Screen LibraryApplied Quantitative Finance /
This volume provides practical solutions and introduces recent theoretical developments in risk management, pricing of credit derivatives, quantification of volatility and copula modeling. This third edition is devoted to modern risk analysis based on quantitative methods and textual analytics to me...
Saved in:
| Corporate Authors: | |
|---|---|
| Group Author: | ; ; |
| Published: |
Springer Berlin Heidelberg : Imprint: Springer,
|
| Publisher Address: | Berlin, Heidelberg : |
| Publication Dates: | 2017. |
| Literature type: | eBook |
| Language: | English |
| Edition: | Third edition. |
| Series: |
Statistics and Computing,
|
| Subjects: | |
| Online Access: |
http://dx.doi.org/10.1007/978-3-662-54486-0 |
| Summary: |
This volume provides practical solutions and introduces recent theoretical developments in risk management, pricing of credit derivatives, quantification of volatility and copula modeling. This third edition is devoted to modern risk analysis based on quantitative methods and textual analytics to meet the current challenges in banking and finance. It includes 14 new contributions and presents a comprehensive, state-of-the-art treatment of cutting-edge methods and topics, such as collateralized debt obligations, the high-frequency analysis of market liquidity, and realized volatility. The boo |
| Carrier Form: | 1 online resource : illustrations. |
| ISBN: | 9783662544860 |
| CLC: | O212 |
| 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 I |