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Author: George A. Christodoulakis Publisher: Elsevier ISBN: 0080553885 Category : Business & Economics Languages : en Pages : 217
Book Description
Risk model validation is an emerging and important area of research, and has arisen because of Basel I and II. These regulatory initiatives require trading institutions and lending institutions to compute their reserve capital in a highly analytic way, based on the use of internal risk models. It is part of the regulatory structure that these risk models be validated both internally and externally, and there is a great shortage of information as to best practise. Editors Christodoulakis and Satchell collect papers that are beginning to appear by regulators, consultants, and academics, to provide the first collection that focuses on the quantitative side of model validation. The book covers the three main areas of risk: Credit Risk and Market and Operational Risk.*Risk model validation is a requirement of Basel I and II *The first collection of papers in this new and developing area of research *International authors cover model validation in credit, market, and operational risk
Author: George A. Christodoulakis Publisher: Elsevier ISBN: 0080553885 Category : Business & Economics Languages : en Pages : 217
Book Description
Risk model validation is an emerging and important area of research, and has arisen because of Basel I and II. These regulatory initiatives require trading institutions and lending institutions to compute their reserve capital in a highly analytic way, based on the use of internal risk models. It is part of the regulatory structure that these risk models be validated both internally and externally, and there is a great shortage of information as to best practise. Editors Christodoulakis and Satchell collect papers that are beginning to appear by regulators, consultants, and academics, to provide the first collection that focuses on the quantitative side of model validation. The book covers the three main areas of risk: Credit Risk and Market and Operational Risk.*Risk model validation is a requirement of Basel I and II *The first collection of papers in this new and developing area of research *International authors cover model validation in credit, market, and operational risk
Author: David Jamieson Bolder Publisher: Springer ISBN: 3319946889 Category : Business & Economics Languages : en Pages : 704
Book Description
The risk of counterparty default in banking, insurance, institutional, and pension-fund portfolios is an area of ongoing and increasing importance for finance practitioners. It is, unfortunately, a topic with a high degree of technical complexity. Addressing this challenge, this book provides a comprehensive and attainable mathematical and statistical discussion of a broad range of existing default-risk models. Model description and derivation, however, is only part of the story. Through use of exhaustive practical examples and extensive code illustrations in the Python programming language, this work also explicitly shows the reader how these models are implemented. Bringing these complex approaches to life by combining the technical details with actual real-life Python code reduces the burden of model complexity and enhances accessibility to this decidedly specialized field of study. The entire work is also liberally supplemented with model-diagnostic, calibration, and parameter-estimation techniques to assist the quantitative analyst in day-to-day implementation as well as in mitigating model risk. Written by an active and experienced practitioner, it is an invaluable learning resource and reference text for financial-risk practitioners and an excellent source for advanced undergraduate and graduate students seeking to acquire knowledge of the key elements of this discipline.
Author: Frank J. Fabozzi Publisher: John Wiley & Sons ISBN: 0470262478 Category : Business & Economics Languages : en Pages : 528
Book Description
A comprehensive look at the tools and techniques used in quantitative equity management Some books attempt to extend portfolio theory, but the real issue today relates to the practical implementation of the theory introduced by Harry Markowitz and others who followed. The purpose of this book is to close the implementation gap by presenting state-of-the art quantitative techniques and strategies for managing equity portfolios. Throughout these pages, Frank Fabozzi, Sergio Focardi, and Petter Kolm address the essential elements of this discipline, including financial model building, financial engineering, static and dynamic factor models, asset allocation, portfolio models, transaction costs, trading strategies, and much more. They also provide ample illustrations and thorough discussions of implementation issues facing those in the investment management business and include the necessary background material in probability, statistics, and econometrics to make the book self-contained. Written by a solid author team who has extensive financial experience in this area Presents state-of-the art quantitative strategies for managing equity portfolios Focuses on the implementation of quantitative equity asset management Outlines effective analysis, optimization methods, and risk models In today's financial environment, you have to have the skills to analyze, optimize and manage the risk of your quantitative equity investments. This guide offers you the best information available to achieve this goal.
Author: Jay P. Singh Publisher: John Wiley & Sons ISBN: 1119184290 Category : Psychology Languages : en Pages : 357
Book Description
Provides comprehensive coverage on recidivism risk/needs assessment tools Correctional and healthcare professionals around the world utilize structured instruments referred to as risk/needs assessment tools to predict the likelihood that an offender will recidivate. Such tools have been found to provide accurate and reliable evaluations and are widely used to assess, manage, and monitor offenders both institutionally as well as in the community. By identifying offenders in need of different levels of intervention, examining causal risk factors, and individualizing case management plans, risk/needs assessment tools have proven invaluable in addressing the public health issue of recidivism. Recidivism Risk/Needs Assessment Tools brings together the developers of the most commonly-used risk/needs assessment tools to provide a comprehensive overview of their development, peer-reviewed research literature, and practical application. Written by the leading professionals in the field of risk/needs assessment, the book provides chapters on: Recidivism Risk Assessment in the 21st Century; Performance of Recidivism Risk Assessment Instruments in Correctional Settings; Correctional Offender Management Profiles for Alternative Sanctions (COMPAS); the Federal Post-Conviction Risk Assessment Instrument; the Inventory of Offender Risks, Needs, and Strengths (IORNS); the Level of Service (LS) Instruments; the Ohio Risk Assessment System (ORAS); the Self-Appraisal Questionnaire (SAQ); the Service Planning Instrument (SPIn); the Static Risk Offender Needs Guide-Revised (STRONG-R); the Offender Group Reconviction Scale (OGRS); the Forensic Operationalized Therapy/Risk Evaluation System (FOTRES); the RisCanvi; and more. Systematically identifies currently-validated recidivism risk/needs assessment tools Reviews research on recidivism risk/needs assessment tools used internationally Each chapter presents sufficient detail to decide whether a given recidivism risk/needs assessment tool is right for your practice Recidivism Risk/Needs Assessment Tools is ideal for correctional, probation and parole, and behavioral health professionals.
