Applied Quantitative Finance, edited by Wolfgang Karl Härdle, Cathy Yi-Hsuan Chen, Ludger Overbeck, (electronic resource)

Resource Information

The instance Applied Quantitative Finance, edited by Wolfgang Karl Härdle, Cathy Yi-Hsuan Chen, Ludger Overbeck, (electronic resource) represents a material embodiment of a distinct intellectual or artistic creation found in European University Institute. This resource is a combination of several types including: Instance, Electronic.

Image

https://secure.syndetics.com/index.aspx?type=xw12&client=erounivinst&isbn=9783662544860&upc=10.1007%2F978-3-662-54486-0&oclc=%28OCoLC%291000297947/LC.JPG

Label

Applied Quantitative Finance, edited by Wolfgang Karl Härdle, Cathy Yi-Hsuan Chen, Ludger Overbeck, (electronic resource)

Link

https://eui.idm.oclc.org/login?url=http://dx.doi.org/10.1007/978-3-662-54486-0

Medium

electronic resource

Statement of responsibility

edited by Wolfgang Karl Härdle, Cathy Yi-Hsuan Chen, Ludger Overbeck

Instantiates

• Applied Quantitative Finance

Publication

• Berlin, Heidelberg, Springer Berlin Heidelberg | Imprint: Springer, 2017

Antecedent source

mixed

Carrier category

online resource

Carrier category code

• cr

Carrier MARC source

rdacarrier

Color

not applicable

Content category

text

Content type code

• txt

Content type MARC source

rdacontent

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

Control code

978-3-662-54486-0

Dimensions

unknown

Edition

3rd ed. 2017.

Extent

1 online resource (X, 372 pages)

File format

multiple file formats

Form of item

• online
• electronic

Governing access note

Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community

Isbn

9783662544860

Level of compression

uncompressed

Media category

computer

Media MARC source

rdamedia

Media type code

• c

Other control number

10.1007/978-3-662-54486-0

Other physical details

111 illustrations, 75 illustrations in color.

Quality assurance targets

absent

Record ID

u416122

Reformatting quality

access

Specific material designation

remote

System control number

(OCoLC)1000297947