Applied Quantitative Finance

Applied Quantitative Finance

; ;

Springer-Verlag Berlin and Heidelberg GmbH & Co. KG

08/2018

372

Mole

Inglês

9783662571996

15 a 20 dias

Descrição não disponível.
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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