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The Resource Innovations in quantitative risk management : TU München, September 2013, Kathrin Glau, Matthias Scherer, Rudi Zagst, editors

Innovations in quantitative risk management : TU München, September 2013, Kathrin Glau, Matthias Scherer, Rudi Zagst, editors

Editor
Contributor
Summary
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
Language
eng
Work
Publication
Extent
1 online resource (xi, 438 pages)
Contents
  • 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
Isbn
9783319091143
Instance
Label
Innovations in quantitative risk management : TU München, September 2013
Title
Innovations in quantitative risk management
Title remainder
TU München, September 2013
Statement of responsibility
Kathrin Glau, Matthias Scherer, Rudi Zagst, editors
Contributor
Editor
Subject
Genre
Language
eng
Summary
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
Member of
Cataloging source
GW5XE
Dewey number
658.15/5
Illustrations
illustrations
Index
no index present
Language note
English
LC call number
HD61
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/relatedWorkOrContributorDate
  • 1979-
  • 1961-
http://library.link/vocab/relatedWorkOrContributorName
  • Glau, Kathrin
  • Scherer, Matthias
  • Zagst, Rudi
Series statement
Springer Proceedings in Mathematics & Statistics,
Series volume
volume 99
http://library.link/vocab/subjectName
  • Financial risk management
  • Quantitative research
  • Financial risk management
  • Quantitative research
Label
Innovations in quantitative risk management : TU München, September 2013, Kathrin Glau, Matthias Scherer, Rudi Zagst, editors
Instantiates
Publication
Antecedent source
unknown
Bibliography note
Includes bibliographical references at the end of each chapters
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
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
Control code
900859867
Dimensions
unknown
Extent
1 online resource (xi, 438 pages)
File format
unknown
Form of item
online
Isbn
9783319091143
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-3-319-09114-3
Other physical details
illustrations
http://library.link/vocab/ext/overdrive/overdriveId
com.springer.onix.9783319091143
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
(OCoLC)900859867
Label
Innovations in quantitative risk management : TU München, September 2013, Kathrin Glau, Matthias Scherer, Rudi Zagst, editors
Publication
Antecedent source
unknown
Bibliography note
Includes bibliographical references at the end of each chapters
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
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
Control code
900859867
Dimensions
unknown
Extent
1 online resource (xi, 438 pages)
File format
unknown
Form of item
online
Isbn
9783319091143
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-3-319-09114-3
Other physical details
illustrations
http://library.link/vocab/ext/overdrive/overdriveId
com.springer.onix.9783319091143
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
(OCoLC)900859867

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