk Regulation -- 6.1 Introduction -- 6.2 VaR and other Risk Measures -- 6.3 Economic Motives for VaR Management -- 6.4 Policy Implications -- 6.5 Conclusion -- 7 Backtesting beyond VaR -- 7.1 Forecast tasks and VaR Models -- 7.2 Backtesting based on the expected shortfall -- 7.3 Backtesting in Action -- 7.4 Conclusions -- 8 Measuring Implied Volatility Surface Risk using PCA -- 8.1 Introduction -- 8.2 PCA of Implicit Volatility Dynamics -- 8.3 Smile-consistent pricing models -- 8.4 Measuring Implicit Volatility Risk using VaR -- 9 Detection and estimation of changes in ARCH processes -- 9.1 Introduction -- 9.2 Testing for change-point in ARCH -- 9.3 Change-point estimation -- 10 Behaviour of Some Rank Statistics for Detecting Changes -- 10.1 Introduction -- 10.2 Limit Theorems -- 10.3 Simulations -- 10.4 Comments -- 10.5 Acknowledgements -- 11 A stable CAPM in the presence of heavy-tailed distributions -- 11.1 Introduction -- 11.2 Empirical evidence for the stable Paretian hypothesis -- 11.3 Stable CAPM and estimation for ?-coefficients -- 11.4 Empirical analysis of bivariate symmetry test -- 11.5 Summary -- 12 A Tailored Suit for Risk Management: Hyperbolic Model -- 12.1 Introduction -- 12.2 Advantages of the Proposed Risk Management Approach -- 12.3 Mathematical Definition of the P & L Distribution -- 12.4 Estimation of the P & L using the Hyperbolic Model -- 12.5 How well does the Approach Conform with Reality -- 12.6 Extension to Credit Risk -- 12.7 Application -- 13 Computational Resources for Extremes -- 13.1 Introduction -- 13.2 Computational Resources -- 13.3 Client/Server Architectures -- 13.4 Conclusion -- 14 Confidence intervals for a tail index estimator -- 14.1 Confidence intervals for a tail index estimator -- 15 Extremes of alpha-ARCH Models -- 15.1 Introduction -- 15.2 The model and its properties -- 15.3 The tails of the stationary distribution -- 15.4 Extreme value results -- 15.5 Empirical study -- 15.6 Proofs -- 15.7 Conclusion