Table of contents for Measuring risk in complex stochastic systems / Jurgen Franke, Wolfgang Hardle, Gerhard Stahl, editors.


Bibliographic record and links to related information available from the Library of Congress catalog


Information from electronic data provided by the publisher. May be incomplete or contain other coding.


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Integrated Risk Management and Extreme Value Theory.- Coherent Allocation Capital for Credit Portfolios.- A Simple Approach to Country Risk.- The Structure of Credit Risk.- Extreme Value Theory and Risk Management: Basic Results.- Sensitivity of Values at Risk.- Extremes of ARCH Models.- Risk Exposure and its Sensitivity to Model Misspecification.- Neural Networks and Applications in Finance.- Nonlinear Approximation and Statistical Applications I.- Semiparametric Lower Bounds for Tail Index Estimation.- Bandwith Choice for M-estimators in Projection Pursuit and Single Index Regression.- Semiparametric Indirect Inference.- Change-point Problem in ARCH Models.- Change in Polynomial Regression and Related Processes.


Library of Congress subject headings for this publication:
Risk management -- Mathematical models.
Investments -- Mathematical models.
Finance -- Mathematical models.
Asset-liability management.