Econometrics Of Risk
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Econometrics Of Risk
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Author : Van-Nam Huynh
language : en
Publisher: Springer
Release Date : 2015-01-09
Econometrics Of Risk written by Van-Nam Huynh and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-01-09 with Computers categories.
This edited book contains several state-of-the-art papers devoted to econometrics of risk. Some papers provide theoretical analysis of the corresponding mathematical, statistical, computational, and economical models. Other papers describe applications of the novel risk-related econometric techniques to real-life economic situations. The book presents new methods developed just recently, in particular, methods using non-Gaussian heavy-tailed distributions, methods using non-Gaussian copulas to properly take into account dependence between different quantities, methods taking into account imprecise ("fuzzy") expert knowledge, and many other innovative techniques. This versatile volume helps practitioners to learn how to apply new techniques of econometrics of risk, and researchers to further improve the existing models and to come up with new ideas on how to best take into account economic risks.
The Econometrics Of Individual Risk
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Author : Christian Gourieroux
language : en
Publisher: Princeton University Press
Release Date : 2015-07-28
The Econometrics Of Individual Risk written by Christian Gourieroux and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-07-28 with Business & Economics categories.
The individual risks faced by banks, insurers, and marketers are less well understood than aggregate risks such as market-price changes. But the risks incurred or carried by individual people, companies, insurance policies, or credit agreements can be just as devastating as macroevents such as share-price fluctuations. A comprehensive introduction, The Econometrics of Individual Risk is the first book to provide a complete econometric methodology for quantifying and managing this underappreciated but important variety of risk. The book presents a course in the econometric theory of individual risk illustrated by empirical examples. And, unlike other texts, it is focused entirely on solving the actual individual risk problems businesses confront today. Christian Gourieroux and Joann Jasiak emphasize the microeconometric aspect of risk analysis by extensively discussing practical problems such as retail credit scoring, credit card transaction dynamics, and profit maximization in promotional mailing. They address regulatory issues in sections on computing the minimum capital reserve for coverage of potential losses, and on the credit-risk measure CreditVar. The book will interest graduate students in economics, business, finance, and actuarial studies, as well as actuaries and financial analysts.
Econometrics And Risk Management
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Author : Thomas B. Fomby
language : en
Publisher: Emerald Group Publishing
Release Date : 2008-12-01
Econometrics And Risk Management written by Thomas B. Fomby and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-12-01 with Business & Economics categories.
Covers credit risk and credit derivatives. This book offers several points of view on credit risk when looked at from the perspective of Econometrics and Financial Mathematics. It addresses the challenge of modeling defaults and their correlations, and results on copula, reduced form and structural models, and the top-down approach.
Financial Econometrics Modeling Market Microstructure Factor Models And Financial Risk Measures
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Author : G. Gregoriou
language : en
Publisher: Springer
Release Date : 2010-12-13
Financial Econometrics Modeling Market Microstructure Factor Models And Financial Risk Measures written by G. Gregoriou and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-12-13 with Business & Economics categories.
This book proposes new methods to build optimal portfolios and to analyze market liquidity and volatility under market microstructure effects, as well as new financial risk measures using parametric and non-parametric techniques. In particular, it investigates the market microstructure of foreign exchange and futures markets.
Market Risk Analysis
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Author : Carol Alexander
language : en
Publisher:
Release Date : 2008
Market Risk Analysis written by Carol Alexander and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Financial risk management categories.
Econometrics Of Risk
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Author : Van-Nam Huynh
language : en
Publisher: Springer
Release Date : 2014-12-15
Econometrics Of Risk written by Van-Nam Huynh and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-12-15 with Technology & Engineering categories.
This edited book contains several state-of-the-art papers devoted to econometrics of risk. Some papers provide theoretical analysis of the corresponding mathematical, statistical, computational, and economical models. Other papers describe applications of the novel risk-related econometric techniques to real-life economic situations. The book presents new methods developed just recently, in particular, methods using non-Gaussian heavy-tailed distributions, methods using non-Gaussian copulas to properly take into account dependence between different quantities, methods taking into account imprecise ("fuzzy") expert knowledge, and many other innovative techniques. This versatile volume helps practitioners to learn how to apply new techniques of econometrics of risk, and researchers to further improve the existing models and to come up with new ideas on how to best take into account economic risks.
Econometrics And Risk Management
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Author : Thomas Fomby
language : en
Publisher: Emerald Group Pub Limited
Release Date : 2008-12
Econometrics And Risk Management written by Thomas Fomby and has been published by Emerald Group Pub Limited this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-12 with Business & Economics categories.
Econometric Modeling Of Value At Risk
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Author : Timotheos Angelidis
language : en
Publisher:
Release Date : 2009
Econometric Modeling Of Value At Risk written by Timotheos Angelidis and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Risk management categories.
Recently risk management has become a standard prerequisite for all financial institutions. Value-at-Risk is the main tool of reporting to the bank regulators the risk that the financial institutions face. This book provides a selective survey of the risk management techniques.
Risk Measurement Econometrics And Neural Networks
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Author : Georg Bol
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Risk Measurement Econometrics And Neural Networks written by Georg Bol and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Business & Economics categories.
This book comprises the articles of the 6th Econometric Workshop in Karlsruhe, Germany. In the first part approaches from traditional econometrics and innovative methods from machine learning such as neural nets are applied to financial issues. Neural Networks are successfully applied to different areas such as debtor analysis, forecasting and corporate finance. In the second part various aspects from Value-at-Risk are discussed. The proceedings describe the legal framework, review the basics and discuss new approaches such as shortfall measures and credit risk.
Scenario Logic And Probabilistic Management Of Risk In Business And Engineering
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Author : Evgueni D. Solojentsev
language : en
Publisher: Springer Science & Business Media
Release Date : 2008-12-10
Scenario Logic And Probabilistic Management Of Risk In Business And Engineering written by Evgueni D. Solojentsev and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-12-10 with Business & Economics categories.
This book proposes a uniform logic and probabilistic (LP) approach to risk estimation and analysis in engineering and economics. It covers the methodological and theoretical basis of risk management at the design, test, and operation stages of economic, banking, and engineering systems with groups of incompatible events (GIE). This edition includes new chapters providing a detailed treatment of scenario logic and probabilistic models for revealing bribes. It also contains clear definitions and notations, revised sections and chapters, an extended list of references, and a new subject index, as well as more than a hundred illustrations and tables which motivate the presentation.