Innovations in Quantitative Risk Management TU München, September 2013 /
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...
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| Format: | Electronic eBook |
| Language: | English |
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Cham :
Springer International Publishing : Imprint: Springer,
2015.
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| Series: | Springer Proceedings in Mathematics & Statistics,
99 |
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| Online Access: | http://dx.doi.org/10.1007/978-3-319-09114-3 |
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Table of 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.