Info
2146.1-2022 - IEEE Standard for Entity-Based Risk Mutual Assistance Model through Blockchain Technology / / IEEE
| 2146.1-2022 - IEEE Standard for Entity-Based Risk Mutual Assistance Model through Blockchain Technology / / IEEE |
| Pubbl/distr/stampa | New York : , : IEEE, , 2022 |
| Descrizione fisica | 1 online resource (18 pages) |
| Disciplina | 005.74 |
| Soggetto topico |
Blockchains (Databases)
Risk management - Mathematical models |
| ISBN | 1-5044-8848-2 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISA-996575037503316 |
| New York : , : IEEE, , 2022 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||
Algorithms for worst-case design and applications to risk management [[electronic resource] /] / Berç Rustem, Melendres Howe
| Algorithms for worst-case design and applications to risk management [[electronic resource] /] / Berç Rustem, Melendres Howe |
| Autore | Rustem Berc |
| Edizione | [Course Book] |
| Pubbl/distr/stampa | Princeton, N.J. ; ; Oxford, : Princeton University Press, 2002 |
| Descrizione fisica | 1 online resource (405 p.) |
| Disciplina | 511.8 |
| Altri autori (Persone) | HoweMelendres |
| Soggetto topico |
Risk management - Mathematical models
Risk - Mathematical models Decision making - Mathematical models Algorithms |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-68015-896-1
1-282-15719-1 9786612157196 1-4008-2511-3 1-4008-1460-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Front matter -- Contents -- Preface -- Chapter 1. Introduction to Minimax -- Chapter 2. A Survey Of Continuous Minimax Algorithms -- Chapter 3. Algorithms For Computing Saddle Points -- Chapter 4. A Quasi-Newton Algorithm For Continuous Minimax -- Chapter 5. Numerical Experiments With Continuous Minimax Algorithms -- Chapter 6 Minimax As A Robust Strategy For Discrete Rival Scenarios -- Chapter 7 Discrete Minimax Algorithm For Equality And Inequality Constrained Models -- Chapter 8. A Continuous Minimax Strategy For Options Hedging -- Chapter 9. Minimax and Asset Allocation Problems -- Chapter 10. Asset/Liability Management Under Uncertainty -- Chapter 11 Robust Currency Management -- Index |
| Record Nr. | UNINA-9910454803603321 |
Rustem Berc
|
||
| Princeton, N.J. ; ; Oxford, : Princeton University Press, 2002 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Algorithms for worst-case design and applications to risk management [[electronic resource] /] / Berç Rustem, Melendres Howe
| Algorithms for worst-case design and applications to risk management [[electronic resource] /] / Berç Rustem, Melendres Howe |
| Autore | Rustem Berc |
| Edizione | [Course Book] |
| Pubbl/distr/stampa | Princeton, N.J. ; ; Oxford, : Princeton University Press, 2002 |
| Descrizione fisica | 1 online resource (405 p.) |
| Disciplina | 511.8 |
| Altri autori (Persone) | HoweMelendres |
| Soggetto topico |
Risk management - Mathematical models
Risk - Mathematical models Decision making - Mathematical models Algorithms |
| ISBN |
1-68015-896-1
1-282-15719-1 9786612157196 1-4008-2511-3 1-4008-1460-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Front matter -- Contents -- Preface -- Chapter 1. Introduction to Minimax -- Chapter 2. A Survey Of Continuous Minimax Algorithms -- Chapter 3. Algorithms For Computing Saddle Points -- Chapter 4. A Quasi-Newton Algorithm For Continuous Minimax -- Chapter 5. Numerical Experiments With Continuous Minimax Algorithms -- Chapter 6 Minimax As A Robust Strategy For Discrete Rival Scenarios -- Chapter 7 Discrete Minimax Algorithm For Equality And Inequality Constrained Models -- Chapter 8. A Continuous Minimax Strategy For Options Hedging -- Chapter 9. Minimax and Asset Allocation Problems -- Chapter 10. Asset/Liability Management Under Uncertainty -- Chapter 11 Robust Currency Management -- Index |
| Record Nr. | UNINA-9910780200503321 |
|
Rustem Berc
|
||
| Princeton, N.J. ; ; Oxford, : Princeton University Press, 2002 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Algorithms for worst-case design and applications to risk management / / Berc Rustem, Melendres Howe
| Algorithms for worst-case design and applications to risk management / / Berc Rustem, Melendres Howe |
| Autore | Rustem Berc |
