Innovations in Quantitative Risk Management (Record no. 524195)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 05549nam a22005775i 4500 |
| 001 - CONTROL NUMBER | |
| control field | 978-3-319-09114-3 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | DE-He213 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20200127152617.0 |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION | |
| fixed length control field | cr nn 008mamaa |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 150109s2015 gw | s |||| 0|eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9783319091143 |
| -- | 978-3-319-09114-3 |
| 024 7# - OTHER STANDARD IDENTIFIER | |
| Standard number or code | 10.1007/978-3-319-09114-3 |
| Source of number or code | doi |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER | |
| Classification number | HB135-147 |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | KF |
| Source | bicssc |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | MAT003000 |
| Source | bisacsh |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | KF |
| Source | thema |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER | |
| Classification number | 519 |
| Edition number | 23 |
| 245 10 - TITLE STATEMENT | |
| Title | Innovations in Quantitative Risk Management |
| Medium | [electronic resource] : |
| Remainder of title | TU München, September 2013 / |
| Statement of responsibility, etc | edited by Kathrin Glau, Matthias Scherer, Rudi Zagst. |
| 250 ## - EDITION STATEMENT | |
| Edition statement | 1st ed. 2015. |
| 264 #1 - Production, Publication, Distribution, Manufacture, and Copyright Notice (R) | |
| Place of production, publication, distribution, manufacture (R) | Cham : |
| Name of producer, publisher, distributor, manufacturer (R) | Springer International Publishing : |
| -- | Imprint: Springer, |
| Date of production, publication, distribution, manufacture, or copyright notice | 2015. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | XI, 438 p. 84 illus. |
| Other physical details | online resource. |
| 336 ## - Content Type (R) | |
| Content type term (R) | text |
| Content type code (R) | txt |
| Source (NR) | rdacontent |
| 337 ## - Media Type (R) | |
| Media type term (R) | computer |
| Media type code (R) | c |
| Source (NR) | rdamedia |
| 338 ## - Carrier Type (R) | |
| Carrier type term (R) | online resource |
| Carrier type code (R) | cr |
| Source (NR) | rdacarrier |
| 347 ## - | |
| -- | text file |
| -- | |
| -- | rda |
| 490 1# - SERIES STATEMENT | |
| სერიის ცნობა | Springer Proceedings in Mathematics & Statistics, |
| International Standard Serial Number | 2194-1009 ; |
| Volume number/sequential designation | 99 |
| 505 0# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | 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. |
| 506 0# - RESTRICTIONS ON ACCESS NOTE | |
| Terms governing access | Open Access |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc | 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 a sound stochastic model requires finding 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 firm understanding of the economic conditions in which a given model is used. Discussed fields 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. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Economics, Mathematical . |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Game theory. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Finance. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Actuarial science. |
| 650 14 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Quantitative Finance. |
| -- | http://scigraph.springernature.com/things/product-market-codes/M13062 |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Game Theory, Economics, Social and Behav. Sciences. |
| -- | http://scigraph.springernature.com/things/product-market-codes/M13011 |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Finance, general. |
| -- | http://scigraph.springernature.com/things/product-market-codes/600000 |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Actuarial Sciences. |
| -- | http://scigraph.springernature.com/things/product-market-codes/M13080 |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Glau, Kathrin. |
| Relator term | editor. |
| Relator code | edt |
| -- | http://id.loc.gov/vocabulary/relators/edt |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Scherer, Matthias. |
| Relator term | editor. |
| Relator code | edt |
| -- | http://id.loc.gov/vocabulary/relators/edt |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Zagst, Rudi. |
| Relator term | editor. |
| Relator code | edt |
| -- | http://id.loc.gov/vocabulary/relators/edt |
| 710 2# - ADDED ENTRY--CORPORATE NAME | |
| Corporate name or jurisdiction name as entry element | SpringerLink (Online service) |
| 773 0# - HOST ITEM ENTRY | |
| Title | Springer eBooks |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY | |
| Display text | Printed edition: |
| International Standard Book Number | 9783319091150 |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY | |
| Display text | Printed edition: |
| International Standard Book Number | 9783319091136 |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY | |
| Display text | Printed edition: |
| International Standard Book Number | 9783319358611 |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE | |
| Uniform title | Springer Proceedings in Mathematics & Statistics, |
| -- | 2194-1009 ; |
| Volume number/sequential designation | 99 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="https://doi.org/10.1007/978-3-319-09114-3">https://doi.org/10.1007/978-3-319-09114-3</a> |
| 912 ## - | |
| -- | ZDB-2-SMA |
| 912 ## - | |
| -- | ZDB-2-SOB |
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