Applied quantitative finance / Wolfgang Karl Härdle, Cathy Yi-Hsuan Chen, Ludger Overbeck, editors.

Format:

Book

Contributor:

Härdle, Wolfgang, editor.

Chen, Cathy Yi-Hsuan, editor.

Overbeck, Ludger, editor.

Series:

Statistics and computing 1431-8784

Language:

English

Subjects (All):

Finance--Mathematical models.

Finance.

Risk--Mathematical models.

Risk.

Physical Description:

x, 372 pages : illustrations ; 24 cm.

Edition:

Third edition.

Place of Publication:

Berlin : Springer, 2017.

Contents:

Part I Market Risk: VaR in High-Dimensional Systems

Multivariate Volatility Models

Portfolio Selection with Spectral Risk Measures

Implementation of Local Stochastic Volatility Model

Part II Credit Risk: Estimating DTD via Sequential Monte Carlo.- Risk Measurement with Spectral Capital Allocation.- Market Based Credit Rating and its Applications.- Using Public Information to Predict Corporate Default Risk.- Stress Testing in Credit Portfolio Models.- Penalized Independent Factor.- Term Structure of Loss Cascades in Portfolio Securitisation.- Credit Rating Score Analysis

Part III Dynamics Risk Measurement: Copulae in High Dimensions

An Introduction.- Measuring and Modeling Risk Using High-Frequency Data.- Measuring Financial Risk in Energy Markets.- Risk Analysis of Cryptocurrency as an Alternative Asset Class.- Time Varying Quantile Lasso.- Dynamic Topic Modelling for Cryptocurrency Community Forums.

Notes:

Includes bibliographical references.

ISBN:

3662544857

9783662544853

OCLC:

972773695