Applied Quantitative Finance. 3rd ed. 2017
- 種類:
- 電子ブック
- 責任表示:
- edited by Wolfgang Karl Härdle, Cathy Yi-Hsuan Chen, Ludger Overbeck
- 出版情報:
- Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2017
- 著者名:
- シリーズ名:
- Statistics and Computing ;
- ISBN:
- 9783662544860 [3662544865]
- 注記:
- 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.
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 book is divided into three parts: Part 1 revisits important market risk issues, while Part 2 introduces novel concepts in credit risk and its management along with updated quantitative methods. The third part discusses the dynamics of risk management and includes risk analysis of energy markets and for cryptocurrencies. Digital assets, such as blockchain-based currencies, have become popular b ut are theoretically challenging - ローカル注記:
- 学内専用E-BOOKS (local access only)
類似資料:
Springer International Publishing : Imprint: Springer |
Springer International Publishing : Imprint: Springer |
Springer International Publishing : Imprint: Springer |
Springer International Publishing : Imprint: Springer |
Springer International Publishing : Imprint: Springer |
Springer Berlin Heidelberg |
Springer International Publishing : Imprint: Springer |
Springer International Publishing : Imprint: Springer |
Springer International Publishing : Imprint: Springer |
Springer International Publishing : Imprint: Springer |
Springer International Publishing : Imprint: Springer |
Springer New York : Imprint: Springer |