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Risk Measurement, Econometrics and Neural Networks

Selected Articles of the 6th Econometric-Workshop in Karlsruhe, Germany

  • Conference proceedings
  • © 1998

Overview

Editors:
  1. Georg Bol

    1. Institut für Statistik und Mathematische Wirtschaftstheorie, Universität Karlsruhe, Karlsruhe, Germany

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  2. Gholamreza Nakhaeizadeh

    1. Daimler Benz AG, Ulm, Germany

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  3. Karl-Heinz Vollmer

    1. Südwestdeutsche Genossenschaftszentralbank AG, Karlsruhe, Germany

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Part of the book series: Contributions to Economics (CE)

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Table of contents (14 papers)

  1. Front Matter

    Pages I-XI
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  2. Nonparametric Smoothing and Quantile Estimation in Time Series

    • Klaus Abberger, Yuanhua Feng, Siegfried Heiler
    Pages 1-16

  3. Development of a Credit-Standing-Indicator for Companies Based on Financial Statements and Business Information with Backpropagation-Networks

    • Jörg Baetge, Carsten Uthoff
    Pages 17-38

  4. Data Warehousing and OLAP: Delivering Just-In-Time Information for Decision Support

    • Christoph A. Breitner
    Pages 39-52

  5. Financial Calculations on the Net

    • Wolfgang Härdle, Stefan Sperlich
    Pages 53-56

  6. The Durbin-Watson Test for Neural Regression Models

    • William Holt, Paul Refenes
    Pages 57-68

  7. Neuro-Fuzzy Methods in Finance Applied to the German Stock Index DAX

    • Rudolf Kruse, Stefan Siekmann, Ralph Neuneier, Hans Georg Zimmermann
    Pages 69-82

  8. Statistical Process Control and its Application in Finance

    • Thomas Severin, Wolfgang Schmid
    Pages 83-104

  9. An Analysis of the Financing Behavior of German Stock Corporations Using Artificial Neural Networks

    • Manfred Steiner, Sebastian Schneider, J. Benedict Wolf
    Pages 105-146

  10. Portfolio Analysis Based on the Shortfall Concept

    • Rainer Matthes, Michael Schröder
    Pages 147-160

  11. Basics of Statistical VaR-Estimation

    • Thomas Ridder
    Pages 161-187

  12. On the Accuracy of VaR Estimates Based on the Variance-Covariance Approach

    • Rakhal D. Davé, Gerhard Stahl
    Pages 189-232

  13. Confidence Intervals for the Value-at-Risk

    • Stefan Huschens
    Pages 233-244

  14. Regulatory Framework for the Risk Management of German Credit Institutions

    • Hermann Schulte-Mattler
    Pages 245-257

  15. Measuring and Managing Credit Portfolio Risk

    • Thomas C. Wilson
    Pages 259-306

  16. Back Matter

    Pages 307-307
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Keywords

About this book

This book comprises the articles of the 6th Econometric Workshop in Karlsruhe, Germany. In the first part 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. In the second part various aspects from Value-at-Risk are discussed. The proceedings describe the legal framework, review the basics and discuss new approaches such as shortfall measures and credit risk.

Editors and Affiliations

  • Institut für Statistik und Mathematische Wirtschaftstheorie, Universität Karlsruhe, Karlsruhe, Germany

    Georg Bol

  • Daimler Benz AG, Ulm, Germany

    Gholamreza Nakhaeizadeh

  • Südwestdeutsche Genossenschaftszentralbank AG, Karlsruhe, Germany

    Karl-Heinz Vollmer

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