Applied quantitative finance. (2017)

• Record Type: Book
• Further Information: Note: Wolfgang Karl Härdle, Cathy Yi-Hsuan Chen, Ludger Overbeck, editors.
• Editors: Härdle, Wolfgang; Chen, Cathy Yi-Hsuan; Overbeck, Ludger
• Contents: Part I Market Risk: VaR in High-Dimensional Systems -- Multivariate Volatility Models -- Portfolio Selection with Spectral Risk Measures -- Implementation of Local Stochastic Volatility Model -- Part II Credit Risk: Estimating DTD via Sequential Monte Carlo.- Risk Measurement with Spectral Capital Allocation.- Market Based Credit Rating and its Applications.- Using Public Information to Predict Corporate Default Risk.- Stress Testing in Credit Portfolio Models.- Penalized Independent Factor.- Term Structure of Loss Cascades in Portfolio Securitisation.- Credit Rating Score Analysis -- Part III Dynamics Risk Measurement: Copulae in High Dimensions -- An Introduction.- Measuring and Modeling Risk Using High-Frequency Data.- Measuring Financial Risk in Energy Markets.- Risk Analysis of Cryptocurrency as an Alternative Asset Class.- Time Varying Quantile Lasso.- Dynamic Topic Modelling for Cryptocurrency Community Forums.
• Publisher Details: Berlin, Germany : Springer
• Publication Date: 2017
• Extent: 1 online resource (x, 372 pages), illustrations (some color)
• Subjects: 332.01/5118; Statistics; Finance -- Mathematical models; Risk -- Mathematical models; Finance -- Mathematical models; Risk -- Mathematical models; Statistics; Statistics for Business/Economics/Mathematical Finance/Insurance; Quantitative Finance; Risk Management; Business Finance; Mathematics -- Applied; Business & Economics -- Insurance -- Risk Assessment & Management; Business & Economics -- Corporate Finance; Finance & accounting; Management & management techniques; Corporate finance; Finance; Risk management; Business & Economics -- Statistics; Probability & statistics; Electronic books
• Languages: English
• ISBNs: 9783662544860; 3662544865
• Related ISBNs: 9783662544853; 3662544857
• Notes: Note: Online resource; title from PDF title page (SpringerLink, viewed August 10, 2017).
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.