Collaborative Research In Financial Services Risk Management And Quantitive Finance
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Quantitative Financial Risk Management
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Author : Michael B. Miller
language : en
Publisher: John Wiley & Sons
Release Date : 2018-11-13
Quantitative Financial Risk Management written by Michael B. Miller and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-11-13 with Business & Economics categories.
A mathematical guide to measuring and managing financial risk. Our modern economy depends on financial markets. Yet financial markets continue to grow in size and complexity. As a result, the management of financial risk has never been more important. Quantitative Financial Risk Management introduces students and risk professionals to financial risk management with an emphasis on financial models and mathematical techniques. Each chapter provides numerous sample problems and end of chapter questions. The book provides clear examples of how these models are used in practice and encourages readers to think about the limits and appropriate use of financial models. Topics include: • Value at risk • Stress testing • Credit risk • Liquidity risk • Factor analysis • Expected shortfall • Copulas • Extreme value theory • Risk model backtesting • Bayesian analysis • . . . and much more
Quantitative Financial Risk Management
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Author : Constantin Zopounidis
language : en
Publisher: John Wiley & Sons
Release Date : 2015-06-08
Quantitative Financial Risk Management written by Constantin Zopounidis and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-06-08 with Business & Economics categories.
A Comprehensive Guide to Quantitative Financial Risk Management Written by an international team of experts in the field, Quantitative Financial Risk Management: Theory and Practice provides an invaluable guide to the most recent and innovative research on the topics of financial risk management, portfolio management, credit risk modeling, and worldwide financial markets. This comprehensive text reviews the tools and concepts of financial management that draw on the practices of economics, accounting, statistics, econometrics, mathematics, stochastic processes, and computer science and technology. Using the information found in Quantitative Financial Risk Management can help professionals to better manage, monitor, and measure risk, especially in today's uncertain world of globalization, market volatility, and geo-political crisis. Quantitative Financial Risk Management delivers the information, tools, techniques, and most current research in the critical field of risk management. This text offers an essential guide for quantitative analysts, financial professionals, and academic scholars.
Foundations Of Quantitative Finance Book Ii Probability Spaces And Random Variables
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Author : Robert R. Reitano
language : en
Publisher: CRC Press
Release Date : 2022-12-28
Foundations Of Quantitative Finance Book Ii Probability Spaces And Random Variables written by Robert R. Reitano and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-12-28 with Mathematics categories.
Every financial professional wants and needs an advantage. A firm foundation in advanced mathematics can translate into dramatic advantages to professionals willing to obtain it. Many are not—and that is the advantage these books offer the astute reader. Published under the collective title of Foundations of Quantitative Finance, this set of ten books presents the advanced mathematics finance professionals need to advantage their careers, these books present the theory most do not learn in graduate finance programs, or in most financial mathematics undergraduate and graduate courses. As a high-level industry executive and authoritative instructor, Robert R. Reitano presents the mathematical theories he encountered in nearly three decades working in the financial industry and two decades teaching in highly respected graduate programs. Readers should be quantitatively literate and familiar with the developments in the first book in the set, Foundations of Quantitative Finance Book I: Measure Spaces and Measurable Functions.
Innovations In Quantitative Risk Management
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Author : Kathrin Glau
language : en
Publisher: Springer
Release Date : 2015-01-09
Innovations In Quantitative Risk Management written by Kathrin Glau and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-01-09 with Mathematics categories.
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.
Recent Applications Of Financial Risk Modelling And Portfolio Management
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Author : Škrinjari?, Tihana
language : en
Publisher: IGI Global
Release Date : 2020-09-25
Recent Applications Of Financial Risk Modelling And Portfolio Management written by Škrinjari?, Tihana and has been published by IGI Global this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-09-25 with Business & Economics categories.
In today’s financial market, portfolio and risk management are facing an array of challenges. This is due to increasing levels of knowledge and data that are being made available that have caused a multitude of different investment models to be explored and implemented. Professionals and researchers in this field are in need of up-to-date research that analyzes these contemporary models of practice and keeps pace with the advancements being made within financial risk modelling and portfolio control. Recent Applications of Financial Risk Modelling and Portfolio Management is a pivotal reference source that provides vital research on the use of modern data analysis as well as quantitative methods for developing successful portfolio and risk management techniques. While highlighting topics such as credit scoring, investment strategies, and budgeting, this publication explores diverse models for achieving investment goals as well as improving upon traditional financial modelling methods. This book is ideally designed for researchers, financial analysts, executives, practitioners, policymakers, academicians, and students seeking current research on contemporary risk management strategies in the financial sector.
Customer Centric Innovation In Finance
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Author : Erin B Taylor
language : en
Publisher: Kogan Page Publishers
Release Date : 2024-04-03
Customer Centric Innovation In Finance written by Erin B Taylor and has been published by Kogan Page Publishers this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-04-03 with Business & Economics categories.
The competition landscape of finance is changing fast and it has never been so important for the finance industry to truly understand their customers. Customer-Centric Innovation in Finance helps finance and fintech innovators understand customers' behavioural motivations to drive effective product development. Relying on quantitative data is not enough: numbers can be great at telling us what people are doing but they often fail to explain why people do what they do. And if a service doesn't exist yet, there is no data to tell us how people use it. Human insights, behavioural science and qualitative data add immense value to product development. Readers will learn to innovate smarter by getting a firm understanding of why customers like their solutions and how they adapt them to suit their needs. The book presents real-life examples throughout of how customers are changing their behaviour in response to a fast-evolving financial landscape and provides practical advice on how to transform such insights into innovation. It explores how to produce customer insights for services that don't exist yet, for instance Central Bank Digital Currencies (CBDCs). It also provides descriptions of hands-on tools to build new insights and apply them to innovation and of methodologies such as portable kits, personas, digital ethnography, observations and interviews.
