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Stress Testing and Risk Integration in Banks, Bellini, Tiziano


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Цена: 11957.00р.
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Автор: Bellini, Tiziano
Название:  Stress Testing and Risk Integration in Banks
ISBN: 9780128035900
Издательство: Elsevier Science
Классификация:


ISBN-10: 0128035900
Обложка/Формат: Hardback
Страницы: 250
Вес: 0.62 кг.
Дата издания: 02.11.2016
Язык: English
Размер: 165 x 267 x 21
Подзаголовок: A statistical framework and practical software guide (in matlab and r)
Ссылка на Издательство: Link
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Поставляется из: Европейский союз
Описание:

Stress Testing and Risk Integration in Banks provides a comprehensive view of the risk management activity by means of the stress testing process. An introduction to multivariate time series modeling paves the way to scenario analysis in order to assess a bank resilience against adverse macroeconomic conditions. Assets and liabilities are jointly studied to highlight the key issues that a risk manager needs to face. A multi-national bank prototype is used all over the book for diving into market, credit, and operational stress testing.

Interest rate, liquidity and other major risks are also studied together with the former to outline how to implement a fully integrated risk management toolkit. Examples, business cases, and exercises worked in Matlab and R facilitate readers to develop their own models and methodologies.




Introduction to Stochastic Integration

Автор: Kuo
Название: Introduction to Stochastic Integration
ISBN: 0387287205 ISBN-13(EAN): 9780387287201
Издательство: Springer
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Цена: 6986.00 р.
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Описание: Also called Ito calculus, the theory of stochastic integration has applications in virtually every scientific area involving random functions. This introductory textbook provides a concise introduction to the Ito calculus. From the reviews:"Introduction to Stochastic Integration is exactly what the title says.

Stochastic Integration and Differential Equations / Second Edition, Version 2.1

Автор: Protter Philip E.
Название: Stochastic Integration and Differential Equations / Second Edition, Version 2.1
ISBN: 3540003134 ISBN-13(EAN): 9783540003137
Издательство: Springer
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Цена: 11878.00 р.
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Описание: Includes the proof of the fundamental Doob-Meyer decomposition theorem. This book contains the more general version of the Girsanov theorem due to Lenglart and martingale representation, including both the Jacod-Yor theory and Emery`s examples of martingales that actually have martingale representation.

Guide To Pamir, The: Theory And Use Of Parameterized Adaptive Multidimensional Integration Routines

Автор: Adler Stephen L
Название: Guide To Pamir, The: Theory And Use Of Parameterized Adaptive Multidimensional Integration Routines
ISBN: 9814425036 ISBN-13(EAN): 9789814425032
Издательство: World Scientific Publishing
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Цена: 7603.00 р.
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Описание: Suitable for physicists, applied mathematicians, computer scientists, and engineers, this book presents introductory materials, similar to that on the PAMIR website. It also offers details on the use of the programs than is on the website.

Mean Field Simulation for Monte Carlo Integration

Автор: Del Moral
Название: Mean Field Simulation for Monte Carlo Integration
ISBN: 1138198730 ISBN-13(EAN): 9781138198739
Издательство: Taylor&Francis
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Цена: 7961.00 р.
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Описание:

In the last three decades, there has been a dramatic increase in the use of interacting particle methods as a powerful tool in real-world applications of Monte Carlo simulation in computational physics, population biology, computer sciences, and statistical machine learning. Ideally suited to parallel and distributed computation, these advanced particle algorithms include nonlinear interacting jump diffusions; quantum, diffusion, and resampled Monte Carlo methods; Feynman-Kac particle models; genetic and evolutionary algorithms; sequential Monte Carlo methods; adaptive and interacting Markov chain Monte Carlo models; bootstrapping methods; ensemble Kalman filters; and interacting particle filters.

Mean Field Simulation for Monte Carlo Integration presents the first comprehensive and modern mathematical treatment of mean field particle simulation models and interdisciplinary research topics, including interacting jumps and McKean-Vlasov processes, sequential Monte Carlo methodologies, genetic particle algorithms, genealogical tree-based algorithms, and quantum and diffusion Monte Carlo methods.

Along with covering refined convergence analysis on nonlinear Markov chain models, the author discusses applications related to parameter estimation in hidden Markov chain models, stochastic optimization, nonlinear filtering and multiple target tracking, stochastic optimization, calibration and uncertainty propagations in numerical codes, rare event simulation, financial mathematics, and free energy and quasi-invariant measures arising in computational physics and population biology.

