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Measuring Risk in Complex Stochastic Systems

Overview of attention for book
Cover of 'Measuring Risk in Complex Stochastic Systems'

Table of Contents

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    Book Overview
  2. Altmetric Badge
    Chapter 1 Allocation of Economic Capital in loan portfolios
  3. Altmetric Badge
    Chapter 2 Estimating Volatility for Long Holding Periods
  4. Altmetric Badge
    Chapter 3 A Simple Approach to Country Risk
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    Chapter 4 Predicting Bank Failures in Transition: Lessons from the Czech Bank Crisis of the mid-Nineties
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    Chapter 5 Credit Scoring using Semiparametric Methods
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    Chapter 6 On the (Ir)Relevancy of Value-at-Risk Regulation
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    Chapter 7 Backtesting beyond VaR
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    Chapter 8 Measuring Implied Volatility Surface Risk using Principal Components Analysis
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    Chapter 9 Detection and estimation of changes in ARCH processes
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    Chapter 10 Behaviour of Some Rank Statistics for Detecting Changes
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    Chapter 11 A stable CAPM in the presence of heavy-tailed distributions
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    Chapter 12 A Tailored Suit for Risk Management: Hyperbolic Model
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    Chapter 13 Computational Resources for Extremes
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    Chapter 14 Confidence intervals for a tail index estimator
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    Chapter 15 Extremes of alpha-ARCH Models
Attention for Chapter 1: Allocation of Economic Capital in loan portfolios
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Citations

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Chapter title
Allocation of Economic Capital in loan portfolios
Chapter number 1
Book title
Measuring Risk in Complex Stochastic Systems
Published by
Springer, New York, NY, January 2000
DOI 10.1007/978-1-4612-1214-0_1
Book ISBNs
978-0-387-98996-9, 978-1-4612-1214-0
Authors

Ludger Overbeck, Overbeck, Ludger

View on publisher site
Mendeley readers

Mendeley readers

The data shown below were compiled from readership statistics for 6 Mendeley readers of this research output. Click here to see the associated Mendeley record.

Geographical breakdown

Country Count As %
Unknown 6 100%

Demographic breakdown

Readers by professional status Count As %
Student > Ph. D. Student 2 33%
Professor 1 17%
Researcher 1 17%
Student > Master 1 17%
Unknown 1 17%
Readers by discipline Count As %
Economics, Econometrics and Finance 3 50%
Mathematics 2 33%
Unknown 1 17%

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