| Edizione | [Course Book] |
| Pubbl/distr/stampa | Princeton, N.J. ; ; Oxford, : Princeton University Press, 2002 |
| Descrizione fisica | 1 online resource (405 p.) |
| Disciplina | 511.8 |
| Altri autori (Persone) | HoweMelendres |
| Soggetto topico |
Risk management - Mathematical models
Risk - Mathematical models Decision making - Mathematical models Algorithms |
| ISBN |
9786612157196
9781680158960 1680158961 9781282157194 1282157191 9781400825110 1400825113 9781400814602 140081460X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Front matter -- Contents -- Preface -- Chapter 1. Introduction to Minimax -- Chapter 2. A Survey Of Continuous Minimax Algorithms -- Chapter 3. Algorithms For Computing Saddle Points -- Chapter 4. A Quasi-Newton Algorithm For Continuous Minimax -- Chapter 5. Numerical Experiments With Continuous Minimax Algorithms -- Chapter 6 Minimax As A Robust Strategy For Discrete Rival Scenarios -- Chapter 7 Discrete Minimax Algorithm For Equality And Inequality Constrained Models -- Chapter 8. A Continuous Minimax Strategy For Options Hedging -- Chapter 9. Minimax and Asset Allocation Problems -- Chapter 10. Asset/Liability Management Under Uncertainty -- Chapter 11 Robust Currency Management -- Index |
| Record Nr. | UNINA-9910973050003321 |
|
Rustem Berc
|
||
| Princeton, N.J. ; ; Oxford, : Princeton University Press, 2002 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The analytics of risk model validation [[electronic resource] /] / edited by George Christodoulakis, Stephen Satchell
| The analytics of risk model validation [[electronic resource] /] / edited by George Christodoulakis, Stephen Satchell |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Amsterdam, : Academic Press, 2008 |
| Descrizione fisica | 1 online resource (217 p.) |
| Disciplina |
336.3
658.155015118 |
| Altri autori (Persone) |
ChristodoulakisGeorge
SatchellS (Stephen) |
| Collana | Quantitative finance series |
| Soggetto topico | Risk management - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-281-07150-1
9786611071509 0-08-055388-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Front Cover; The Analytics of Risk Model Validation; Copyright Page; Table of Contents; About the editors; About the contributors; Preface; Chapter 1 Determinants of small business default; Abstract; 1. Introduction; 2. Data, methodology and summary statistics; 3. Empirical results of small business default; 4. Conclusion; References; Notes; Chapter 2 Validation of stress testing models; Abstract; 1. Why stress test?; 2. Stress testing basics; 3. Overview of validation approaches; 4. Subsampling tests; 5. Ideal scenario validation; 6. Scenario validation; 7. Cross-segment validation
8. Back-casting 9. Conclusions; References; Chapter 3 The validity of credit risk model validation methods; Abstract; 1. Introduction; 2. Measures of discriminatory power; 3. Uncertainty in credit risk model validation; 4. Confidence interval for ROC; 5. Bootstrapping; 6. Optimal rating combinations; 7. Concluding remarks; References; Chapter 4 A moments-based procedure for evaluating risk forecasting models; Abstract; 1. Introduction; 2. Preliminary analysis; 3. The likelihood ratio test; 4. A moments test of model adequacy; 5. An illustration; 6. Conclusions; 7. Acknowledgements; References Notes Appendix; 1. Error distribution; 2. Two-piece normal distribution; 3. t-Distribution; 4. Skew-t distribution; Chapter 5 Measuring concentration risk in credit portfolios; Abstract; 1. Concentration risk and validation; 2. Concentration risk and the IRB model; 3. Measuring name concentration; 4. Measuring sectoral concentration; 5. Numerical example; 6. Future challenges of concentration risk measurement; 7. Summary; References; Notes; Appendix A.1: IRB risk weight functions and concentration risk; Appendix A.2: Factor surface for the diversification factor; Appendix A.3 Chapter 6 A simple method for regulators to cross-check operational risk loss models for banks Abstract; 1. Introduction; 2. Background; 3. Cross-checking procedure; 4. Justification of our approach; 5. Justification for a lower bound using the lognormal distribution; 6. Conclusion; References; Chapter 