Neural network time series models for financial risk management:
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Berlin
Wiss. Verl. Berlin
2001
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XI, 138 S. graph. Darst. |
| ISBN: | 3932089731 |
Staff View
MARC
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| 245 | 1 | 0 | |a Neural network time series models for financial risk management |c Francesco Virili |
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Record in the Search Index
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| adam_text | ix
Table of Contents
Table of Contents xi
Preface and acknowledgements 1
Introduction 5
1 Use of market predictions in banking for asset and liability
management 9
1.1 Credit risk 10
1.2 Liquidity risk 11
1.3 Interest rate risk 12
1.4 Market risk 12
1.5 Foreign exchange risk 13
1.6 Operational risk 13
1.7 Solvency risk 14
1.8 Risk measurement 15
1.9 Quantitative indicators 16
1.10 Asset and liability management principles 17
1.10.1 Interest rate risk dimensions 18
1.10.2 Downside risk measures: VaR 20
1.11 Asset and liability management techniques 21
1.11.1 Amount of equity at risk: duration, convexity and
interest rate elasticity/sensitivity 21
1.11.2 Unexpected interest rate shifts: the term structure of
interest rates 24
1.11.3 Timing of cash flow changes: gap analysis and simu¬
lation modelling 25
2 A nonlinear model for the estimation of business scenarios 28
2.1 Introduction 28
2.2 Mortgage market according to previous linear models .... 29
2.3 Estimation of mortgage demand function 32
2.4 The proposed neural network model 33
2.5 Conclusions 41
X
3 Preprocessing seasonal time series for improving neural net¬
work predictions 43
3.1 Introduction 43
3.2 Preprocessing 45
3.3 Seasonality 45
3.4 Empirical investigation 50
3.5 Results 52
3.6 Conclusions 54
4 Nonstationarity and data preprocessing for neural network
time series predictions 57
4.1 Introduction 57
4.2 Stationarity 58
4.3 Preprocessing, stationarity and linear models 59
4.3.1 Unit root tests 63
4.3.2 Instantaneous transformations 65
4.3.3 Selecting the right preprocessing with linear models . 66
4.4 Introducing nonlinearity 67
4.5 Nonstationarity and neural network models 68
4.5.1 Basic assumptions in time series modelling 68
4.5.2 Extrapolation and the bias-variance dilemma 69
4.5.3 Noise/nonstationarity trade-off with neural network
models 72
4.5.4 Data set normalization 73
4.6 Seasonality 73
4.7 The experiment 74
4.7.1 Analyzing the series MV (Mortgage Volume): trends
in mean and in variance 75
4.7.2 The distribution over time 77
4.7.3 Removing a trend in mean: differencing 78
4.7.4 Testing for a unit root 79
4.7.5 The models 82
4.8 Results 85
4.9 Conclusions 87
5 A multiple time series neural network model for business
scenarios estimation: model selection methodology 91
5.1 Introduction 91
5.2 Neural network model selection 92
5.3 Application: modelling the mortgage loans demand 96
5.3.1 Cross validation: comparison with the procedure adopted
in chapter 2 96
5.3.2 Preprocessing, feature selection and parameter esti¬
mation 98
5.4 Accuracy estimation: results 101
5.5 Model update and diagnostic analysis 103
5.6 Linear diagnostic checks 104
5.7 Remedies: linear model selection 109
xi
5.8 Simulations: two scenarios 110
5.9 Conclusions 112
6 Concluding remarks and future work 119
Bibliography 125
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| institution | BVB |
| isbn | 3932089731 |
| language | English |
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| physical | XI, 138 S. graph. Darst. |
| publishDate | 2001 |
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| spelling | Virili, Francesco Verfasser aut Neural network time series models for financial risk management Francesco Virili Berlin Wiss. Verl. Berlin 2001 XI, 138 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Zugl.: Siegen, Univ., Diss., 2001 Neuronales Netz (DE-588)4226127-2 gnd rswk-swf Bank (DE-588)4004436-1 gnd rswk-swf Bilanzstrukturmanagement (DE-588)4413520-8 gnd rswk-swf Zeitreihenanalyse (DE-588)4067486-1 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Bank (DE-588)4004436-1 s Bilanzstrukturmanagement (DE-588)4413520-8 s Zeitreihenanalyse (DE-588)4067486-1 s Neuronales Netz (DE-588)4226127-2 s DE-188 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=021966174&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Virili, Francesco Neural network time series models for financial risk management Neuronales Netz (DE-588)4226127-2 gnd Bank (DE-588)4004436-1 gnd Bilanzstrukturmanagement (DE-588)4413520-8 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd |
| subject_GND | (DE-588)4226127-2 (DE-588)4004436-1 (DE-588)4413520-8 (DE-588)4067486-1 (DE-588)4113937-9 |
| title | Neural network time series models for financial risk management |
| title_auth | Neural network time series models for financial risk management |
| title_exact_search | Neural network time series models for financial risk management |
| title_full | Neural network time series models for financial risk management Francesco Virili |
| title_fullStr | Neural network time series models for financial risk management Francesco Virili |
| title_full_unstemmed | Neural network time series models for financial risk management Francesco Virili |
| title_short | Neural network time series models for financial risk management |
| title_sort | neural network time series models for financial risk management |
| topic | Neuronales Netz (DE-588)4226127-2 gnd Bank (DE-588)4004436-1 gnd Bilanzstrukturmanagement (DE-588)4413520-8 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd |
| topic_facet | Neuronales Netz Bank Bilanzstrukturmanagement Zeitreihenanalyse Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=021966174&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT virilifrancesco neuralnetworktimeseriesmodelsforfinancialriskmanagement |