Title: Measuring risk in complex stochastic systems /
Authors: Franke, Jürgen.; Härdle, Wolfgang.; Stahl, Gerhard.; Franke, Jürgen, 1952-
Publisher: Springer,
Year: 2000
Subjects: Risk management Mathematical models.; Investments Mathematical models; Finance Mathematical models; Asset-liability management.; Statistics; Finance
Abstract: This collection of articles by leading researchers will be of interest to people working in the area of mathematical finance.
Contents: Integrated Risk Management and Extreme Value Theory -- Coherent Allocation Capital for Credit Portfolios -- A Simple Approach to Country Risk -- The Structure of Credit Risk -- Extreme Value Theory and Risk Management: Basic Results -- Sensitivity of Values at Risk -- Extremes of ARCH Models -- Risk Exposure and its Sensitivity to Model Misspecification -- Neural Networks and Applications in Finance -- Nonlinear Approximation and Statistical Applications I -- Semiparametric Lower Bounds for Tail Index Estimation -- Bandwith Choice for M-estimators in Projection Pursuit and Single Index Regression -- Semiparametric Indirect Inference -- Change-point Problem in ARCH Models -- Change in Polynomial Regression and Related Processes.