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Data analysis and applications. 4, Financial data analysis and methods / edited by Andreas Makrides, Alex Karagrigoriou, Christos H. Skiadas

Additional Titles:
Financial data analysis and methods
Published:
London : ISTE, Ltd. ; Hoboken : Wiley, 2020.
Physical Description:
1 online resource (315 pages).
Additional Creators:
Makrides, Andreas (Lecturer in Mathematics and Statistics), Karagrigoriou, Alex, and Skiadas, Christos H.
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Series:
Contents:
Cover -- Half-Title Page -- Title Page -- Copyright Page -- Contents -- Preface -- PART 1: Financial Data Analysis and Methods -- 1. Forecasting Methods in Extreme Scenarios and Advanced Data Analytics for Improved Risk Estimation -- 1.1. Introduction -- 1.2. The low price effect and correction -- 1.2.1. Percentage value at risk and low price correction -- 1.2.2. Expected Percentage Shortfall (EPS) and Low Price Correction -- 1.2.3. Adjusted Evaluation Measures -- 1.2.4. Backtesting and Method's Advantages -- 1.3. Application -- 1.3.1. The Alpha warrant -- 1.3.2. The ARTX stock, 1.4. Conclusion -- 1.5. Acknowledgements -- 1.6. References -- 2. Credit Portfolio Risk Evaluation with Non-Gaussian One-factor Merton Models and its Application to CDO Pricing -- 2.1. Introduction -- 2.2. Model and assumptions -- 2.3. Asymptotic evaluation of credit risk measures -- 2.4. Data analysis -- 2.5. Conclusion -- 2.6. Acknowledgements -- 2.7. References -- 3. Towards an Improved Credit Scoring System with Alternative Data: the Greek Case -- 3.1. Introduction -- 3.2. Literature review: stages of credit scoring -- 3.3. Performance definition -- 3.4. Data description, 3.4.1. Alternative data in credit scoring -- 3.4.2. Credit scoring data set -- 3.4.3. Data pre-processing -- 3.5. Models' comparison -- 3.6. Out-of-time and out-of-sample validation -- 3.7. Conclusion -- 3.8. References -- 4. EM Algorithm for Estimating the Parameters of the Multivariate Stable Distribution -- 4.1. Introduction -- 4.2. Estimators of maximum likelihood approach -- 4.3. Quadrature formulas -- 4.4. Computer modeling -- 4.5. Conclusion -- 4.6. References -- PART 2: Statistics and Stochastic Data Analysis and Methods -- 5. Methods for Assessing Critical States of Complex Systems, 7. Generalizations of Poisson Process in the Modeling of Random Processes Related to Road Accidents -- 7.1. Introduction -- 7.2. Non-homogeneous Poisson process -- 7.3. Model of the road accident number in Poland -- 7.3.1. Estimation of model parameters -- 7.3.2. Anticipation of the accident number -- 7.4. Non-homogeneous compound Poisson process -- 7.5. Data analysis -- 7.6. Anticipation of the accident consequences -- 7.7. Conclusion -- 7.8. References -- 8. Dependability and Performance Analysis for a Two Unit Multi-state System with Imperfect Switch -- 8.1. Introduction, and 5.1. Introduction -- 5.2. Heart rate variability -- 5.3. Time-series processing methods -- 5.4. Conclusion -- 5.5. References -- 6. Resampling Procedures for a More Reliable Extremal Index Estimation -- 6.1. Introduction and motivation -- 6.2. Properties and difficulties of classical estimators -- 6.3. Resampling procedures in extremal index estimation -- 6.3.1. A simulation study of mean values and mean square error patterns of the estimators -- 6.3.2. A choice of δ and Κ: a heuristic sample path stability criterion -- 6.4. Some overall comments -- 6.5. Acknowledgements -- 6.6. References
Subject(s):
ISBN:
9781119721611 (electronic bk. ; oBook)
111972161X (electronic bk. ; oBook)
9781119721505
1119721504
1786306247
9781786306241
Note:
8.2. Description of the system under maintenance and imperfect switch
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