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...Show More
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 but 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.com, 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.Show Less
Presents the latest developments in risk management; market risk, credit risk and dynamics of risk management?
Provides a unique balance between theoretical concepts, computational tools and practical implementation?
Features fully reproducible results and provides the underlying quantlets on the accompanying website www.quantlet.de
Includes an innovative analysis of the dynamics of cryptocurrencies
Time varying LASSO yields a financial risk meter (FRM hu.berlin/frm)
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.