Measuring Risk in Complex Stochastic Systems Book

Integrated Risk Management and Extreme Value Theory.- Coherent Allocation Capital for Credit Portfolios.- A Simple Approach to Country Risk.- The Structure of Credit Risk.- Extreme Value Theory and Risk Management: Basic Results.- Sensitivity of Values at Risk.- Extremes of ARCH Models.- Risk Exposure and its Sensitivity to Model Misspecification.- Neural Networks and Applications in Finance.- Nonlinear Approximation and Statistical Applications I.- Semiparametric Lower Bounds for Tail Index Estimation.- Bandwith Choice for M-estimators in Projection Pursuit and Single Index Regression.- Semiparametric Indirect Inference.- Change-point Problem in ARCH Models.- Change in Polynomial Regression and Related Processes.