Applied Quantitative Finance

330.015195

Applied Quantitative Finance edited by Wolfgang Karl Härdle, Cathy Yi-Hsuan Chen, Ludger Overbeck. - 3rd ed. 2017.. -
X, 372 p. 111 illus., 75 illus. in color. online resource. - (Statistics and Computing, ) Content notes : 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. 9783662544860 * Statistics. Finance. Risk management. Business enterprises-Finance. Statistics for Business/Economics/Mathematical Finance/Insurance. Quantitative Finance. Risk Management. Business Finance. * Härdle, Wolfgang Karl., edt, http://id.loc.gov/vocabulary/relators/edtChen, Cathy Yi-Hsuan., edt, http://id.loc.gov/vocabulary/relators/edtOverbeck, Ludger., edt, http://id.loc.gov/vocabulary/relators/edt * Title * Series