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: sn.pub/extras
Part of the book series: Springer Proceedings in Mathematics & Statistics (PROMS, volume 99)
Table of contents (25 papers)
Markets, Regulation, and Model Risk
Insurance Risk and Asset Management
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.
Book Title: Innovations in Quantitative Risk Management
Book Subtitle: TU München, September 2013
Editors: Kathrin Glau, Matthias Scherer, Rudi Zagst
Series Title: Springer Proceedings in Mathematics & Statistics
Publisher: Springer Cham
Copyright Information: The Editor(s) (if applicable) and the Author(s) 2015
License: CC BY-NC
Hardcover ISBN: 978-3-319-09113-6
Softcover ISBN: 978-3-319-35861-1
eBook ISBN: 978-3-319-09114-3
Series ISSN: 2194-1009
Series E-ISSN: 2194-1017
Edition Number: 1
Number of Pages: XI, 438
Number of Illustrations: 84 b/w illustrations