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

Resource Information

The instance Innovations in quantitative risk management : TU München, September 2013, Kathrin Glau, Matthias Scherer, Rudi Zagst, editors represents a material embodiment of a distinct intellectual or artistic creation found in University of Missouri Libraries. This resource is a combination of several types including: Instance, Electronic.

Image

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Label

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

Title remainder

TU München, September 2013

Statement of responsibility

Kathrin Glau, Matthias Scherer, Rudi Zagst, editors

Instantiates

• Innovations in quantitative risk management : TU München, September 2013

Publication

• Cham, Springer, 2015

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

Record ID

.b124323182

Reformatting quality

unknown

Sound

unknown sound

Specific material designation

remote

System control number

(OCoLC)900859867