Holdings: Model risk :: THWS Bibkatalog

Model risk: identification, measurement and management

Saved in:

Bibliographic Details
Other Authors:	Scheule, Harald 1975- (Editor)
Format:	Book
Language:	English
Published:	London Risk Books 2010
Subjects:	Modellierung Risikoanalyse Risikomanagement Kapitalmarkt Aufsatzsammlung
Online Access:	Inhaltsverzeichnis
Physical Description:	XXXVI, 500 S.
ISBN:	9781906348250

Staff View

MARC


LEADER	00000nam a2200000 c 4500
001	BV036563671
003	DE-604
005	20110713
007	t
008	100714s2010 \|\|\|\| 00\|\|\| eng d
020			\|a 9781906348250 \|9 978-1-906348-25-0
024	3		\|a 9781906348250
035			\|a (OCoLC)699712458
035			\|a (DE-599)BSZ319218007
040			\|a DE-604 \|b ger
041	0		\|a eng
049			\|a DE-355
084			\|a QK 620 \|0 (DE-625)141668: \|2 rvk
245	1	0	\|a Model risk \|b identification, measurement and management \|c Ed. by Harald Scheule ...
264		1	\|a London \|b Risk Books \|c 2010
300			\|a XXXVI, 500 S.
336			\|b txt \|2 rdacontent
337			\|b n \|2 rdamedia
338			\|b nc \|2 rdacarrier
650	0	7	\|a Modellierung \|0 (DE-588)4170297-9 \|2 gnd \|9 rswk-swf
650	0	7	\|a Risikoanalyse \|0 (DE-588)4137042-9 \|2 gnd \|9 rswk-swf
650	0	7	\|a Risikomanagement \|0 (DE-588)4121590-4 \|2 gnd \|9 rswk-swf
650	0	7	\|a Kapitalmarkt \|0 (DE-588)4029578-3 \|2 gnd \|9 rswk-swf
655		7	\|0 (DE-588)4143413-4 \|a Aufsatzsammlung \|2 gnd-content
689	0	0	\|a Kapitalmarkt \|0 (DE-588)4029578-3 \|D s
689	0	1	\|a Risikomanagement \|0 (DE-588)4121590-4 \|D s
689	0	2	\|a Modellierung \|0 (DE-588)4170297-9 \|D s
689	0	3	\|a Risikoanalyse \|0 (DE-588)4137042-9 \|D s
689	0		\|C b \|5 DE-604
700	1		\|a Scheule, Harald \|d 1975- \|0 (DE-588)12845525X \|4 edt
856	4	2	\|m Digitalisierung UB Regensburg \|q application/pdf \|u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020484954&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA \|3 Inhaltsverzeichnis
999			\|a oai:aleph.bib-bvb.de:BVB01-020484954

