Innovations in Quantitative Risk Management

TU München, September 2013

by Kathrin Glau, Matthias Scherer, Rudi Zagst

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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

Science and Mathematics
ISBN13 Digital
ISBN10 Digital
PDF Size
12.8 MB

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