LEADER 06485 am 22008413u 450 001 996213775103316 005 20221206182420.0 010 $a9783319091143 (ebook) 010 $z9783319091136 (hardback) 024 7 $a10.1007/978-3-319-09114-3 035 $a(CKB)3710000000341370 035 $a(SSID)ssj0001424505 035 $a(PQKBManifestationID)11832256 035 $a(PQKBTitleCode)TC0001424505 035 $a(PQKBWorkID)11368888 035 $a(PQKB)11183698 035 $a(DE-He213)978-3-319-09114-3 035 $a(MiAaPQ)EBC3107127 035 $a(MiAaPQ)EBC6363127 035 $a(Au-PeEL)EBL6363127 035 $a(OCoLC)900859867 035 $a(oapen)https://directory.doabooks.org/handle/20.500.12854/34769 035 $a(PPN)183518853 035 $a(EXLCZ)993710000000341370 100 $a20150109d2015 u| 0 101 0 $aeng 135 $aurnn#008mamaa 181 $ctxt$2rdacontent 182 $cc$2rdamedia 183 $acr$2rdacarrier 200 10$aInnovations in Quantitative Risk Management$b[electronic resource] $eTU München, September 2013 /$fedited by Kathrin Glau, Matthias Scherer, Rudi Zagst 205 $a1st ed. 2015. 210 $aCham$cSpringer Nature$d2015 210 1$aCham :$cSpringer International Publishing :$cImprint: Springer,$d2015. 215 $a1 online resource (xi, 438 pages) $cillustrations; digital, PDF file(s) 225 1 $aSpringer Proceedings in Mathematics & Statistics,$x2194-1009 ;$v99 300 $aBibliographic Level Mode of Issuance: Monograph 311 08$aPrint version: 9783319091136 320 $aIncludes bibliographical references at the end of each chapters. 327 $aPart 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. 330 $aQuantitative models are omnipresent ?but often controversially discussed? in todays risk management practice. New regulations, innovative ?nancial products, and advances in valuation techniques provide a continuous ?ow of challenging problems for ?nancial engineers and risk managers alike. Designing a sound stochastic model requires ?nding a careful balance between parsimonious model assumptions, mathematical viability, and interpretability of the output. Moreover, data requirements and the end-user training are to be considered as well. The KPMG Center of Excellence in Risk Management conference Risk Management Reloaded and this proceedings volume contribute to bridging the gap between academia ?providing methodological advances? and practice ?having a ?rm understanding of the economic conditions in which a given model is used. Discussed ?elds of application range from asset management, credit risk, and energy to risk management issues in insurance. Methodologically, dependence modeling, multiple-curve interest rate-models, and model risk are addressed. Finally, regulatory developments and possible limits of mathematical modeling are discussed. 410 0$aSpringer Proceedings in Mathematics & Statistics,$x2194-1009 ;$v99 606 $aEconomics, Mathematical  606 $aGame theory 606 $aFinance 606 $aActuarial science 606 $aQuantitative Finance$3https://scigraph.springernature.com/ontologies/product-market-codes/M13062 606 $aGame Theory, Economics, Social and Behav. Sciences$3https://scigraph.springernature.com/ontologies/product-market-codes/M13011 606 $aFinance, general$3https://scigraph.springernature.com/ontologies/product-market-codes/600000 606 $aActuarial Sciences$3https://scigraph.springernature.com/ontologies/product-market-codes/M13080 610 $aQuantitative Finance 610 $aGame Theory, Economics, Social and Behav. Sciences 610 $aFinance/Investment/Banking 610 $aActuarial Sciences 615 0$aEconomics, Mathematical . 615 0$aGame theory. 615 0$aFinance. 615 0$aActuarial science. 615 14$aQuantitative Finance. 615 24$aGame Theory, Economics, Social and Behav. Sciences. 615 24$aFinance, general. 615 24$aActuarial Sciences. 676 $a658.155 700 $aGlau$b Kathrin$4edt$01075955 702 $aGlau$b Kathrin$4edt$4http://id.loc.gov/vocabulary/relators/edt 702 $aScherer$b Matthias$4edt$4http://id.loc.gov/vocabulary/relators/edt 702 $aZagst$b Rudi$4edt$4http://id.loc.gov/vocabulary/relators/edt 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 912 $a996213775103316 996 $aInnovations in Quantitative Risk Management$93358702 997 $aUNISA