This book shows how mean field particle simulation has revolutionized the field of Monte Carlo integration and stochastic algorithms. It will help theoretical probability researchers, applied statisticians, biologists, statistical physicists, and computer scientists work better across their own disciplinary boundaries.

Capital Market Integration in South Asia

Автор: Aiyer Sourajit
Название: Capital Market Integration in South Asia
ISBN: 0081019068 ISBN-13(EAN): 9780081019061
Издательство: Elsevier Science
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Цена: 18696.00 р.
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Описание: Capital Market Integration in South Asia: Realizing the SAARC Opportunity discusses the potential Capital Market Products/Activities which can create closer inter-linkage of the South Asian capital markets and help local/global investors benefit from this economic opportunity. . While some ideas may be implementable now; others have future promise as the regional markets further mature. The book demonstrates both retail and institutional investor interest in this combined high-growth region by offering scope for yield, diversification and risk mitigation, maximized upside from multiple growth markets, minimized downside through low-correlation constituents, and more. The book's core theme addresses the challenges towards deepening the awareness and acceptability of regional economies. Only when this happens will the asset flows increase into the regional market products, providing scale-up that will aid viability for these products.

Monetary Integration, Markets and Regulation

Автор: Bagella
Название: Monetary Integration, Markets and Regulation
ISBN: 0762311002 ISBN-13(EAN): 9780762311002
Издательство: Elsevier Science
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Цена: 18422.00 р.
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Описание: This volume contains contempory analysis of three key developments in financial economics: financial integration; the dynamics of financial markets; and the information, computer, and technology revolution and its impact on markets and the economic performance, among others. With regard to financial integration, the contributions focus on three streams in international finance: the impact of increased financial integration on credit risk and on the required regulatory arrangements needed to reduce the probability of welfare reducing bank failures, the creation of new international currencies, and the relationship between finance and growth. With regard to the dynamics of financial markets, specific attention is devoted to the complex interaction of different sets of traders with heterogeneous beliefs and information sets. Finally, with respect to the ICT revolution, attention is focused on its impact on: foreign direct investment across countries, competition in the banking industry, consolidation in the financial services industry including its effects credit availability for small and medium sized enterprises, and the capital structure decisions of financial firms.

Stress-testing the Banking System

Автор: Quagliariello
Название: Stress-testing the Banking System
ISBN: 052176730X ISBN-13(EAN): 9780521767309
Издательство: Cambridge Academ
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Цена: 22810.00 р.
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Описание: Many observers have pointed out that a more extensive use of stress-testing methodologies would have helped to alleviate the repercussions of the current financial crisis. This book analyses the theoretical underpinnings, as well as the practical aspects, of applying such methodologies.

The Future of the ASEAN Economic Integration

Автор: Verico
Название: The Future of the ASEAN Economic Integration
ISBN: 1137596120 ISBN-13(EAN): 9781137596123
Издательство: Springer
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Цена: 13974.00 р.
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Описание: Verico discusses the ASEAN economic integration from dual perspectives of time span (trade, investment and finance) and framework (bilateral, sub-regional, regional and regional plus). The work is a comprehensive study of the integration in the wake of the ASEAN Economic Community (AEC)’s inauguration in late 2015. Examining various economic agreement levels from the ASEAN Free Trade Area (AFTA), Bilateral Free Trade Agreement (BFTA) and the AEC to financial integration in ASEAN, Verico attempts to envisage the future of ASEAN in completing its regional economic integration from trade to investment and finance. Verico argues that, in the absence of a customs union, ASEAN must utilize the open-regionalism frameworks of the ASEAN Plus One, ASEAN Plus Three, Regional Comprehensive Economic Partnership and others in order to shift its economic integration level in this way.

Europeanization, European Integration and Financial Services

Автор: Howell
Название: Europeanization, European Integration and Financial Services
ISBN: 1403912556 ISBN-13(EAN): 9781403912558
Издательство: Springer
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Цена: 16769.00 р.
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Описание: This book deals with the political philosophy that underpins theories of European integration and develops an understanding of Europeanization based on downloading and up-loading. Up-loading indicates the use of national governments or sub-national interests in the development of European integration processes.


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