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Innovations in Quantitative Risk Man...
~
Glau, Kathrin.
Innovations in Quantitative Risk Management = TU München, September 2013 /
紀錄類型:
書目-語言資料,印刷品 : Monograph/item
正題名/作者:
Innovations in Quantitative Risk Management/ edited by Kathrin Glau, Matthias Scherer, Rudi Zagst.
其他題名:
TU München, September 2013 /
其他作者:
Glau, Kathrin.
面頁冊數:
XI, 438 p. 84 illus.online resource. :
Contained By:
Springer Nature eBook
標題:
Economics, Mathematical . -
電子資源:
https://doi.org/10.1007/978-3-319-09114-3
ISBN:
9783319091143
Innovations in Quantitative Risk Management = TU München, September 2013 /
Innovations in Quantitative Risk Management
TU München, September 2013 /[electronic resource] :edited by Kathrin Glau, Matthias Scherer, Rudi Zagst. - 1st ed. 2015. - XI, 438 p. 84 illus.online resource. - Springer Proceedings in Mathematics & Statistics,992194-1009 ;. - Springer Proceedings in Mathematics & Statistics,125.
Part I Markets, Regulation, and Model Risk -- A Random Holding Period Approach for Liquidity-Inclusive Risk Management -- Regulatory Developments in Risk Management: Restoring Confidence in Internal Models -- Model Risk in Incomplete Markets with Jumps -- Part II Financial Engineering -- Bid-Ask Spread for Exotic Options Under Conic Finance -- Derivative Pricing Under the Possibility of Long Memory in the supOU Stochastic Volatility Model -- A Two-Sided BNS Model for Multicurrency FX Markets -- Modeling the Price of Natural Gas with Temperature and Oil Price as Exogenous Factors -- Copula-Specific Credit Portfolio Modeling -- Implied Recovery Rates—Auctions and Models -- Upside and Downside Risk Exposures of Currency Carry Trades via Tail Dependence -- Part III Insurance Risk and Asset Management -- Participating Life Insurance Contracts Under Risk Based Solvency Frameworks: How to Increase Capital Efficiency by Product Design -- Reducing Surrender Incentives Through Fee Structure in Variable Annuities -- A Variational Approach for Mean-Variance-Optimal Deterministic Consumption and Investment -- Risk Control in Asset Management: Motives and Concepts -- Worst-Case Scenario Portfolio Optimization Given the Probability of a Crash -- Improving Optimal Terminal Value Replicating Portfolios -- Part IV Computational Methods for Risk Management -- Risk and Computation -- Extreme Value Importance Sampling for Rare Event Risk Measurement -- A Note on the Numerical Evaluation of the Hartman–Watson Density and Distribution Function -- Computation of Copulas by Fourier Methods -- Part V Dependence Modelling -- Goodness-of-fit Tests for Archimedean Copulas in High Dimensions -- Duality in Risk Aggregation -- Some Consequences of the Markov Kernel Perspective of Copulas -- Copula Representations for Invariant Dependence Functions -- Nonparametric Copula Density Estimation Using a Petrov–Galerkin Projection.
Open Access
Quantitative models are omnipresent –but often controversially discussed– in todays risk management practice. New regulations, innovative financial products, and advances in valuation techniques provide a continuous flow of challenging problems for financial engineers and risk managers alike. Designing a sound stochastic model requires finding a careful balance between parsimonious model assumptions, mathematical viability, and interpretability of the output. Moreover, data requirements and the end-user training are to be considered as well. The KPMG Center of Excellence in Risk Management conference Risk Management Reloaded and this proceedings volume contribute to bridging the gap between academia –providing methodological advances– and practice –having a firm understanding of the economic conditions in which a given model is used. Discussed fields of application range from asset management, credit risk, and energy to risk management issues in insurance. Methodologically, dependence modeling, multiple-curve interest rate-models, and model risk are addressed. Finally, regulatory developments and possible limits of mathematical modeling are discussed.
ISBN: 9783319091143
Standard No.: 10.1007/978-3-319-09114-3doiSubjects--Topical Terms:
1253712
Economics, Mathematical .
LC Class. No.: HB135-147
Dewey Class. No.: 519
Innovations in Quantitative Risk Management = TU München, September 2013 /
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