Applied quantitative finance / Wolfgang Karl Härdle, Cathy Yi-Hsuan Chen, Ludger Overbeck, editors.
Material type:
TextSeries: Statistics and computingPublisher: Berlin, Germany : Springer, 2017Description: 1 online resource (x, 372 pages) : illustrations (some color)Content type: - text
- computer
- online resource
- 9783662544860
- 3662544865
- Statistics
- Finance -- Mathematical models
- Risk -- Mathematical models
- Finance -- Mathematical models
- Risk -- Mathematical models
- Statistics
- Statistics for Business/Economics/Mathematical Finance/Insurance
- Quantitative Finance
- Risk Management
- Business Finance
- Mathematics -- Applied
- Business & Economics -- Insurance -- Risk Assessment & Management
- Business & Economics -- Corporate Finance
- Finance & accounting
- Management & management techniques
- Corporate finance
- Finance
- Risk management
- Business & Economics -- Statistics
- Probability & statistics
- 332.01/5118 23
- HG106
| Item type | Current library | Call number | Status | |
|---|---|---|---|---|
Цахим ном
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Эрдэм шинжилгээний номын сан | 332.01/5118 | Available |
Academic
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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English
Online resource; title from PDF title page (SpringerLink, viewed August 10, 2017).