國立虎尾科技大學 |

Innovations in Quantitative Risk Management = TU München, September 2013 /

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Innovations in Quantitative Risk Management/ edited by Kathrin Glau, Matthias Scherer, Rudi Zagst.
Reminder of title:	TU München, September 2013 /
other author:	Glau, Kathrin.
Description:	XI, 438 p. 84 illus.online resource. :
Contained By:	Springer Nature eBook
Subject:	Economics, Mathematical . -
Online resource:	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 ManagementTU 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 /
LDR:04645nam a22004335i 4500 001 960205
003 DE-He213
005 20200701072448.0
007 cr nn 008mamaa
008 201211s2015 gw | s |||| 0|eng d
020 $a 9783319091143 $9 978-3-319-09114-3
024 7 $a 10.1007/978-3-319-09114-3 $2 doi
035 $a 978-3-319-09114-3
050 4 $a HB135-147
072 7 $a KF $2 bicssc
072 7 $a MAT003000 $2 bisacsh
072 7 $a KF $2 thema
082 0 4 $a 519 $2 23
245 1 0 $a Innovations in Quantitative Risk Management $h [electronic resource] : $b TU München, September 2013 / $c edited by Kathrin Glau, Matthias Scherer, Rudi Zagst.
250 $a 1st ed. 2015.
264 1 $a Cham : $b Springer International Publishing : $b Imprint: Springer, $c 2015.
300 $a XI, 438 p. 84 illus. $b online resource.
336 $a text $b txt $2 rdacontent
337 $a computer $b c $2 rdamedia
338 $a online resource $b cr $2 rdacarrier
347 $a text file $b PDF $2 rda
490 1 $a Springer Proceedings in Mathematics & Statistics, $x 2194-1009 ; $v 99
505 0 $a 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.
506 0 $a Open Access
520 $a 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.
650 0 $a Economics, Mathematical . $3 1253712
650 0 $a Game theory. $3 556918
650 0 $a Finance. $3 559073
650 0 $a Actuarial science. $3 943795
650 1 4 $a Quantitative Finance. $3 669372
650 2 4 $a Game Theory, Economics, Social and Behav. Sciences. $3 669497
650 2 4 $a Finance, general. $3 1069041
650 2 4 $a Actuarial Sciences. $3 884190
700 1 $a Glau, Kathrin. $4 edt $4 http://id.loc.gov/vocabulary/relators/edt $3 1065985
700 1 $a Scherer, Matthias. $4 edt $4 http://id.loc.gov/vocabulary/relators/edt $3 857540
700 1 $a Zagst, Rudi. $4 edt $4 http://id.loc.gov/vocabulary/relators/edt $3 1065986
710 2 $a SpringerLink (Online service) $3 593884
773 0 $t Springer Nature eBook
776 0 8 $i Printed edition: $z 9783319091150
776 0 8 $i Printed edition: $z 9783319091136
776 0 8 $i Printed edition: $z 9783319358611
830 0 $a Springer Proceedings in Mathematics & Statistics, $x 2194-1009 ; $v 125 $3 1253690
856 4 0 $u https://doi.org/10.1007/978-3-319-09114-3
912 $a ZDB-2-SMA
912 $a ZDB-2-SXMS
912 $a ZDB-2-SOB
950 $a Mathematics and Statistics (SpringerNature-11649)
950 $a Mathematics and Statistics (R0) (SpringerNature-43713)