Measuring Risk in Complex Stochastic Systems - Lecture Notes in Statistics
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Published By Springer New York

9780387989969, 9781461212140

Latest Documents Most Cited Documents Contributed Authors Related Sources Related Keywords

Behaviour of Some Rank Statistics for Detecting Changes

Measuring Risk in Complex Stochastic Systems - Lecture Notes in Statistics ◽

10.1007/978-1-4612-1214-0_10 ◽

2000 ◽

pp. 161-174

Author(s):

Aleš Slabý

Keyword(s):

Rank Statistics

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Credit Scoring using Semiparametric Methods

Measuring Risk in Complex Stochastic Systems - Lecture Notes in Statistics ◽

10.1007/978-1-4612-1214-0_5 ◽

2000 ◽

pp. 83-97 ◽

Cited By ~ 5

Author(s):

Marlene Müller ◽

Bernd Rönz

Keyword(s):

Credit Scoring ◽

Semiparametric Methods

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Backtesting beyond VaR

Measuring Risk in Complex Stochastic Systems - Lecture Notes in Statistics ◽

10.1007/978-1-4612-1214-0_7 ◽

2000 ◽

pp. 119-130 ◽

Cited By ~ 2

Author(s):

Wolfgang Härdle ◽

Gerhard Stahl

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Predicting Bank Failures in Transition: Lessons from the Czech Bank Crisis of the mid-Nineties

Measuring Risk in Complex Stochastic Systems - Lecture Notes in Statistics ◽

10.1007/978-1-4612-1214-0_4 ◽

2000 ◽

pp. 69-81 ◽

Cited By ~ 1

Author(s):

Jan Hanousek

Keyword(s):

Bank Failures

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Detection and estimation of changes in ARCH processes

Measuring Risk in Complex Stochastic Systems - Lecture Notes in Statistics ◽

10.1007/978-1-4612-1214-0_9 ◽

2000 ◽

pp. 149-160

Author(s):

Piotr Kokoszka ◽

Remigijus Leipus

Keyword(s):

Detection And Estimation ◽

Arch Processes

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A Simple Approach to Country Risk

Measuring Risk in Complex Stochastic Systems - Lecture Notes in Statistics ◽

10.1007/978-1-4612-1214-0_3 ◽

2000 ◽

pp. 33-67 ◽

Cited By ~ 7

Author(s):

Frank Lehrbass

Keyword(s):

Simple Approach ◽

Country Risk

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A stable CAPM in the presence of heavy-tailed distributions

Measuring Risk in Complex Stochastic Systems - Lecture Notes in Statistics ◽

10.1007/978-1-4612-1214-0_11 ◽

2000 ◽

pp. 175-188 ◽

Cited By ~ 2

Author(s):

Stefan Huschens ◽

Jeong-Ryeol Kim

Keyword(s):

Heavy Tailed Distributions ◽

Heavy Tailed

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Computational Resources for Extremes

Measuring Risk in Complex Stochastic Systems - Lecture Notes in Statistics ◽

10.1007/978-1-4612-1214-0_13 ◽

2000 ◽

pp. 203-213

Author(s):

Torsten Kleinow ◽

Michael Thomas

Keyword(s):

Computational Resources

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Measuring Implied Volatility Surface Risk using Principal Components Analysis

Measuring Risk in Complex Stochastic Systems - Lecture Notes in Statistics ◽

10.1007/978-1-4612-1214-0_8 ◽

2000 ◽

pp. 131-148 ◽

Cited By ~ 5

Author(s):

Alpha Sylla ◽

Christophe Villa

Keyword(s):

Principal Components Analysis ◽

Principal Components ◽

Implied Volatility ◽

Implied Volatility Surface ◽

Components Analysis ◽

Volatility Surface

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On the (Ir)Relevancy of Value-at-Risk Regulation

Measuring Risk in Complex Stochastic Systems - Lecture Notes in Statistics ◽

10.1007/978-1-4612-1214-0_6 ◽

2000 ◽

pp. 99-117 ◽

Cited By ~ 2

Author(s):

Phornchanok J. Cumperayot ◽

Jon Danielsson ◽

Bjorn N. Jorgensen ◽

Caspar G. de Vries

Keyword(s):

At Risk ◽

Value At Risk ◽

Risk Regulation

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Measuring Risk in Complex Stochastic Systems - Lecture Notes in StatisticsLatest Publications

TOTAL DOCUMENTS

H-INDEX

Published By Springer New York

Behaviour of Some Rank Statistics for Detecting Changes

Credit Scoring using Semiparametric Methods

Backtesting beyond VaR

Predicting Bank Failures in Transition: Lessons from the Czech Bank Crisis of the mid-Nineties

Detection and estimation of changes in ARCH processes

A Simple Approach to Country Risk

A stable CAPM in the presence of heavy-tailed distributions

Computational Resources for Extremes

Measuring Implied Volatility Surface Risk using Principal Components Analysis

On the (Ir)Relevancy of Value-at-Risk Regulation

Measuring Risk in Complex Stochastic Systems - Lecture Notes in Statistics
Latest Publications