Risk Measurement, Econometrics and Neural Networks: Selected Articles of the 6th Econometric-Workshop in Karlsruhe, Germany
Physica-Verlag HD, Oct 20, 1998 - Business & Economics - 306 pages
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.
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Nonparametric Smoothing and Quantile Estimation in Time Series
Development of a CreditStandingIndicator for Companies Based
Delivering JustInTime Information
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agency variables algorithm analysis assets asymptotic bandwidth banking Basle benchmark block ownership calculate capital computed confidence intervals confidence level correlation counterparty covariance matrix credit event credit exposures credit risk credit-standing data warehouse debt default probability defined diversified Durbin-Watson Durbin-Watson statistic economic empirical equity error error-area exceedence Figure financial statement forecast function GARCH German given historical simulation information asymmetry insolvent investment Ivakhnenko J. P. Morgan loss distribution macro-economic managerial market risk mean log-likelihood method multivariate neural networks neuro-fuzzy normal distribution OLAP optimization out-of-sample parameters pecking order performance position prediction prediction-realization pairs pruning algorithms quantile ratio regression residual risk factors risk management risk measurement risk model RiskMetrics sample sector Shewhart shortfall measures speculative default rate statistical structure supervisory systematic risk tabulate tail emphasized Value at Risk VaR-estimators variance VC-index VC-information volatility weight