Innovations in quantitative risk management : TU München, September 2013 /: TU München, September 2013. (2015)

• Record Type: Book
• Further Information: Note: Kathrin Glau, Matthias Scherer, Rudi Zagst, editors.
• Editors: Glau, Kathrin; Scherer, Matthias, 1979-; Zagst, Rudi, 1961-
• 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.
• Publisher Details: Cham : Springer
• Publication Date: 2015
• Extent: 1 online resource (xi, 438 pages), illustrations
• Subjects: 658.15/5; Financial risk management -- Congresses; Quantitative research -- Congresses; Financial risk management; Quantitative research; Mathematics; Quantitative Finance; Game Theory, Economics, Social and Behav. Sciences; Finance, general; Actuarial Sciences; Electronic books; Conference papers and proceedings; Electronic book
• Languages: English
• ISBNs: 9783319091143; 3319091131; 9783319091136
• Related ISBNs: 331909114X; 9783319091136
• Notes: Note: Includes bibliographical references at the end of each chapters.; Note: Online resource; title from PDF title page (SpringerLink, viewed January 28, 2015).
• 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.