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Measuring Risk in Complex Stochastic Systems

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Cover of 'Measuring Risk in Complex Stochastic Systems'

Table of Contents

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    Book Overview
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    Chapter 1 Allocation of Economic Capital in loan portfolios
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    Chapter 2 Estimating Volatility for Long Holding Periods
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    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 7: Backtesting beyond VaR
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