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Innovations in Quantitative Risk Management

TU München, September 2013

by Kathrin Glau, Matthias Scherer, Rudi Zagst

Innovations in Quantitative Risk Management

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Book Description

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.

This open book is licensed under a Creative Commons License (CC BY-NC). You can download Innovations in Quantitative Risk Management ebook for free in PDF format (12.8 MB).

Book Details

Title
Innovations in Quantitative Risk Management
Subject
Science and Mathematics
Publisher
Springer
Published
2015
Pages
434
Edition
1
Language
English
ISBN13
9783319091136
ISBN10
3319091131
ISBN13 Digital
9783319091143
ISBN10 Digital
331909114X
PDF Size
12.8 MB
License
CC BY-NC

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