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Bhar, Ramaprasad - 2005

Basic Probability Theory and Markov Chains -- Estimation Techniques -- Non-Parametric Method of Estimation -- Unit Root … Implementation, this book helps foc- ing on strategies for rigorously combing finance theory and modeling technology to extend extant … other related modeling topics that help more in-depth exploration of finance theory and putting it into practice. As seen in …

Persistent link: https://www.econbiz.de/10014014047

The Basel II Risk Parameters : Estimation, Validation, Stress Testing - with Applications to Loan Risk Management

Engelmann, Bernd - 2011

Statistical Methods to Develop Rating Models -- Estimation of a Rating Model for Corporate Exposures -- The Shadow Rating Approach - Experience from Banking Practice -- Estimating Probabilities of Default for Low Default Portfolios -- Transition Matrices: Properties and Estimation Methods -- A...

Persistent link: https://www.econbiz.de/10014015277

Kreditportfoliomodellierung : Abhängigkeiten zwischen Ausfallwahrscheinlichkeit, Verlustrate und Forderungshöhe

Eckert, Johanna - 2016 - 1. Aufl. 2016

Modellierung der Abhängigkeiten zwischen Ausfall, Verlustrate und Forderungshöhe bei Ausfall mit Faktoren und Copulae -- Multivariate Erweiterung des Heckman-Schätzers, um der Stichprobenselektion seitens der Verlustrate und der Forderungshöhe gerecht zu werden -- Empirische Befunde zur...

Persistent link: https://www.econbiz.de/10014018364

Forecasting High-Frequency Volatility Shocks : An Analytical Real-Time Monitoring System

Kömm, Holger - 2016 - 1st ed. 2016

This thesis presents a new strategy that unites qualitative and quantitative mass data in form of text news and tick-by-tick asset prices to forecast the risk of upcoming volatility shocks. Holger Kömm embeds the proposed strategy in a monitoring system, using first, a sequence of competing...

Persistent link: https://www.econbiz.de/10014018810

Effizienzanalyse im Marketing : Ein produktionstheoretisch fundierter Ansatz auf Basis von Frontier Functions

Hammerschmidt, Maik - 2006

Einführung -- Zunehmender Effizienzdruck im Marketing - Doing more with less -- Konzeptionelle und theoretische Grundlagen der Effizienzanalyse -- Begrifflich-konzeptionelle Grundlagen der Effizienzanalyse -- Allgemeine theoretische Fundierung der Effizienzanalyse -- Konzeptualisierung der...

Persistent link: https://www.econbiz.de/10014019373

An Introduction to Efficiency and Productivity Analysis

Coelli, Tim; Prasada Rao, D. S.; O'Donnell, Christopher John - 2005 - Second Edition

Softcover version of the second edition Hardcover.Incorporates a new author, Dr. Chris O'Donnell, who brings considerable expertise to the project in the area of performance measurement. Numerous topics are being added and more applications using real data, as well as exercises at the end of the...

Persistent link: https://www.econbiz.de/10013520409

A Structural Framework for the Pricing of Corporate Securities : Economic and Empirical Issues

Genser, Michael (contributor) - 2006

advanced economic settings or to price derivatives on corporate securities. Numerical examples make the theory easily …

Persistent link: https://www.econbiz.de/10013520503

Analysis of Microdata

Winkelmann, Rainer (contributor); Boes, Stefan (contributor) - 2006

The book provides a simple, intuitive introduction to regression models for qualitative and discrete dependent variables, to sample selection models, and to event history models, all in the context of maximum likelihood estimation. It presents a wide range of commonly used models. The book...

Persistent link: https://www.econbiz.de/10013520518

Modern Econometric Analysis : Surveys on Recent Developments

Hübler, Olaf (contributor); Frohn, Jachim (contributor) - 2006

Traditional econometric analysis concentrate on classical methods which are far from suitable handling actual economic problems. Modern econometric analysis tries to develop approaches from an economic perspective. This book presents survey articles of the most important methods in econometrics....

Persistent link: https://www.econbiz.de/10013520671

Financial Risk Management with Bayesian Estimation of GARCH Models : Theory and Applications

Ardia, David (contributor) - 2008

This book presents methodologies for the Bayesian estimation of GARCH models and their application to financial risk management. The study of these models from a Bayesian viewpoint is relatively recent and can be considered very promising due to the advantages of the Bayesian approach, in...

Persistent link: https://www.econbiz.de/10013520959