Glau, Kathrin

Innovations in Quantitative Risk Management

Glau, Kathrin - Innovations in Quantitative Risk Management, ebook


Ebook, PDF with Adobe DRM
ISBN: 9783319091143
DRM Restrictions

PrintingNot allowed
Copy to clipboardNot allowed

Table of contents

Part I. Markets, Regulation, and Model Risk

1. A Random Holding Period Approach for Liquidity-Inclusive Risk Management
Damiano Brigo, Claudio Nordio

2. Regulatory Developments in Risk Management: Restoring Confidence in Internal Models
Uwe Gaumert, Michael Kemmer

3. Model Risk in Incomplete Markets with Jumps
Nils Detering, Natalie Packham

Part II. Financial Engineering

4. Bid-Ask Spread for Exotic Options under Conic Finance
Florence Guillaume, Wim Schoutens

5. Derivative Pricing under the Possibility of Long Memory in the supOU Stochastic Volatility Model
Robert Stelzer, Jovana Zavišin

6. A Two-Sided BNS Model for Multicurrency FX Markets
Karl Friedrich Bannör, Matthias Scherer, Thorsten Schulz

7. Modeling the Price of Natural Gas with Temperature and Oil Price as Exogenous Factors
Jan Müller, Guido Hirsch, Alfred Müller

8. Copula-Specific Credit Portfolio Modeling
Matthias Fischer, Kevin Jakob

9. Implied Recovery Rates—Auctions and Models
Stephan Höcht, Matthias Kunze, Matthias Scherer

10. Upside and Downside Risk Exposures ofCurrency Carry Trades via Tail Dependence
Matthew Ames, Gareth W. Peters, Guillaume Bagnarosa, Ioannis Kosmidis

Part III. Insurance Risk and Asset Management

11. Participating Life Insurance Contracts under Risk Based Solvency Frameworks: How to Increase Capital Efficiency by Product Design
Andreas Reuß, Jochen Ruß, Jochen Wieland

12. Reducing Surrender Incentives Through Fee Structure in Variable Annuities
Carole Bernard, Anne MacKay

13. A Variational Approach for Mean-Variance-Optimal Deterministic Consumption and Investment
Marcus C. Christiansen

14. Risk Control in Asset Management: Motives andConcepts
Thomas Dangl, Otto Randl, Josef Zechner

15. Worst-Case Scenario Portfolio Optimization Given the Probability of a Crash
Olaf Menkens

16. Improving Optimal Terminal Value Replicating Portfolios
Jan Natolski, Ralf Werner

Part IV. Computational Methods for Risk Management

17. Risk and Computation
Rüdiger U. Seydel

18. Extreme Value Importance Sampling for Rare Event Risk Measurement
D. L. McLeish, Zhongxian Men

19. A Note on the Numerical Evaluation of the Hartman–Watson Density andDistribution Function
German Bernhart, Jan-Frederik Mai

20. Computation of Copulas by Fourier Methods
Antonis Papapantoleon

Part V. Dependence Modelling

21. Goodness-of-fit Tests for Archimedean Copulas in High Dimensions
Christian Hering, Marius Hofert

22. Duality in Risk Aggregation
Raphael Hauser, Sergey Shahverdyan, Paul Embrechts

23. Some Consequences of the Markov Kernel Perspective of Copulas
Wolfgang Trutschnig, Juan Fernández Sánchez

24. Copula Representations for Invariant Dependence Functions
Jayme Pinto, Nikolai Kolev

25. Nonparametric Copula Density Estimation Using a Petrov–Galerkin Projection
Dana Uhlig, Roman Unger

Keywords: Mathematics, Quantitative Finance, Game Theory, Economics, Social and Behav. Sciences, Finance, general, Actuarial Sciences

Publication year
Springer Proceedings in Mathematics & Statistics
Page amount
11 pages
Natural Sciences
Printed ISBN

Similar titles