Applied Quantitative Finance / Wolfgang Karl Härdle, Cathy Yi-Hsuan Chen, Ludger Overbeck editors |
Edizione | [3. ed] |
Pubbl/distr/stampa | Berlin, : Springer, 2017 |
Descrizione fisica | x, 372 p. : ill. ; 24 cm |
Soggetto topico |
91Gxx - Actuarial science and mathematical finance [MSC 2020]
00B15 - Collections of articles of miscellaneous specific interest [MSC 2020] 91-XX - Game theory, economics, finance, and other social and behavioral sciences [MSC 2020] 62Pxx - Applications of statistics [MSC 2020] |
Soggetto non controllato |
Copula
Copula modelling Credit risk Cryptocurrency Default modeling Dynamics risk measurement High-frequency data Market risk Network risk Portfolio Quantitative Finance Quantitative methods Risk management Systemic risk Time varying quantile lasso Value at risk Volatility |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Titolo uniforme | |
Record Nr. | UNICAMPANIA-VAN0123841 |
Berlin, : Springer, 2017 | ||
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Lo trovi qui: Univ. Vanvitelli | ||
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Compilation of Input-Output Tables : Proceedings of a Session of the 17th General Conference of the International Association for Research in Income and Wealth, Gouvieux, France, August 16 –22, 1981 / edited by Jiří V. Skolka |
Pubbl/distr/stampa | Berlin, : Springer, 1982 |
Descrizione fisica | vii, 307 p. ; 24 cm |
Soggetto topico |
62-XX - Statistics [MSC 2020]
91Bxx - Mathematical economics [MSC 2020] 62P20 - Applications of statistics to economics [MSC 2020] |
Soggetto non controllato |
Accounting
Developing Countries Economy Germany Input-Output Analysis Rating Research Services Standardization Statistics USA Value at risk |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Record Nr. | UNICAMPANIA-VAN0262012 |
Berlin, : Springer, 1982 | ||
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Lo trovi qui: Univ. Vanvitelli | ||
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Geometry : a metric approach with models / Richard S. Millman, George D. Parker |
Autore | Millman, Richard S. |
Pubbl/distr/stampa | New York, : Springer, 1981 |
Descrizione fisica | x, 355 p. : ill. ; 25 cm |
Altri autori (Persone) | Parker, George D. |
Soggetto topico |
51M10 - Hyperbolic and elliptic geometries (general) and generalizations [MSC 2020]
51M05 - Euclidean geometries (general) and generalizations [MSC 2020] 51F05 - Absolute planes in metric geometry [MSC 2020] 51K05 - General theory of distance geometry [MSC 2020] |
Soggetto non controllato |
Addition
Boundary Element Methods Concepts Geometry Idea Models Real numbers Value at risk |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Record Nr. | UNICAMPANIA-VAN0268393 |
Millman, Richard S.
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New York, : Springer, 1981 | ||
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Lo trovi qui: Univ. Vanvitelli | ||
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Implementing value at risk [[electronic resource] /] / Philip Best |
Autore | Best Philip |
Pubbl/distr/stampa | Chichester, West Sussex, England ; ; New York, NY, USA, : J. Wiley & Sons, c1998 |
Descrizione fisica | 1 online resource (224 p.) |
Disciplina |
332.1
332.1/754/0681 332.17540681 658.152 |
Collana | [Financial engineering] |
Soggetto topico |
Asset-liability management
Bank investments |
Soggetto non controllato | Value at risk |
ISBN |
1-280-27203-1
9786610272037 0-470-66804-0 0-470-86596-2 0-470-01330-3 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto |
Contents; Preface; Acknowledgements; 1 Defining risk and VAR; Introduction; What is risk management?; Defining risk; Traditional measurement of market risk; Value at risk - a definition; Stress testing; An assessment of VAR; Notes; 2 Covariance; Introduction; Covariance for a single position; The holding period; Liquidity and VAR; VAR for a portfolio; Extending covariance to cope with options; Summary; Notes; Appendix: Matrix multiplication; 3 Calculating VAR using simulation; Introduction; Historical simulation; Monte Carlo simulation; Summary; Notes; Appendix; Note
4 Measurement of volatility and correlationIntroduction; Non-normality; Measuring volatility; Measuring correlation; Measuring 'significance' and associated issues; Can your VAR model be relied on?; An empirical analysis of VAR model accuracy; Conclusion; Notes; 5 Implementing value at risk; Introduction; Implementing VAR - the decision process; Identifying risk factors; Interest rate assets; Interest rate instrument treatment; Foreign exchange; Commodities; Equities; Summary; Notes; 6 Stress testing; Introduction; Scenario analysis Stressing VAR - covariance and Monte Carlo simulation methodsThe problem with scenario analysis; Systematic stress testing; Conclusion; Notes; 7 Managing risk with VAR; Introduction; Establishing a risk management framework; VAR limits; Stress test limits; Summary; 8 Risk adjusted performance measurement; Introduction; Defining capital; Shareholder value analysis - a strategic decision making tool; Determining the required return on capital; Earnings volatility-based performance measures; Return on capital - VAR-based approach; Capital allocation Rewarding traders on risk adjusted performanceSummary; Notes; 9 Regulators and risk management; Introduction; Regulatory objectives; Rating agencies; Recent regulatory history; European Capital Adequacy Directive; Which BSC regime should I use?; Conclusion; Note; 10 Introduction to the spreadsheets; References and further reading; Index; A; B; C; D; E; F; G; H; I; J; K; L; M; N; O; P; Q; R; S; T; U; V; W; Y; Z |
