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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
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The item Innovations in quantitative risk management : TU München, September 2013, Kathrin Glau, Matthias Scherer, Rudi Zagst, editors represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Missouri Libraries.This item is available to borrow from all library branches.
Resource Information
The item Innovations in quantitative risk management : TU München, September 2013, Kathrin Glau, Matthias Scherer, Rudi Zagst, editors represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Missouri Libraries.
This item is available to borrow from all library branches.
 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 enduser 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, multiplecurve interest ratemodels, and model risk are addressed. Finally, regulatory developments and possible limits of mathematical modeling are discussed
 Language
 eng
 Extent
 1 online resource (xi, 438 pages)
 Contents

 Part I Markets, Regulation, and Model Risk
 A Random Holding Period Approach for LiquidityInclusive Risk Management
 Regulatory Developments in Risk Management: Restoring Confidence in Internal Models
 Model Risk in Incomplete Markets with Jumps
 Part II Financial Engineering
 BidAsk Spread for Exotic Options Under Conic Finance
 Derivative Pricing Under the Possibility of Long Memory in the supOU Stochastic Volatility Model
 A TwoSided BNS Model for Multicurrency FX Markets
 Modeling the Price of Natural Gas with Temperature and Oil Price as Exogenous Factors
 CopulaSpecific 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 MeanVarianceOptimal Deterministic Consumption and Investment
 Risk Control in Asset Management: Motives and Concepts
 WorstCase 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
 Goodnessoffit 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
 9783319091136
 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
 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 enduser 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, multiplecurve interest ratemodels, and model risk are addressed. Finally, regulatory developments and possible limits of mathematical modeling are discussed
 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
 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 LiquidityInclusive Risk Management  Regulatory Developments in Risk Management: Restoring Confidence in Internal Models  Model Risk in Incomplete Markets with Jumps  Part II Financial Engineering  BidAsk Spread for Exotic Options Under Conic Finance  Derivative Pricing Under the Possibility of Long Memory in the supOU Stochastic Volatility Model  A TwoSided BNS Model for Multicurrency FX Markets  Modeling the Price of Natural Gas with Temperature and Oil Price as Exogenous Factors  CopulaSpecific 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 MeanVarianceOptimal Deterministic Consumption and Investment  Risk Control in Asset Management: Motives and Concepts  WorstCase 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  Goodnessoffit 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
 9783319091136
 Level of compression
 unknown
 Media category
 computer
 Media MARC source
 rdamedia
 Media type code

 c
 Other control number
 10.1007/9783319091143
 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
 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 LiquidityInclusive Risk Management  Regulatory Developments in Risk Management: Restoring Confidence in Internal Models  Model Risk in Incomplete Markets with Jumps  Part II Financial Engineering  BidAsk Spread for Exotic Options Under Conic Finance  Derivative Pricing Under the Possibility of Long Memory in the supOU Stochastic Volatility Model  A TwoSided BNS Model for Multicurrency FX Markets  Modeling the Price of Natural Gas with Temperature and Oil Price as Exogenous Factors  CopulaSpecific 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 MeanVarianceOptimal Deterministic Consumption and Investment  Risk Control in Asset Management: Motives and Concepts  WorstCase 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  Goodnessoffit 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
 9783319091136
 Level of compression
 unknown
 Media category
 computer
 Media MARC source
 rdamedia
 Media type code

 c
 Other control number
 10.1007/9783319091143
 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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