Author: Norman R. Swanson Publisher: MDPI ISBN: 303650852X Category : Business & Economics Languages : en Pages : 196
Book Description
Recently, considerable attention has been placed on the development and application of tools useful for the analysis of the high-dimensional and/or high-frequency datasets that now dominate the landscape. The purpose of this Special Issue is to collect both methodological and empirical papers that develop and utilize state-of-the-art econometric techniques for the analysis of such data.
Author: Masanobu Taniguchi Publisher: CRC Press ISBN: 1351643622 Category : Mathematics Languages : en Pages : 455
Book Description
The composition of portfolios is one of the most fundamental and important methods in financial engineering, used to control the risk of investments. This book provides a comprehensive overview of statistical inference for portfolios and their various applications. A variety of asset processes are introduced, including non-Gaussian stationary processes, nonlinear processes, non-stationary processes, and the book provides a framework for statistical inference using local asymptotic normality (LAN). The approach is generalized for portfolio estimation, so that many important problems can be covered. This book can primarily be used as a reference by researchers from statistics, mathematics, finance, econometrics, and genomics. It can also be used as a textbook by senior undergraduate and graduate students in these fields.
Author: Committee to Assess Health Risks from Exposure to Low Levels of Ionizing Radiation Publisher: National Academies Press ISBN: 0309133343 Category : Science Languages : en Pages : 422
Book Description
This book is the seventh in a series of titles from the National Research Council that addresses the effects of exposure to low dose LET (Linear Energy Transfer) ionizing radiation and human health. Updating information previously presented in the 1990 publication, Health Effects of Exposure to Low Levels of Ionizing Radiation: BEIR V, this book draws upon new data in both epidemiologic and experimental research. Ionizing radiation arises from both natural and man-made sources and at very high doses can produce damaging effects in human tissue that can be evident within days after exposure. However, it is the low-dose exposures that are the focus of this book. So-called “late” effects, such as cancer, are produced many years after the initial exposure. This book is among the first of its kind to include detailed risk estimates for cancer incidence in addition to cancer mortality. BEIR VII offers a full review of the available biological, biophysical, and epidemiological literature since the last BEIR report on the subject and develops the most up-to-date and comprehensive risk estimates for cancer and other health effects from exposure to low-level ionizing radiation.
Author: Publisher: Elsevier ISBN: 0444636544 Category : Business & Economics Languages : en Pages : 594
Book Description
Handbook of Econometrics, Volume 7A, examines recent advances in foundational issues and "hot" topics within econometrics, such as inference for moment inequalities and estimation of high dimensional models. With its world-class editors and contributors, it succeeds in unifying leading studies of economic models, mathematical statistics and economic data. Our flourishing ability to address empirical problems in economics by using economic theory and statistical methods has driven the field of econometrics to unimaginable places. By designing methods of inference from data based on models of human choice behavior and social interactions, econometricians have created new subfields now sufficiently mature to require sophisticated literature summaries. - Presents a broader and more comprehensive view of this expanding field than any other handbook - Emphasizes the connection between econometrics and economics - Highlights current topics for which no good summaries exist
Author: Y. Kharin Publisher: Springer Science & Business Media ISBN: 9401586306 Category : Mathematics Languages : en Pages : 313
Book Description
This book is concerned with important problems of robust (stable) statistical pat tern recognition when hypothetical model assumptions about experimental data are violated (disturbed). Pattern recognition theory is the field of applied mathematics in which prin ciples and methods are constructed for classification and identification of objects, phenomena, processes, situations, and signals, i. e. , of objects that can be specified by a finite set of features, or properties characterizing the objects (Mathematical Encyclopedia (1984)). Two stages in development of the mathematical theory of pattern recognition may be observed. At the first stage, until the middle of the 1970s, pattern recogni tion theory was replenished mainly from adjacent mathematical disciplines: mathe matical statistics, functional analysis, discrete mathematics, and information theory. This development stage is characterized by successful solution of pattern recognition problems of different physical nature, but of the simplest form in the sense of used mathematical models. One of the main approaches to solve pattern recognition problems is the statisti cal approach, which uses stochastic models of feature variables. Under the statistical approach, the first stage of pattern recognition theory development is characterized by the assumption that the probability data model is known exactly or it is esti mated from a representative sample of large size with negligible estimation errors (Das Gupta, 1973, 1977), (Rey, 1978), (Vasiljev, 1983)).
Author: George A. Christodoulakis
Author: George A. Christodoulakis
Author: David Jamieson Bolder
Author: Frank J. Fabozzi
Author: Jay P. Singh
Author: Norman R. Swanson
Author: Masanobu Taniguchi
Author: Daniel Grenouilleau
Author: Committee to Assess Health Risks from Exposure to Low Levels of Ionizing Radiation
Author: 
Author: Y. Kharin