7 Of the credibility of mapping and benchmarking credit risk estimates for internal rating systems; Abstract; 1. Introduction; 2. Why does the portfolio's structure matter?; 3. Credible credit ratings and credible credit risk estimates; 4. An empirical illustration; 5. Credible mapping 6. Conclusions 7. Acknowledgements; References; Appendix; 1. Further elements of modern credibility theory; 2. Proof of the credibility fundamental relation; 3. Mixed Gamma-Poisson distribution and negative binomial; 4. Calculation of the Bühlmann credibility estimate under the Gamma-Poisson model; 5. Calculation of accuracy ratio; Chapter 8 Analytic models of the ROC curve: Applications to credit rating model validation; Abstract; 1. Introduction; 2. Theoretical implications and applications; 3. Choices of distributions; 4. Performance evaluation on the AUROC estimation with simulated data 5. Summary |
| Record Nr. | UNINA-9910450624003321 |
| Amsterdam, : Academic Press, 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The analytics of risk model validation [[electronic resource] /] / edited by George Christodoulakis, Stephen Satchell
| The analytics of risk model validation [[electronic resource] /] / edited by George Christodoulakis, Stephen Satchell |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Amsterdam, : Academic Press, 2008 |
| Descrizione fisica | 1 online resource (217 p.) |
| Disciplina |
336.3
658.155015118 |
| Altri autori (Persone) |
ChristodoulakisGeorge
SatchellStephen <1949-> |
| Collana | Quantitative finance series |
| Soggetto topico | Risk management - Mathematical models |
| ISBN |
1-281-07150-1
9786611071509 0-08-055388-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Front Cover; The Analytics of Risk Model Validation; Copyright Page; Table of Contents; About the editors; About the contributors; Preface; Chapter 1 Determinants of small business default; Abstract; 1. Introduction; 2. Data, methodology and summary statistics; 3. Empirical results of small business default; 4. Conclusion; References; Notes; Chapter 2 Validation of stress testing models; Abstract; 1. Why stress test?; 2. Stress testing basics; 3. Overview of validation approaches; 4. Subsampling tests; 5. Ideal scenario validation; 6. Scenario validation; 7. Cross-segment validation
8. Back-casting 9. Conclusions; References; Chapter 3 The validity of credit risk model validation methods; Abstract; 1. Introduction; 2. Measures of discriminatory power; 3. Uncertainty in credit risk model validation; 4. Confidence interval for ROC; 5. Bootstrapping; 6. Optimal rating combinations; 7. Concluding remarks; References; Chapter 4 A moments-based procedure for evaluating risk forecasting models; Abstract; 1. Introduction; 2. Preliminary analysis; 3. The likelihood ratio test; 4. A moments test of model adequacy; 5. An illustration; 6. Conclusions; 7. Acknowledgements; References Notes Appendix; 1. Error distribution; 2. Two-piece normal distribution; 3. t-Distribution; 4. Skew-t distribution; Chapter 5 Measuring concentration risk in credit portfolios; Abstract; 1. Concentration risk and validation; 2. Concentration risk and the IRB model; 3. Measuring name concentration; 4. Measuring sectoral concentration; 5. Numerical example; 6. Future challenges of concentration risk measurement; 7. Summary; References; Notes; Appendix A.1: IRB risk weight functions and concentration risk; Appendix A.2: Factor surface for the diversification factor; Appendix A.3 Chapter 6 A simple method for regulators to cross-check operational risk loss models for banks Abstract; 1. Introduction; 2. Background; 3. Cross-checking procedure; 4. Justification of our approach; 5. Justification for a lower bound using the lognormal distribution; 6. Conclusion; References; Chapter 7 Of the credibility of mapping and benchmarking credit risk estimates for internal rating systems; Abstract; 1. Introduction; 2. Why does the portfolio's structure matter?; 3. Credible credit ratings and credible credit risk estimates; 4. An empirical illustration; 5. Credible mapping 6. Conclusions 7. Acknowledgements; References; Appendix; 1. Further elements of modern credibility theory; 2. Proof of the credibility fundamental relation; 3. Mixed Gamma-Poisson distribution and negative binomial; 4. Calculation of the Bühlmann credibility estimate under the Gamma-Poisson model; 5. Calculation of accuracy ratio; Chapter 8 Analytic models of the ROC curve: Applications to credit rating model validation; Abstract; 1. Introduction; 2. Theoretical implications and applications; 3. Choices of distributions; 4. Performance evaluation on the AUROC estimation with simulated data 5. Summary |
