Overview

This text presents articles taken from the 6th Econometric Workshop, held in Karlsruhe. In the first part of the text, approaches from traditional econometrics and innovative methods from machine learning such as neural nets are applied to financial issues. Neural networks are successfully applied to different areas such as debtor analysis, forecasting and corporate finance. The second part of the text deals with various aspects from value-at-risk. The proceedings describe the legal framework, review the basics and discuss approaches such as shortfall measures and credit risk.

Full Product Details

Author:   Georg Bol ,  Gholamreza Nakhaeizadeh ,  Karl-Heinz Vollmer ,  K.-H. Vollmer
Publisher:   Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Imprint:   Physica-Verlag GmbH & Co
Edition:   Softcover reprint of the original 1st ed. 1998
Dimensions:   Width: 15.50cm , Height: 1.70cm , Length: 23.50cm
Weight:   1.010kg
ISBN:  

9783790811520

ISBN 10:   3790811521
Pages:   306
Publication Date:   20 October 1998
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   In Print  
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Table of Contents

Nonparametric Smoothing and Quantile Estimation in Time Series.- Development of a Credit-Standing-Indicator for Companies Based on Financial Statements and Business Information with Backpropagation- Networks.- Data Warehousing and OLAP: Delivering Just-In-Time Information for Decision Support.- Financial Calculations on the Net.- The Durbin-Watson Test for Neural Regression Models.- Neuro-Fuzzy Methods in Finance Applied to the German Stock Index DAX.- Statistical Process Control and its Application in Finance.- An Analysis of the Financing Behavior of German Stock Corporations Using Artificial Neural Networks.- Portfolio Analysis Based on the Shortfall Concept.- Basics of Statistical VaR-Estimation.- On the Accuracy of VaR Estimates Based on the Variance-Covariance Approach.- Confidence Intervals for the Value-at-Risk.- Regulatory Framework for the Risk Management of German Credit Institutions.- Measuring and Managing Credit Portfolio Risk.

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