Buch, Englisch, 320 Seiten, Format (B × H): 152 mm x 231 mm, Gewicht: 599 g
Financial Data Analysis and Methods
Buch, Englisch, 320 Seiten, Format (B × H): 152 mm x 231 mm, Gewicht: 599 g
ISBN: 978-1-78630-624-1
Verlag: Wiley
Data analysis as an area of importance has grown exponentially, especially during the past couple of decades. This can be attributed to a rapidly growing computer industry and the wide applicability of computational techniques, in conjunction with new advances of analytic tools. This being the case, the need for literature that addresses this is self-evident. New publications are appearing, covering the need for information from all fields of science and engineering, thanks to the universal relevance of data analysis and statistics packages. This book is a collective work by a number of leading scientists, analysts, engineers, mathematicians and statisticians who have been working at the forefront of data analysis. The chapters included in this volume represent a cross-section of current concerns and research interests in these scientific areas. The material is divided into three parts: Financial Data Analysis and Methods, Statistics and Stochastic Data Analysis and Methods, and Demographic Methods and Data Analysis- providing the reader with both theoretical and applied information on data analysis methods, models and techniques and appropriate applications.
Autoren/Hrsg.
Weitere Infos & Material
Preface xiii
Part 1 Financial Data Analysis and Methods 1
Chapter 1 Forecasting Methods in Extreme Scenarios and Advanced Data Analytics for Improved Risk Estimation 3
George-Jason SIOURIS, Despoina SKILOGIANNI and Alex Karagrigoriou
1.1 Introduction 3
1.2 The low price effect and correction 6
1.2.1 Percentage value at risk and low price correction 9
1.2.2 Expected Percentage Shortfall (EPS) and Low Price Correction 12
1.2.3 Adjusted Evaluation Measures 14
1.2.4 Backtesting and Method’s Advantages 15
1.3 Application 17
1.3.1 The Alpha warrant 17
1.3.2 The ARTX stock 24
1.4 Conclusion 28
1.5 Acknowledgements 30
1.6 References 30
Chapter 2 Credit Portfolio Risk Evaluation with Non-Gaussian One-factor Merton Models and its Application to CDO Pricing 33
Takuya FUJII and Takayuki SHIOHAMA
2.1 Introduction 33
2.2 Model and assumptions 36
2.3 Asymptotic evaluation of credit risk measures 40
2.4 Data analysis 44
2.5 Conclusion 48
2.6 Acknowledgements 48
2.7 References 48
Chapter 3 Towards an Improved Credit Scoring System with Alternative Data: the Greek Case 51
Panagiota GIANNOULI and Christos E. KOUNTZAKIS
3.1 Introduction 51
3.2 Literature review: stages of credit scoring 52
3.3 Performance definition 53
3.4 Data description 54
3.4.1 Alternative data in credit scoring 54
3.4.2 Credit scoring data set 54
3.4.3 Data pre-processing 55
3.5 Models’ comparison 56
3.6 Out-of-time and out-of-sample validation 58
3.7 Conclusion 59
3.8 References 59
Chapter 4 EM Algorithm for Estimating the Parameters of the Multivariate Stable Distribution 61
Leonidas SAKALAUSKAS and Ingrida VAICIULYTE
4.1 Introduction 61
4.2 Estimators of maximum likelihood approach 63
4.3 Quadrature formulas 67
4.4 Computer modeling 68
4.5 Conclusion 71
4.6 References 71
Part 2. Statistics and Stochastic Data Analysis and Methods 75
Chapter 5 Methods for Assessing Critical States of Complex Systems 77
Valery ANTONOV
5.1 Introduction 77
5.2 Heart rate variability 78
5.3 Time-series processing methods 80
5.4 Conclusion 87
5.5 References 88
Chapter 6 Resampling Procedures for a More Reliable Extremal Index Estimation 89
Dora PRATA GOMES and M. Manuela NEVES
6.1 Introduction and motivation 89
6.2 Properties and difficulties of classical estimators 92
6.3 Resampling procedures in extremal index estimation 93
6.3.1 A simulation study of mean values and mean square error patterns of the estimators 94
6.3.2 A choice of d and k: a heuristic sample path stability criterion 96
6.4 Some overall comments 98
6.5 Acknowledgements 99
6.6 References 99
Chapter 7 Generalizations of Poisson Process in the Modeling of Random Processes Related to Road Accidents 103
Franciszek GRABSKI
7.1 Introduction 103
7.2 Non-homogeneous Poisson process 104
7.3 Model of the road accident number in Poland 106
7.3.1 Estimation of model parameters 107
7.3.2 Anticipation of the accident number 108
7.4 Non-homogeneous compound Poisson process 109
7.5 Data analysis 113
7.6 Anticipation of the accident consequences 113
7.7 Conclusion 116
7.8 References 117
Chapter 8 Dependability and Performance Analysis for a Two Unit Multi-state System with Imperfect Switch 119
Vasilis P. KOUTRAS, Sonia MALEFAKI and Agapios N. PLATIS
8.1 Introduction 120
8.2 Description of the system under maintenance and imperfect switch 122
8.3 Dependability and performance measures 124
8.3.1 Transient phase 125
8.3.2 Asymptotic analysis 128
8.4 Optimal maintenance policy 129
8.4
