| Description |
1 online resource |
| Series |
Studies in financial optimization and risk management |
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Studies in financial optimization and risk management.
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| Contents |
PREFACE ; Chapter 1 A CONTROL SYSTEMS APPROACH FOR CREDIT RISK SIMULATION AND CONTROL OF A LOAN PORTFOLIO ; ABSTRACT ; INTRODUCTION ; STUDY OF THE MODEL BASED ON THE LOAN CLASSIFICATION BY REPAYMENT STATUS ; Model Description ; Model Identification ; System Stability and Steady State Values ; Simulation Results ; STUDY OF THE MODEL BASED ON THE LOAN CLASSIFICATION BY RATING ; Model Description ; Model Identification ; Definition and Solution of the Open Loop Optimal Control Problem ; Open Loop Solution -- Case Study ; CONCLUSION ; REFERENCES |
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Chapter 2 MONEY LAUNDERING (ML) POLICIES IN THE GREEK BANKING SECTOR AND PERSPECTIVES RELATED TO AN EFFECTIVE CONFRONTATION FRAMEWORK ABSTRACT ; 1. INTRODUCTION ; 2. DETERMINATION OF THE PROBLEM OF MONEY LAUNDERING AND THE INTERNATIONAL EXPERIENCE ; 3. METHODOLOGY ; 4. ML FRAMEWORK ; 4.1. Definition of ML ; 4.2. The Implications of ML PHenomenon ; 4.3. ML Stages ; Stage L: The stage of "placement" ; Stage LI: The stage of "layering" ; Stage LII: The stage of "integration" ; 4.4. ML Sources ; 4.5. Off-Shore Companies and ML; 5. AWARENESS AGAINST MLPHENOMENON |
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6. APPLICATION OF THE POLICIES AGAINST MLIN THE GREEK BANKING SECTOR 6.1. The Greek Regulatory Framework against ML; 6.2. Enrollment of the Greek Regulatory Framework against ML: The Case of "Piraeus Bank" ; 6.3. Investigations on the Spot and Sanctions Enforced from Bank of Greece ; CONCLUSION ; The Erosive Influence of Organized Crime to the Society ; International Economy and ML ; General Conclusion-the Greek Case ; REFERENCES ; Other Relevant References ; Web Resources ; Chapter 3 ON THE NELSON-SIEGEL AND GAMTAUX YIELD CURVE MODELS ; ABSTRACT ; 1. INTRODUCTION ; 2. YIELD CURVES |
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3. PARSIMONIOUS METHODS 3.1. The Nelson-Siegel Method ; 3.2. The Extended Nelson-Siegel Method ; 3.3. The Gamtaux Method ; 3.4. The Extended Gamtaux Method ; 3.5. Parameter Estimation; 4. RESULTS ; CONCLUSION ; REFERENCES ; Chapter 4 MEAN VARIANCE PORTFOLIO SELECTION SUBJECT TO VALUE-AT-RISK CONSTRAINTS APPLIED TO REAL STOCK MARKET DATA ; ABSTRACT ; 1. INTRODUCTION; 2. THEORETICAL REVIEW OF THE INTERACTION BETWEEN THE VAR AND THE MEAN-VARIANCE MODEL ; 3. COMPUTATIONAL STUDY WITH REAL STOCKMARKET DATA INPUTS ; 3.1. Data and Optimization Tool Description ; 3.2. Results |
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3.2.1. Efficient Frontier 3.2.2. Sensitivity to Value Change ; 3.2.3. Sensitivity to Alpha Value Change ; 3.2.4. Tangent Portfolio ; CONCLUSION ; REFERENCES ; Chapter 5 EVALUATION OF BANK EFFICIENCY WITH THE DEA APPROACH: A COMPARISON OF EUROPEAN COMMERCIAL BANKS ; ABSTRACT ; 1. INTRODUCTION ; Financial Institutions in the Light of the Financial Crisis ; Evaluating Bank Efficiency ; 2. LITERATURE REVIEW ; Introduction and Background ; The Measuring of Efficiency in Banking Sector -- Empirical Studies ; 3. DATA AND METHODOLOGY ; Data Envelopment Analysis ; Data and Variables |
| Bibliography |
Includes bibliographical references and index |
| Notes |
Print version record |
| Subject |
Bank management -- Mathematical models
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Banks and banking -- Mathematical models
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Financial risk -- Mathematical models
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Decision making -- Mathematical models.
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BUSINESS & ECONOMICS -- Banks & Banking.
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Bank management -- Mathematical models
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Banks and banking -- Mathematical models
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Decision making -- Mathematical models
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| Form |
Electronic book
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| Author |
Zopounidis, Constantin, editor
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Doumpos, Michael, editor
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| LC no. |
2020677472 |
| ISBN |
9781626185234 |
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1626185239 |
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