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  • Conference proceedings
  • Open Access
  • © 2015

Innovations in Quantitative Risk Management

TU München, September 2013

  • Provides a bridge between methodological advances and applications in risk management

  • Focuses on modern techniques such as dependence modeling, LIBOR modeling and counterparty credit risk

  • Features contributions from well-known experts from both academia and practice

  • Includes supplementary material:

Part of the book series: Springer Proceedings in Mathematics & Statistics (PROMS, volume 99)

Buying options

Softcover Book USD 59.99
Price excludes VAT (USA)
Hardcover Book USD 59.99
Price excludes VAT (USA)

Table of contents (25 papers)

  1. Front Matter

    Pages i-xi
  2. Markets, Regulation, and Model Risk

    1. Front Matter

      Pages 1-1
    2. A Random Holding Period Approach for Liquidity-Inclusive Risk Management

      • Damiano Brigo, Claudio Nordio
      Pages 3-18Open Access
    3. Model Risk in Incomplete Markets with Jumps

      • Nils Detering, Natalie Packham
      Pages 39-56Open Access
  3. Financial Engineering

    1. Front Matter

      Pages 57-57
    2. Bid-Ask Spread for Exotic Options under Conic Finance

      • Florence Guillaume, Wim Schoutens
      Pages 59-74Open Access
    3. A Two-Sided BNS Model for Multicurrency FX Markets

      • Karl Friedrich Bannör, Matthias Scherer, Thorsten Schulz
      Pages 93-107Open Access
    4. Modeling the Price of Natural Gas with Temperature and Oil Price as Exogenous Factors

      • Jan Müller, Guido Hirsch, Alfred Müller
      Pages 109-128Open Access
    5. Copula-Specific Credit Portfolio Modeling

      • Matthias Fischer, Kevin Jakob
      Pages 129-145Open Access
    6. Implied Recovery Rates—Auctions and Models

      • Stephan Höcht, Matthias Kunze, Matthias Scherer
      Pages 147-162Open Access
    7. Upside and Downside Risk Exposures of Currency Carry Trades via Tail Dependence

      • Matthew Ames, Gareth W. Peters, Guillaume Bagnarosa, Ioannis Kosmidis
      Pages 163-181Open Access
  4. Insurance Risk and Asset Management

    1. Front Matter

      Pages 183-183
    2. Reducing Surrender Incentives Through Fee Structure in Variable Annuities

      • Carole Bernard, Anne MacKay
      Pages 209-223Open Access
    3. Risk Control in Asset Management: Motives and Concepts

      • Thomas Dangl, Otto Randl, Josef Zechner
      Pages 239-266Open Access
    4. Improving Optimal Terminal Value Replicating Portfolios

      • Jan Natolski, Ralf Werner
      Pages 289-301Open Access

About this book

Quantitative models are omnipresent –but often controversially discussed– in todays risk management practice. New regulations, innovative financial products, and advances in valuation techniques provide a continuous flow of challenging problems for financial engineers and risk managers alike. Designing a sound stochastic model requires finding a careful balance between parsimonious model assumptions, mathematical viability, and interpretability of the output. Moreover, data requirements and the end-user training are to be considered as well.

The KPMG Center of Excellence in Risk Management conference Risk Management Reloaded and this proceedings volume contribute to bridging the gap between academia –providing methodological advances– and practice –having a firm understanding of the economic conditions in which a given model is used. Discussed fields of application range from asset management, credit risk, and energy to risk management issues in insurance. Methodologically, dependence modeling, multiple-curve interest rate-models, and model risk are addressed. Finally, regulatory developments and possible limits of mathematical modeling are discussed.


  • 91B30, 91B82, 91B25, 91B24
  • credit risk
  • dependence modeling
  • interest-rate modeling
  • model risk
  • risk management
  • quantitative finance

Editors and Affiliations

  • Chair of Mathematical Finance, Technische Universität München, Garching, Germany

    Kathrin Glau, Matthias Scherer, Rudi Zagst

About the editors

Kathrin Glau is Junior professor for Mathematical Finance at the Technische Universität München. Her research faces the complex demands on numerical tools and modeling in today’s market reality.   Her approach merges recent advances from numerical analysis and financial modeling.  Thereby pricing methods in advanced models with a thorough error analysis are developed. Her speciality are Galerkin methods for partial integro differential equations for (pure) jump Levy driven models.

Matthias Scherer is Professor for Mathematical Finance at the Technische Universität München. His research interests comprise various topics in Financial Mathematics, Actuarial Science, and Probability Theory. Concerning applications in risk management, he has published research articles on portfolio-credit risk, dependence modeling, and model risk. He is an active member of the management boards of the DGVFM and the KPMG Center of Excellence in Risk Management. He is co-author of the book “Simulating Copulas: Stochastic Models, Sampling Algorithms, and Applications” and provides executive seminars for different financial institutions.

Rudi Zagst is Professor for Mathematical Finance, Director of the Center of Mathematics and member of the management board of the KPMG Center of Excellence in Risk Management at Technische Universität München. He is also President of risklab GmbH, a German-based consulting company offering advanced asset management solutions and is a professional trainer to a number of leading institutions. His current research interests are in financial engineering, risk and asset management.

Bibliographic Information

Buying options

Softcover Book USD 59.99
Price excludes VAT (USA)
Hardcover Book USD 59.99
Price excludes VAT (USA)