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

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

Editor
Contributor
Summary
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 meet the current challenges in banking and finance. It includes 14 new contributions and presents a comprehensive, state-of-the-art treatment of cutting-edge methods and topics, such as collateralized debt obligations, the high-frequency analysis of market liquidity, and realized volatility. The book is divided into three parts: Part 1 revisits important market risk issues, while Part 2 introduces novel concepts in credit risk and its management along with updated quantitative methods. The third part discusses the dynamics of risk management and includes risk analysis of energy markets and for cryptocurrencies. Digital assets, such as blockchain-based currencies, have become popular b ut are theoretically challenging when based on conventional methods. Among others, it introduces a modern text-mining method called dynamic topic modeling in detail and applies it to the message board of Bitcoins. The unique synthesis of theory and practice supported by computational tools is reflected not only in the selection of topics, but also in the fine balance of scientific contributions on practical implementation and theoretical concepts. This link between theory and practice offers theoreticians insights into considerations of applicability and, vice versa, provides practitioners convenient access to new techniques in quantitative finance. Hence the book will appeal both to researchers, including master and PhD students, and practitioners, such as financial engineers. The results presented in the book are fully reproducible and all quantlets needed for calculations are provided on an accompanying website. The Quantlet platform quantlet.de, quantlet.c om, quantlet.org is an integrated QuantNet environment consisting of different types of statistics-related documents and program codes. Its goal is to promote reproducibility and offer a platform for sharing validated knowledge native to the social web. QuantNet and the corresponding Data-Driven Documents-based visualization allows readers to reproduce the tables, pictures and calculations inside this Springer book.--
Language
eng
Work
Publication
Edition
3rd ed. 2017.
Extent
1 online resource (X, 372 pages)
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
Isbn
9783662544860
Link
https://eui.idm.oclc.org/login?url=http://dx.doi.org/10.1007/978-3-662-54486-0
Instance
Label
Applied Quantitative Finance
Title
Applied Quantitative Finance
Statement of responsibility
edited by Wolfgang Karl Härdle, Cathy Yi-Hsuan Chen, Ludger Overbeck
Contributor
Editor
Subject
Language
eng
Summary
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 meet the current challenges in banking and finance. It includes 14 new contributions and presents a comprehensive, state-of-the-art treatment of cutting-edge methods and topics, such as collateralized debt obligations, the high-frequency analysis of market liquidity, and realized volatility. The book is divided into three parts: Part 1 revisits important market risk issues, while Part 2 introduces novel concepts in credit risk and its management along with updated quantitative methods. The third part discusses the dynamics of risk management and includes risk analysis of energy markets and for cryptocurrencies. Digital assets, such as blockchain-based currencies, have become popular b ut are theoretically challenging when based on conventional methods. Among others, it introduces a modern text-mining method called dynamic topic modeling in detail and applies it to the message board of Bitcoins. The unique synthesis of theory and practice supported by computational tools is reflected not only in the selection of topics, but also in the fine balance of scientific contributions on practical implementation and theoretical concepts. This link between theory and practice offers theoreticians insights into considerations of applicability and, vice versa, provides practitioners convenient access to new techniques in quantitative finance. Hence the book will appeal both to researchers, including master and PhD students, and practitioners, such as financial engineers. The results presented in the book are fully reproducible and all quantlets needed for calculations are provided on an accompanying website. The Quantlet platform quantlet.de, quantlet.c om, quantlet.org is an integrated QuantNet environment consisting of different types of statistics-related documents and program codes. Its goal is to promote reproducibility and offer a platform for sharing validated knowledge native to the social web. QuantNet and the corresponding Data-Driven Documents-based visualization allows readers to reproduce the tables, pictures and calculations inside this Springer book.--
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Provided by publisher
Image bit depth
0
Literary form
non fiction
Nature of contents
dictionaries
http://library.link/vocab/relatedWorkOrContributorName
  • Härdle, Wolfgang Karl
  • Chen, Cathy Yi-Hsuan
  • Overbeck, Ludger
Series statement
  • Springer eBooks
  • Statistics and Computing,
http://library.link/vocab/subjectName
  • Statistics
  • Business enterprises
  • Risk management
  • Economics, Mathematical
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
Instantiates
Publication
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
Reformatting quality
access
Specific material designation
remote
System control number
(OCoLC)1000297947
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
Publication
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
Reformatting quality
access
Specific material designation
remote
System control number
(OCoLC)1000297947

Subject

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