| Record Nr. | UNINA-9910784746303321 |
| Amsterdam, : Academic Press, 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The analytics of risk model validation / / edited by George Christodoulakis, Stephen Satchell
| The analytics of risk model validation / / edited by George Christodoulakis, Stephen Satchell |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Amsterdam, : Academic Press, 2008 |
| Descrizione fisica | 1 online resource (217 p.) |
| Disciplina |
336.3
658.155015118 |
| Altri autori (Persone) |
ChristodoulakisGeorge
SatchellS (Stephen) |
| Collana | Quantitative finance series |
| Soggetto topico | Risk management - Mathematical models |
| ISBN |
9786611071509
9781281071507 1281071501 9780080553887 0080553885 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Front Cover; The Analytics of Risk Model Validation; Copyright Page; Table of Contents; About the editors; About the contributors; Preface; Chapter 1 Determinants of small business default; Abstract; 1. Introduction; 2. Data, methodology and summary statistics; 3. Empirical results of small business default; 4. Conclusion; References; Notes; Chapter 2 Validation of stress testing models; Abstract; 1. Why stress test?; 2. Stress testing basics; 3. Overview of validation approaches; 4. Subsampling tests; 5. Ideal scenario validation; 6. Scenario validation; 7. Cross-segment validation
8. Back-casting 9. Conclusions; References; Chapter 3 The validity of credit risk model validation methods; Abstract; 1. Introduction; 2. Measures of discriminatory power; 3. Uncertainty in credit risk model validation; 4. Confidence interval for ROC; 5. Bootstrapping; 6. Optimal rating combinations; 7. Concluding remarks; References; Chapter 4 A moments-based procedure for evaluating risk forecasting models; Abstract; 1. Introduction; 2. Preliminary analysis; 3. The likelihood ratio test; 4. A moments test of model adequacy; 5. An illustration; 6. Conclusions; 7. Acknowledgements; References Notes Appendix; 1. Error distribution; 2. Two-piece normal distribution; 3. t-Distribution; 4. Skew-t distribution; Chapter 5 Measuring concentration risk in credit portfolios; Abstract; 1. Concentration risk and validation; 2. Concentration risk and the IRB model; 3. Measuring name concentration; 4. Measuring sectoral concentration; 5. Numerical example; 6. Future challenges of concentration risk measurement; 7. Summary; References; Notes; Appendix A.1: IRB risk weight functions and concentration risk; Appendix A.2: Factor surface for the diversification factor; Appendix A.3 Chapter 6 A simple method for regulators to cross-check operational risk loss models for banks Abstract; 1. Introduction; 2. Background; 3. Cross-checking procedure; 4. Justification of our approach; 5. Justification for a lower bound using the lognormal distribution; 6. Conclusion; References; Chapter 7 Of the credibility of mapping and benchmarking credit risk estimates for internal rating systems; Abstract; 1. Introduction; 2. Why does the portfolio's structure matter?; 3. Credible credit ratings and credible credit risk estimates; 4. An empirical illustration; 5. Credible mapping 6. Conclusions 7. Acknowledgements; References; Appendix; 1. Further elements of modern credibility theory; 2. Proof of the credibility fundamental relation; 3. Mixed Gamma-Poisson distribution and negative binomial; 4. Calculation of the Bühlmann credibility estimate under the Gamma-Poisson model; 5. Calculation of accuracy ratio; Chapter 8 Analytic models of the ROC curve: Applications to credit rating model validation; Abstract; 1. Introduction; 2. Theoretical implications and applications; 3. Choices of distributions; 4. Performance evaluation on the AUROC estimation with simulated data 5. Summary |
