Innovations in Quantitative Risk Management [[electronic resource] ] : TU München, September 2013 / / edited by Kathrin Glau, Matthias Scherer, Rudi Zagst |
Autore | Glau Kathrin |
Edizione | [1st ed. 2015.] |
Pubbl/distr/stampa | Cham, : Springer Nature, 2015 |
Descrizione fisica | 1 online resource (xi, 438 pages) : illustrations; digital, PDF file(s) |
Disciplina | 658.155 |
Collana | Springer Proceedings in Mathematics & Statistics |
Soggetto topico |
Economics, Mathematical
Game theory Finance Actuarial science Quantitative Finance Game Theory, Economics, Social and Behav. Sciences Finance, general Actuarial Sciences |
Soggetto non controllato |
Quantitative Finance
Game Theory, Economics, Social and Behav. Sciences Finance/Investment/Banking Actuarial Sciences |
ISBN |
9783319091143 (ebook)
9783319091136 (hardback) |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | 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. |
Record Nr. | UNINA-9910132289903321 |
Glau Kathrin
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Cham, : Springer Nature, 2015 | ||
![]() | ||
Lo trovi qui: Univ. Federico II | ||
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Innovations in Quantitative Risk Management [[electronic resource] ] : TU München, September 2013 / / edited by Kathrin Glau, Matthias Scherer, Rudi Zagst |
Autore | Glau Kathrin |
Edizione | [1st ed. 2015.] |
Pubbl/distr/stampa | Cham, : Springer Nature, 2015 |
Descrizione fisica | 1 online resource (xi, 438 pages) : illustrations; digital, PDF file(s) |
Disciplina | 658.155 |
Collana | Springer Proceedings in Mathematics & Statistics |
Soggetto topico |
Economics, Mathematical
Game theory Finance Actuarial science Quantitative Finance Game Theory, Economics, Social and Behav. Sciences Finance, general Actuarial Sciences |
Soggetto non controllato |
Quantitative Finance
Game Theory, Economics, Social and Behav. Sciences Finance/Investment/Banking Actuarial Sciences |
ISBN |
9783319091143 (ebook)
9783319091136 (hardback) |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | 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. |
Record Nr. | UNISA-996213775103316 |
Glau Kathrin
![]() |
||
Cham, : Springer Nature, 2015 | ||
![]() | ||
Lo trovi qui: Univ. di Salerno | ||
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