Applied Quantitative Finance

Applied Quantitative Finance edited by Wolfgang Karl Härdle, Cathy Yi-Hsuan Chen, Ludger Overbeck.

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...

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Bibliographic Details
Corporate Author: SpringerLink (Online service)
Other Authors: Härdle, Wolfgang Karl (Editor), Chen, Cathy Yi-Hsuan (Editor), Overbeck, Ludger (Editor)
Format: eBook
Language:English
Published: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2017.
Edition:3rd ed. 2017.
Series:Statistics and Computing,
Springer eBook Collection.
Subjects:
Statistics .
Economics, Mathematical .
Risk management.
Business enterprises—Finance.
Electronic resources (E-books)
Online Access:Click to view e-book
Holy Cross Note:Loaded electronically.
Electronic access restricted to members of the Holy Cross Community.
Table of 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 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.

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