Record Nr. | UNINA-9910134834503321 |
Best Philip
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Chichester, West Sussex, England ; ; New York, NY, USA, : J. Wiley & Sons, c1998 | ||
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Lo trovi qui: Univ. Federico II | ||
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Linear programming and its applications / James K. Strayer |
Autore | Strayer, James K. |
Pubbl/distr/stampa | New York, : Springer, 1989 |
Descrizione fisica | XI, 265 p. : ill. ; 25 cm |
Soggetto topico |
90C05 - Linear programming [MSC 2020]
90B10 - Deterministic network models in operations research [MSC 2020] 91A05 - 2-person games [MSC 2020] 90C08 - Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.) [MSC 2020] 90-XX - Operations research, mathematical programming [MSC 2020] |
Soggetto non controllato |
Acquisition
Actuarial sciences Algorithms Computer Science Duality Economics Game Theory Graph theory Linear optimization Maxima Probability Transport Transportation Value at risk utility |
ISBN | 978-03-87969-30-5 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Record Nr. | UNICAMPANIA-VAN0050839 |
Strayer, James K.
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New York, : Springer, 1989 | ||
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Lo trovi qui: Univ. Vanvitelli | ||
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Linear programming and its applications / James K. Strayer |
Autore | Strayer, James K. |
Pubbl/distr/stampa | New York, : Springer, 1989 |
Descrizione fisica | xi, 265 p. : ill. ; 25 cm |
Soggetto topico |
90C05 - Linear programming [MSC 2020]
90B10 - Deterministic network models in operations research [MSC 2020] 91A05 - 2-person games [MSC 2020] 90C08 - Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.) [MSC 2020] 90-XX - Operations research, mathematical programming [MSC 2020] |
Soggetto non controllato |
Acquisition
Actuarial sciences Algorithms Computer Science Duality Economics Game Theory Graph theory Linear optimization Maxima Probability Transport Transportation Value at risk utility |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Record Nr. | UNICAMPANIA-VAN0269209 |
Strayer, James K.
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New York, : Springer, 1989 | ||
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Lo trovi qui: Univ. Vanvitelli | ||
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State Space Modeling of Time Series / Masanao Aoki |
Autore | Aoki, Masanao |
Pubbl/distr/stampa | Berlin, : Springer, 1987 |
Descrizione fisica | xi, 315 p. ; 24 cm |
Soggetto topico |
62-XX - Statistics [MSC 2020]
93B30 - System identification [MSC 2020] 62M10 - Time series, auto-correlation, regression, etc. in statistics (GARCH) [MSC 2020] 91B84 - Economic time series analysis [MSC 2020] 62M20 - Inference from stochastic processes and prediction; filtering [MSC 2020] 93E12 - Identification in stochastic control theory [MSC 2020] |
Soggetto non controllato |
Algorithms
Dynamic Programming Forecasting Informations Innovation Instrumental variables Modeling Optimization Rating Regression Time series Value at risk |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Record Nr. | UNICAMPANIA-VAN0264328 |
Aoki, Masanao
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Berlin, : Springer, 1987 | ||
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Lo trovi qui: Univ. Vanvitelli | ||
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Time Series in Economics and Finance / Tomas Cipra |
Autore | Cipra, Tomas |
Pubbl/distr/stampa | Cham, : Springer, 2020 |
Descrizione fisica | ix, 410 p. : ill. ; 24 cm |
Soggetto topico |
62-XX - Statistics [MSC 2020]
62M10 - Time series, auto-correlation, regression, etc. in statistics (GARCH) [MSC 2020] 62P05 - Applications of statistics to actuarial sciences and financial mathematics [MSC 2020] 91B84 - Economic time series analysis [MSC 2020] |
Soggetto non controllato |
Autocorrelation methods
Box-Jenkins methodology Decomposition methods Dynamic models in econometrics Economic time series Financial Econometrics Financial Time Series Multivariate time series Quantitative Finance Seasonality and prediction Time series Time series predictions Trend Value at risk Volatility |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Titolo uniforme | |
Record Nr. | UNICAMPANIA-VAN0249973 |
Cipra, Tomas
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Cham, : Springer, 2020 | ||
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Lo trovi qui: Univ. Vanvitelli | ||
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