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Innovations in quantitative risk management : TU München, September 2013 / Kathrin Glau, Matthias Scherer, Rudi Zagst, editors

By: Contributor(s): Resource type: Ressourcentyp: Buch (Online)Book (Online)Language: English Series: Springer Proceedings in Mathematics & Statistics ; 99 | SpringerLink Bücher | Springer proceedings in mathematics & statistics ; volume 99Publisher: Cham ; Heidelberg : Springer Open, 2015Description: 1 Online-RessourceISBN:
  • 9783319091143
Subject(s): Genre/Form: Additional physical formats: 9783319091136 | Erscheint auch als: Innovations in quantitative risk management. Druck-Ausgabe. Cham : SpringerOpen, 2015. XI, 438 S.DDC classification:
  • 519
MSC: MSC: 91B82 | 91B25 | 91B24 | *91-06 | 91B30 | 91G40 | 91G30 | 00A06 | 00A71 | 00B25RVK: RVK: QH 430LOC classification:
  • HB135-147
DOI: DOI: 10.1007/978-3-319-09114-3Online resources: 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.PPN: PPN: 893915025Package identifier: Produktsigel: ZDB-2-SMA | ZDB-2-SOB
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