Risk Assessment Decisions in Banking and Finance
New developments in assessing and managing risk are discussed in this volume. Addressing both practitioners in the banking sector and research institutions, the book provides a manifold view on the most-discussed topics in finance. Among the subjects trea
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Georg Bol Svetlozar T. Rachev Reinhold Würth (Editors) ●
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Risk Assessment Decisions in Banking and Finance
Physica-Verlag A Springer Company
Editors Prof. Dr. Georg Bol Prof. Dr. Svetlozar T. Rachev University of Karlsruhe (TH) Kollegium am Schloss, Geb. 20.12 76131 Karlsruhe Germany [email protected] [email protected]
ISBN 978-3-7908-2049-2
Prof. Dr. h.c. mult. Reinhold Würth Reinhold-Wü rth-Str. 12-17 74653 Künzelsau-Gaisbach Germany
e-ISBN 978-3-7908-2050-8
DOI: 10.1007/978-3-7908-2050-8 Contributions to Economics ISSN 1431-1933 Library of Congress Control Number: 2008929529 © 2009 Physica-Verlag Heidelberg This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilm or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permissions for use must always be obtained from Physica-Verlag. Violations are liable for prosecution under the German Copyright Law. The use of general descriptive names, registered names, trademarks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. Cover design: WMXDesign GmbH, Heidelberg Printed on acid-free paper 987654321 springer.com
Preface
On April 5–7, 2006, the 9th Econometric Workshop with the title “Risk Assessment: Decisions in Banking and Finance” was held at the University of Karlsruhe (TH), Germany. The workshop was organized by the Institute for Statistics and Mathematical Economics and the Adolf W¨ urth GmbH & Co.KG, K¨ unzelsau. More than 20 invited speakers and 70 participants attended the workshop. The papers presented at the conference dealt with new approaches and solutions in the field of risk assessment and management, covering all types of risk (i.e., market risk, credit risk, and operational risk). This volume includes 12 of the papers presented at the workshop. We are delighted with the range of papers, especially from practitioners. Many people have contributed to the success of the workshop: Sebastian Kring and Sven Klussmeier did the major part of organizing the workshop. The organizational skills of Markus H¨ ochst¨otter, Wei Sun, Theda Schmidt, Nadja Safronova, and Aksana Hurynovich proved indispensable. Jens B¨ uchele und Lyuben Atanasov were responsible for the technical infrastructure while Thomas Plum prepared the design for this volume. All of their help is very much appreciated. The organization committee wishes also to thank the School of Economics and Business Engineering, Vice-Dean Professor Dr. Christof Weinhardt, and Professor Dr. Frank Fabozzi (Yale University’s School of Management) for their cooperation. Last but certainly n
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