Innovations in Quantitative Risk Management : TU München, September 2013 / edited by Kathrin Glau, Matthias Scherer, Rudi Zagst.

Format:

Book

Author/Creator:

Glau, Kathrin, Editor.

Contributor:

Glau, Kathrin, Editor.

Scherer, Matthias., Editor.

Zagst, Rudi., Editor.

Series:

Springer Proceedings in Mathematics & Statistics, 2194-1017 ; 99

Language:

English

Subjects (All):

Social sciences--Mathematics.

Social sciences.

Game theory.

Finance.

Actuarial science.

Mathematics in Business, Economics and Finance.

Game Theory.

Financial Economics.

Actuarial Mathematics.

Local Subjects:

Mathematics in Business, Economics and Finance.

Game Theory.

Financial Economics.

Actuarial Mathematics.

Physical Description:

1 online resource (xi, 438 pages) : illustrations; digital, PDF file(s).

Edition:

1st ed. 2015.

Place of Publication:

Cham : Springer International Publishing : Imprint: Springer, 2015.

Language Note:

English

System Details:

text file

Summary:

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.

Contents:

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.

Notes:

Bibliographic Level Mode of Issuance: Monograph

Includes bibliographical references at the end of each chapters.

CC BY-NC

Other Format:

Print version:

ISBN:

9783319091143 (ebook)

OCLC:

900859867