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Author: G. S. Maddala
Publisher: Cambridge University Press
Published: 1998
Total Pages: 528
ISBN-13: 9780521587822
DOWNLOAD EBOOKA comprehensive review of unit roots, cointegration and structural change from a best-selling author.
Author: Tiziano Bellini
Publisher: Academic Press
Published: 2016-11-26
Total Pages: 318
ISBN-13: 0128036117
DOWNLOAD EBOOKStress Testing and Risk Integration in Banks provides a comprehensive view of the risk management activity by means of the stress testing process. An introduction to multivariate time series modeling paves the way to scenario analysis in order to assess a bank resilience against adverse macroeconomic conditions. Assets and liabilities are jointly studied to highlight the key issues that a risk manager needs to face. A multi-national bank prototype is used all over the book for diving into market, credit, and operational stress testing. Interest rate, liquidity and other major risks are also studied together with the former to outline how to implement a fully integrated risk management toolkit. Examples, business cases, and exercises worked in Matlab and R facilitate readers to develop their own models and methodologies. - Provides a rigorous statistical framework for modeling stress test in line with U.S. Federal Reserve FRB CCAR (Comprehensive Capital Analysis Review), U.K. PRA (Prudential Regulatory Authority), EBA (European Baning Authorithy) and comply with Basel Accord requirements - Follows an integrated bottom-up approach central in the most advanced risk modelling practice - Provides numerous sample codes in Matlab and R
Author:
Publisher:
Published: 2006
Total Pages: 888
ISBN-13:
DOWNLOAD EBOOKA scientific and educational journal not only for professional statisticians but also for economists, business executives, research directors, government officials, university professors, and others who are seriously interested in the application of statistical methods to practical problems, in the development of more useful methods, and in the improvement of basic statistical data.
Author: Carlo Rainieri
Publisher: Springer Nature
Published:
Total Pages: 749
ISBN-13: 3031614216
DOWNLOAD EBOOKAuthor: Maria Pina Limongelli
Publisher: Springer Nature
Published: 2023-09-02
Total Pages: 800
ISBN-13: 3031391098
DOWNLOAD EBOOKThis volume presents peer-reviewed contributions from the 10th International Conference on Experimental Vibration Analysis for Civil Engineering Structures (EVACES), held in Milan, Italy on August 30-September 1, 2023. The event brought together engineers, scientists, researchers, and practitioners, providing a forum for discussing and disseminating the latest developments and achievements in all major aspects of dynamic testing for civil engineering structures, including instrumentation, sources of excitation, data analysis, system identification, monitoring and condition assessment, in-situ and laboratory experiments, codes and standards, and vibration mitigation. The topics included but were not limited to: damage identification and structural health monitoring; testing, sensing and modeling; vibration isolation and control; system and model identification; coupled dynamical systems (including human–structure, vehicle–structure, and soil–structure interaction); and application of advanced techniques involving the Internet of Things, robot, UAV, big data and artificial intelligence.
Author: Tiziano Bellini
Publisher: Academic Press
Published: 2019-01-15
Total Pages: 318
ISBN-13: 0128149418
DOWNLOAD EBOOKIFRS 9 and CECL Credit Risk Modelling and Validation covers a hot topic in risk management. Both IFRS 9 and CECL accounting standards require Banks to adopt a new perspective in assessing Expected Credit Losses. The book explores a wide range of models and corresponding validation procedures. The most traditional regression analyses pave the way to more innovative methods like machine learning, survival analysis, and competing risk modelling. Special attention is then devoted to scarce data and low default portfolios. A practical approach inspires the learning journey. In each section the theoretical dissertation is accompanied by Examples and Case Studies worked in R and SAS, the most widely used software packages used by practitioners in Credit Risk Management. - Offers a broad survey that explains which models work best for mortgage, small business, cards, commercial real estate, commercial loans and other credit products - Concentrates on specific aspects of the modelling process by focusing on lifetime estimates - Provides an hands-on approach to enable readers to perform model development, validation and audit of credit risk models
Author: Kim Phuc Tran
Publisher: Springer Nature
Published: 2021-08-29
Total Pages: 270
ISBN-13: 3030838196
DOWNLOAD EBOOKThis book introduces the latest research on advanced control charts and new machine learning approaches to detect abnormalities in the smart manufacturing process. By approaching anomaly detection using both statistics and machine learning, the book promotes interdisciplinary cooperation between the research communities, to jointly develop new anomaly detection approaches that are more suitable for the 4.0 Industrial Revolution. The book provides ready-to-use algorithms and parameter sheets, enabling readers to design advanced control charts and machine learning-based approaches for anomaly detection in manufacturing. Case studies are introduced in each chapter to help practitioners easily apply these tools to real-world manufacturing processes. The book is of interest to researchers, industrial experts, and postgraduate students in the fields of industrial engineering, automation, statistical learning, and manufacturing industries.
Author:
Publisher:
Published: 1999
Total Pages: 886
ISBN-13:
DOWNLOAD EBOOKAuthor: William W. S. Wei
Publisher: John Wiley & Sons
Published: 2019-03-18
Total Pages: 536
ISBN-13: 1119502853
DOWNLOAD EBOOKAn essential guide on high dimensional multivariate time series including all the latest topics from one of the leading experts in the field Following the highly successful and much lauded book, Time Series Analysis—Univariate and Multivariate Methods, this new work by William W.S. Wei focuses on high dimensional multivariate time series, and is illustrated with numerous high dimensional empirical time series. Beginning with the fundamentalconcepts and issues of multivariate time series analysis,this book covers many topics that are not found in general multivariate time series books. Some of these are repeated measurements, space-time series modelling, and dimension reduction. The book also looks at vector time series models, multivariate time series regression models, and principle component analysis of multivariate time series. Additionally, it provides readers with information on factor analysis of multivariate time series, multivariate GARCH models, and multivariate spectral analysis of time series. With the development of computers and the internet, we have increased potential for data exploration. In the next few years, dimension will become a more serious problem. Multivariate Time Series Analysis and its Applications provides some initial solutions, which may encourage the development of related software needed for the high dimensional multivariate time series analysis. Written by bestselling author and leading expert in the field Covers topics not yet explored in current multivariate books Features classroom tested material Written specifically for time series courses Multivariate Time Series Analysis and its Applications is designed for an advanced time series analysis course. It is a must-have for anyone studying time series analysis and is also relevant for students in economics, biostatistics, and engineering.
Author:
Publisher:
Published: 1999
Total Pages: 900
ISBN-13:
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