Record in the Search Index

_version_	1804143141376229376
adam_text	Contents List of Figures ix List of Tables xv About the Editors xxi About the Authors xxiii Introduction xxxv PART I CONCEPTS AND STOCHASTIC FRAMEWORKS FOR MODEL RISK 1 1 Downturn Model Risk: Another View on the Global Financial Crisis 3 Daniel Rösch; Harald Schenk Leibniz Universität Hannover; The University of Melbourne 2 Follow the Money from Boom to Bust 19 Jorge R. Sobehart Citi Risk Architecture 3 Model Risk and Non-Gaussian Latent Risk Factors 45 Steffi Hose and Stefan Huschens Technische Universität Dresden 4 Model Risk in Garch-Type Financial Time Series 75 Corinna Luedtke, Philipp Sibbertsen Leibniz Universität Hannover PART H MACROECONOMIC AND CAPITAL MODELS 91 5 Monetary Policy, Asset Return Dynamics and the General Equilibrium Effect 93 Kmng-Liang Cfiang; Nan-Kiiang Chen; Otarles Ka Yui Leung Xational Chiavi University; National Taiwan University; City University of Hong Kong 6 Capital Divergence: Sensitivity of Economic and Regulatory Capital under Stress 137 Oleg Burd KfW IPEX-Bank GmbH MODEL RISK PARTIU CREDIT PORTFOLIO RISK MODELS 153 7 Diversified Asset Portfolio Modelling: Sources and Mitigante of Model Risk 155 Sean Keenan, Stefano SantUli, Sukyul Suh; Andrew Barnes, Huaiyu Ma, Colin McCulloch GE Capital; GE Global Research Center 8 Transmission of Macro Shocks to Loan Losses in a Deep Crisis: The Case of Finland 183 Esa Jokwuolle; Matti Virên; Oskaři Vähämaa Bank of Finland; University of Turku and Bank of Finland; University of Turku 9 Comparison of Credit-Risk Models for Portfolios of Retail Loans Based on Behavioural Scores 209 Lyn С Thomas; Madhur Malik University of Southampton; Lloyds Banking Group 10 Validating Structural Credit Portfolio Models 233 Michael Kalkbrener, Akwum Onwunta Deutsche Bank AG 11 Asymmetric Asset Correlation: Some Implications for the Estimation of Probability of Default 263 Peŕer Мій; Bogie Özdemir McMaster University; BMO Financial Group 12 A Latent Variable Approach to Validate Credit Rating Systems 277 Kurt Horník, Rainer Jankowitsch, Christoph Leitner, Stefan Fichier; Manuel Lingo, Gerhard Winkler Wirtschaftsuniversität Wien; Oesterreichische Nationalbank PART IV LIQUIDITY, MARKET AND OPERATIONAL RISK MODELS 297 13 Modelling Derivatives Cashflows in Liquidity Risk Models 299 Siefan Reitz Hochschule für Technik Stuttgart 14 Potential Future Market Risk 315 Manuela Spangler, Ralf Werner Deutsche Pfandbriefbank 15 Market Risk Modelling: Approaches to Assessing Model Adequacy 339 Carsten S. Wehn DekaBank vi CONTENTS 16 Estimation of Operational Value-at-Risk in the Presence of Minimum Collection Threshold: An Empirical Study 359 Anna Chernobai; Christian Menn; Svetlozar T. Rachev; Stefan Truck Syracuse University; DZ Bank AG; Universität Karlsruhe, Finanalytica Inc, University of California at Santa Barbara; Macquarie University 17 Operational Risk and Hedge Fund Performance: Evidence from Australia 421 Robin Liio, Xiangkang Yin La Trobe University PARTV RISKTRANSFER AND SECURITISATION MODELS 435 18 Identification and Classification of Model Risks in Counterparty Credit Risk Measurement Systems 437 Marcus R. W. Martin University of Applied Sciences, Darmstadt 19 Quantifying Systematic Risks in a Portfolio of CoUateralised Debt Obligations 457 Martin Donhauser, Alfred Hamerle, Kilián Plank University of Regensburg Epilogue 489 Index 493 vii
any_adam_object	1
author2	Scheule, Harald 1975-
author2_role	edt
author2_variant	h s hs
author_GND	(DE-588)12845525X
author_facet	Scheule, Harald 1975-
building	Verbundindex
bvnumber	BV036563671
classification_rvk	QK 620
ctrlnum	(OCoLC)699712458 (DE-599)BSZ319218007
discipline	Wirtschaftswissenschaften
format	Book
fullrecord	<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01618nam a2200409 c 4500</leader><controlfield tag="001">BV036563671</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20110713 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">100714s2010 \|\|\|\| 00\|\|\| eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9781906348250</subfield><subfield code="9">978-1-906348-25-0</subfield></datafield><datafield tag="024" ind1="3" ind2=" "><subfield code="a">9781906348250</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)699712458</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BSZ319218007</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-355</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 620</subfield><subfield code="0">(DE-625)141668:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Model risk</subfield><subfield code="b">identification, measurement and management</subfield><subfield code="c">Ed. by Harald Scheule ...