| Record Nr. | UNINA-9910957911603321 |
| Amsterdam, : Academic Press, 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Anticipating correlations [[electronic resource] ] : a new paradigm for risk management / / Robert Engle
| Anticipating correlations [[electronic resource] ] : a new paradigm for risk management / / Robert Engle |
| Autore | Engle R. F (Robert F.) |
| Edizione | [Course Book] |
| Pubbl/distr/stampa | Princeton, : Princeton University Press, 2009 |
| Descrizione fisica | 1 online resource (165 p.) |
| Disciplina | 332.678 |
| Collana | Econometric Institute lecture series |
| Soggetto topico |
Finance - Econometric models
Economic forecasting - Mathematical models Risk management - Mathematical models Correlation (Statistics) |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-282-15821-X
9786612158216 1-4008-3019-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Frontmatter -- Contents -- Introduction -- 1. Correlation Economics -- 2. Correlations in Theory -- 3. Models for Correlation -- 4. Dynamic Conditional Correlation -- 5. DCC Performance -- 6. The MacGyver Method -- 7. Generalized DCC Models -- 8. FACTOR DCC -- 9. Anticipating Correlations -- 10. Credit Risk and Correlations -- 11. Econometric Analysis of the DCC Model -- 12. Conclusions -- References -- Index |
| Record Nr. | UNINA-9910455225903321 |
|
Engle R. F (Robert F.)
|
||
| Princeton, : Princeton University Press, 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Anticipating correlations [[electronic resource] ] : a new paradigm for risk management / / Robert Engle
| Anticipating correlations [[electronic resource] ] : a new paradigm for risk management / / Robert Engle |
| Autore | Engle R. F (Robert F.) |
| Edizione | [Course Book] |
| Pubbl/distr/stampa | Princeton, : Princeton University Press, 2009 |
| Descrizione fisica | 1 online resource (165 p.) |
| Disciplina | 332.678 |
| Collana | Econometric Institute lecture series |
| Soggetto topico |
Finance - Econometric models
Economic forecasting - Mathematical models Risk management - Mathematical models Correlation (Statistics) |
| ISBN |
1-282-15821-X
9786612158216 1-4008-3019-2 |
| Classificazione | QK 620 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Frontmatter -- Contents -- Introduction -- 1. Correlation Economics -- 2. Correlations in Theory -- 3. Models for Correlation -- 4. Dynamic Conditional Correlation -- 5. DCC Performance -- 6. The MacGyver Method -- 7. Generalized DCC Models -- 8. FACTOR DCC -- 9. Anticipating Correlations -- 10. Credit Risk and Correlations -- 11. Econometric Analysis of the DCC Model -- 12. Conclusions -- References -- Index |
| Record Nr. | UNINA-9910778220803321 |
|
Engle R. F (Robert F.)
|
||
| Princeton, : Princeton University Press, 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Anticipating correlations : a new paradigm for risk management / / Robert Engle
| Anticipating correlations : a new paradigm for risk management / / Robert Engle |
| Autore | Engle R. F (Robert F.) |
| Edizione | [Course Book] |
| Pubbl/distr/stampa | Princeton, : Princeton University Press, 2009 |
| Descrizione fisica | 1 online resource (165 p.) |
| Disciplina | 332.678 |
| Collana | Econometric Institute lecture series |
| Soggetto topico |
Finance - Econometric models
Economic forecasting - Mathematical models Risk management - Mathematical models Correlation (Statistics) |
| ISBN |
9786612158216
9781282158214 128215821X 9781400830190 1400830192 |
| Classificazione | QK 620 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Frontmatter -- Contents -- Introduction -- 1. Correlation Economics -- 2. Correlations in Theory -- 3. Models for Correlation -- 4. Dynamic Conditional Correlation -- 5. DCC Performance -- 6. The MacGyver Method -- 7. Generalized DCC Models -- 8. FACTOR DCC -- 9. Anticipating Correlations -- 10. Credit Risk and Correlations -- 11. Econometric Analysis of the DCC Model -- 12. Conclusions -- References -- Index |
| Record Nr. | UNINA-9910962555103321 |
|
Engle R. F (Robert F.)
|
||
| Princeton, : Princeton University Press, 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||