Project Details
Description
Das Ziel des Projektes ist die Untersuchung stochastischer Modelle zum Risikoassessment unter Risikomanagement unter Basel II. Die beiden Hauptforschungsgebiete sind dabei Verlaufskurvenschätzung für risikofreie Erträge und Schätzungen von oberen Schranken für Bankrottwahrscheinlichkeiten. Im Laufe des Projektes ist die Abhaltung eines kleinen Workshops zum Thema geplant.
| Status | Finished |
|---|---|
| Effective start/end date | 23.04.2007 → 20.12.2007 |
Collaborative partners
- Johannes Kepler University Linz (lead)
- The University of Saint Cyril and Metodius, Trnava (Project partner)
- Academy of Sciences of the Czech Republic Prague (Project partner)
- University of Ljubljana (Project partner)
- Comenius University Bratislava (Project partner)
Fields of science
- 101007 Financial mathematics
- 504006 Demography
- 101018 Statistics
- 305907 Medical statistics
- 502051 Economic statistics
- 504004 Population statistics
- 105108 Geostatistics
- 509 Other Social Sciences
- 509013 Social statistics
- 102035 Data science
- 101029 Mathematical statistics
- 102009 Computer simulation
- 101026 Time series analysis
- 106007 Biostatistics
- 101024 Probability theory
- 102037 Visualisation
- 502025 Econometrics
- 504007 Empirical social research
JKU Focus areas
- Sustainable Development: Responsible Technologies and Management
- Digital Transformation
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Equidistant and D-optimal designs for parameters of Ornstein-Uhlenbeck process
Kisevlak, J. & Stehlik, M., 2007, (IFAS Research Paper Series; vol. 22).Research output: Working paper and reports › Research report
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Stochastic models in insurance and finance with respect to Basel II
Stehlik, M., Pipiska, M., Hornik, M. & Potocky, R., 2007, Proceedings of the Trends in Applied Mathematics and Statistics. 9 p.Research output: Chapter in Book/Report/Conference proceeding › Conference proceedings
Activities
- 3 Invited talk
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Stochastic models in insurance and finance with respect to Basel II
Stehlik, M. (Speaker) & Potocky, R. (Speaker)
08 Nov 2007Activity: Talk or presentation › Invited talk › unknown
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Risk management
Stehlik, M. (Speaker)
14 Jun 2007Activity: Talk or presentation › Invited talk › unknown
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Risk assessment and audit under BASEL II
Stehlik, M. (Speaker)
27 Apr 2007Activity: Talk or presentation › Invited talk › unknown