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020 _a9783319091143
_9978-3-319-09114-3
024 7 _a10.1007/978-3-319-09114-3
_2doi
050 4 _aHB135-147
072 7 _aKF
_2bicssc
072 7 _aMAT003000
_2bisacsh
072 7 _aKF
_2thema
082 0 4 _a519
_223
245 1 0 _aInnovations in Quantitative Risk Management
_h[electronic resource] :
_bTU München, September 2013 /
_cedited by Kathrin Glau, Matthias Scherer, Rudi Zagst.
250 _a1st ed. 2015.
264 1 _aCham :
_bSpringer International Publishing :
_bImprint: Springer,
_c2015.
300 _aXI, 438 p. 84 illus.
_bonline resource.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
347 _atext file
_bPDF
_2rda
490 1 _aSpringer Proceedings in Mathematics & Statistics,
_x2194-1009 ;
_v99
505 0 _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.
506 0 _aOpen Access
520 _aQuantitative 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 _aEconomics, Mathematical .
650 0 _aGame theory.
650 0 _aFinance.
650 0 _aActuarial science.
650 1 4 _aQuantitative Finance.
_0http://scigraph.springernature.com/things/product-market-codes/M13062
650 2 4 _aGame Theory, Economics, Social and Behav. Sciences.
_0http://scigraph.springernature.com/things/product-market-codes/M13011
650 2 4 _aFinance, general.
_0http://scigraph.springernature.com/things/product-market-codes/600000
650 2 4 _aActuarial Sciences.
_0http://scigraph.springernature.com/things/product-market-codes/M13080
700 1 _aGlau, Kathrin.
_eeditor.
_4edt
_4http://id.loc.gov/vocabulary/relators/edt
700 1 _aScherer, Matthias.
_eeditor.
_4edt
_4http://id.loc.gov/vocabulary/relators/edt
700 1 _aZagst, Rudi.
_eeditor.
_4edt
_4http://id.loc.gov/vocabulary/relators/edt
710 2 _aSpringerLink (Online service)
773 0 _tSpringer eBooks
776 0 8 _iPrinted edition:
_z9783319091150
776 0 8 _iPrinted edition:
_z9783319091136
776 0 8 _iPrinted edition:
_z9783319358611
830 0 _aSpringer Proceedings in Mathematics & Statistics,
_x2194-1009 ;
_v99
856 4 0 _uhttps://doi.org/10.1007/978-3-319-09114-3
912 _aZDB-2-SMA
912 _aZDB-2-SOB
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