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Applied quantitative finance /

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Bibliographic Details
Other Authors: Härdle, Wolfgang (Editor), Chen, Cathy Yi-Hsuan (Editor), Overbeck, Ludger (Editor)
Format: Book
Language:English
Published: Berlin : Springer, [2017]
Edition:Third edition.
Series:Statistics and computing.
Subjects:
Finance > Mathematical models.
Risk > Mathematical models.
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.