</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">London</subfield><subfield code="b">Risk Books</subfield><subfield code="c">2010</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">XXXVI, 500 S.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Modellierung</subfield><subfield code="0">(DE-588)4170297-9</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Risikoanalyse</subfield><subfield code="0">(DE-588)4137042-9</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Risikomanagement</subfield><subfield code="0">(DE-588)4121590-4</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Kapitalmarkt</subfield><subfield code="0">(DE-588)4029578-3</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="655" ind1=" " ind2="7"><subfield code="0">(DE-588)4143413-4</subfield><subfield code="a">Aufsatzsammlung</subfield><subfield code="2">gnd-content</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Kapitalmarkt</subfield><subfield code="0">(DE-588)4029578-3</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Risikomanagement</subfield><subfield code="0">(DE-588)4121590-4</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="2"><subfield code="a">Modellierung</subfield><subfield code="0">(DE-588)4170297-9</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="3"><subfield code="a">Risikoanalyse</subfield><subfield code="0">(DE-588)4137042-9</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="C">b</subfield><subfield code="5">DE-604</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Scheule, Harald</subfield><subfield code="d">1975-</subfield><subfield code="0">(DE-588)12845525X</subfield><subfield code="4">edt</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">Digitalisierung UB Regensburg</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020484954&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-020484954</subfield></datafield></record></collection>
genre	(DE-588)4143413-4 Aufsatzsammlung gnd-content
genre_facet	Aufsatzsammlung
id	DE-604.BV036563671
illustrated	Not Illustrated
indexdate	2024-07-09T22:42:57Z
institution	BVB
isbn	9781906348250
language	English
oai_aleph_id	oai:aleph.bib-bvb.de:BVB01-020484954
oclc_num	699712458
open_access_boolean
owner	DE-355 DE-BY-UBR
owner_facet	DE-355 DE-BY-UBR
physical	XXXVI, 500 S.
publishDate	2010
publishDateSearch	2010
publishDateSort	2010
publisher	Risk Books
record_format	marc
spelling	Model risk identification, measurement and management Ed. by Harald Scheule ... London Risk Books 2010 XXXVI, 500 S. txt rdacontent n rdamedia nc rdacarrier Modellierung (DE-588)4170297-9 gnd rswk-swf Risikoanalyse (DE-588)4137042-9 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Kapitalmarkt (DE-588)4029578-3 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Kapitalmarkt (DE-588)4029578-3 s Risikomanagement (DE-588)4121590-4 s Modellierung (DE-588)4170297-9 s Risikoanalyse (DE-588)4137042-9 s b DE-604 Scheule, Harald 1975- (DE-588)12845525X edt Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020484954&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis
spellingShingle	Model risk identification, measurement and management Modellierung (DE-588)4170297-9 gnd Risikoanalyse (DE-588)4137042-9 gnd Risikomanagement (DE-588)4121590-4 gnd Kapitalmarkt (DE-588)4029578-3 gnd
subject_GND	(DE-588)4170297-9 (DE-588)4137042-9 (DE-588)4121590-4 (DE-588)4029578-3 (DE-588)4143413-4
title	Model risk identification, measurement and management
title_auth	Model risk identification, measurement and management
title_exact_search	Model risk identification, measurement and management
title_full	Model risk identification, measurement and management Ed. by Harald Scheule ...
title_fullStr	Model risk identification, measurement and management Ed. by Harald Scheule ...
title_full_unstemmed	Model risk identification, measurement and management Ed. by Harald Scheule ...
title_short	Model risk
title_sort	model risk identification measurement and management
title_sub	identification, measurement and management
topic	Modellierung (DE-588)4170297-9 gnd Risikoanalyse (DE-588)4137042-9 gnd Risikomanagement (DE-588)4121590-4 gnd Kapitalmarkt (DE-588)4029578-3 gnd
topic_facet	Modellierung Risikoanalyse Risikomanagement Kapitalmarkt Aufsatzsammlung
url	http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020484954&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
work_keys_str_mv	AT scheuleharald modelriskidentificationmeasurementandmanagement

Holdings

There is no print copy available.

Interlibrary loan Place Request Caution: Not in THWS collection! Indexes

MARC

Record in the Search Index

There is no print copy available.

Similar Items