Measuring Risk in Complex Stochastic System

Introduction......Page 15
Ability to Pay Process......Page 16
Loss distribution......Page 17
Economic Capital......Page 18
Capital allocation based on Var/Covar......Page 19
Contributory capital based on coherent risk measures......Page 21
Capital Definition......Page 22
Analytic Risk Contribution......Page 23
Comparison......Page 24
Summary......Page 25
Bibliography......Page 29
Introduction......Page 31
Construction and Properties of the Estimator......Page 32
Large Sample Properties......Page 33
Small Sample Adjustments......Page 34
Monte Carlo Illustrations......Page 36
Applications......Page 39
Bibliography......Page 41
Introduction......Page 43
Structural versus Reduced-Form Models......Page 44
No-Arbitrage vs Equilibrium Term Structure......Page 45
Assumptions of the Model......Page 46
The Arbitrage-Free Value of a Eurobond......Page 48
Possible Applications......Page 53
Determination of Parameters......Page 54
DM-Eurobonds under Consideration......Page 55
Equity Indices and Currencies......Page 56
Default-Free Term Structure and Correlation......Page 57
Calibration of Default-Mechanism......Page 58
Inputs for the Closed-Form Solution......Page 59
Hedging......Page 60
Static Part of Hedge......Page 61
Dynamic Part of Hedge......Page 62
Evaluation of the Hedging Strategy......Page 63
Set Up of the Monte Carlo Approach......Page 64
Optimality Condition......Page 66
Application of the Optimality Condition......Page 68
Modification of the Optimality Condition......Page 69
Bibliography......Page 70
Motivation......Page 73
Improving ``Standard\'\' Models of Bank Failures......Page 74
Czech banking sector......Page 76
Data and the Results......Page 78
Bibliography......Page 80
Introduction......Page 85
Data Description......Page 86
Semiparametric Credit Scoring......Page 87
Misclassification and Performance Curves......Page 89
Bibliography......Page 101
Introduction......Page 103
VaR and other Risk Measures......Page 104
VaR and Other Risk Measures......Page 106
VaR as a Side Constraint......Page 108
Economic Motives for VaR Management......Page 109
Policy Implications......Page 114
Bibliography......Page 116
Forecast tasks and VaR Models......Page 121
Backtesting based on the expected shortfall......Page 123
Backtesting in Action......Page 124
Bibliography......Page 130
Introduction......Page 133
PCA of Implicit Volatility Dynamics......Page 134
The results......Page 135
Local Volatility Models......Page 139
Implicit Volatility Models......Page 140
The volatility models implementation......Page 141
VaR : Origins and definition......Page 144
Bibliography......Page 145
Introduction......Page 149
Asymptotics under null hypothesis......Page 152
Asymptotics under local alternatives......Page 154
ARCH model......Page 155
Extensions......Page 157
Bibliography......Page 158
Introduction......Page 161
Limit Theorems......Page 164
Simulations......Page 166
Comments......Page 168
Bibliography......Page 170
Introduction......Page 175
Empirical evidence......Page 176
Univariate und multivariate alpha-stable distributions......Page 178
Stable CAPM and estimation for beta-coefficients......Page 180
Stable CAPM......Page 181
Estimation of the beta-coefficient in stable CAPM......Page 182
Test for bivariate symmetry......Page 183
Estimates for the beta-coefficient in stable CAPM......Page 185
Bibliography......Page 187
Introduction......Page 189
Advantages of the Proposed Risk Management Approach......Page 190
Mathematical Definition of the P & L Distribution......Page 191
Estimation of the P&L using the Hyperbolic Model......Page 192
Extension to Credit Risk......Page 195
Application......Page 196
Bibliography......Page 199
Introduction......Page 201
XploRe......Page 202
Extreme Value Analysis with XploRe and Xtremes......Page 203
Client/Server Architectures......Page 205
Client/Server Architecture of XploRe......Page 206
Xtremes CORBA Server......Page 208
Bibliography......Page 209
Confidence intervals for a tail index estimator......Page 211
Bibliography......Page 215
Introduction......Page 219
The model and its properties......Page 220
The tails of the stationary distribution......Page 221
Normalizing factors......Page 224
Computation of the extremal index......Page 225
Empirical study......Page 227
Tail behavior......Page 230
The extremal index......Page 233
Proofs......Page 234
Bibliography......Page 248