Coherent Stress Testing
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Author : Riccardo Rebonato
language : en
Publisher: John Wiley & Sons
Release Date : 2010-06-10
Coherent Stress Testing written by Riccardo Rebonato and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-06-10 with Business & Economics categories.
In Coherent Stress Testing: A Bayesian Approach, industry expert Riccardo Rebonato presents a groundbreaking new approach to this important but often undervalued part of the risk management toolkit. Based on the author's extensive work, research and presentations in the area, the book fills a gap in quantitative risk management by introducing a new and very intuitively appealing approach to stress testing based on expert judgement and Bayesian networks. It constitutes a radical departure from the traditional statistical methodologies based on Economic Capital or Extreme-Value-Theory approaches. The book is split into four parts. Part I looks at stress testing and at its role in modern risk management. It discusses the distinctions between risk and uncertainty, the different types of probability that are used in risk management today and for which tasks they are best used. Stress testing is positioned as a bridge between the statistical areas where VaR can be effective and the domain of total Keynesian uncertainty. Part II lays down the quantitative foundations for the concepts described in the rest of the book. Part III takes readers through the application of the tools discussed in part II, and introduces two different systematic approaches to obtaining a coherent stress testing output that can satisfy the needs of industry users and regulators. In part IV the author addresses more practical questions such as embedding the suggestions of the book into a viable governance structure.
Foundations Of Quantitative Finance Book Iv Distribution Functions And Expectations
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Author : Robert R. Reitano
language : en
Publisher: CRC Press
Release Date : 2023-09-12
Foundations Of Quantitative Finance Book Iv Distribution Functions And Expectations written by Robert R. Reitano and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-09-12 with Mathematics categories.
Every finance professional wants and needs a competitive edge. A firm foundation in advanced mathematics can translate into dramatic advantages to professionals willing to obtain it. Many are not—and that is the competitive edge these books offer the astute reader. Published under the collective title of Foundations of Quantitative Finance, this set of ten books develops the advanced topics in mathematics that finance professionals need to advance their careers. These books expand the theory most do not learn in graduate finance programs, or in most financial mathematics undergraduate and graduate courses. As an investment executive and authoritative instructor, Robert R. Reitano presents the mathematical theories he encountered and used in nearly three decades in the financial services industry and two decades in academia where he taught in highly respected graduate programs. Readers should be quantitatively literate and familiar with the developments in the earlier books in the set. While the set offers a continuous progression through these topics, each title can be studied independently. Features Extensively referenced to materials from earlier books Presents the theory needed to support advanced applications Supplements previous training in mathematics, with more detailed developments Built from the author's five decades of experience in industry, research, and teaching Published and forthcoming titles in the Robert R. Reitano Quantitative Finance Series: Book I: Measure Spaces and Measurable Functions Book II: Probability Spaces and Random Variables Book III: The Integrals of Lebesgue and (Riemann-)Stieltjes Book IV: Distribution Functions and Expectations Book V: General Measure and Integration Theory Book VI: Densities, Transformed Distributions, and Limit Theorems Book VII: Brownian Motion and Other Stochastic Processes Book VIII: Itô Integration and Stochastic Calculus 1 Book IX: Stochastic Calculus 2 and Stochastic Differential Equations Book X: Classical Models and Applications in Finance
Operational Risk Modeling In Financial Services
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Author : Patrick Naim
language : en
Publisher: John Wiley & Sons
Release Date : 2019-03-28
Operational Risk Modeling In Financial Services written by Patrick Naim and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-03-28 with Business & Economics categories.
Transform your approach to oprisk modelling with a proven, non-statistical methodology Operational Risk Modeling in Financial Services provides risk professionals with a forward-looking approach to risk modelling, based on structured management judgement over obsolete statistical methods. Proven over a decade’s use in significant banks and financial services firms in Europe and the US, the Exposure, Occurrence, Impact (XOI) method of operational risk modelling played an instrumental role in reshaping their oprisk modelling approaches; in this book, the expert team that developed this methodology offers practical, in-depth guidance on XOI use and applications for a variety of major risks. The Basel Committee has dismissed statistical approaches to risk modelling, leaving regulators and practitioners searching for the next generation of oprisk quantification. The XOI method is ideally suited to fulfil this need, as a calculated, coordinated, consistent approach designed to bridge the gap between risk quantification and risk management. This book details the XOI framework and provides essential guidance for practitioners looking to change the oprisk modelling paradigm. Survey the range of current practices in operational risk analysis and modelling Track recent regulatory trends including capital modelling, stress testing and more Understand the XOI oprisk modelling method, and transition away from statistical approaches Apply XOI to major operational risks, such as disasters, fraud, conduct, legal and cyber risk The financial services industry is in dire need of a new standard — a proven, transformational approach to operational risk that eliminates or mitigates the common issues with traditional approaches. Operational Risk Modeling in Financial Services provides practical, real-world guidance toward a more reliable methodology, shifting the conversation toward the future with a new kind of oprisk modelling.
Final Basel Iii Modelling
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Author : Ioannis Akkizidis
language : en
Publisher: Springer
Release Date : 2018-06-28
Final Basel Iii Modelling written by Ioannis Akkizidis and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-06-28 with Business & Economics categories.
This book provides a concise and practical guidance on the implementation analysis of the new revised standards of the Basel Committee on Banking Supervision (BCBS) on the supervision of the international banking system. Based on publicly available data on default rates and realised loss-given-default rates, it provides an analysis of credit and market risk, assessing the extent to which the new framework on risk-based and leverage ratio requirements affects the modelling of banking risks. Moreover, it provides a detailed analysis of the Fundamental Review of the Trading Book (FRTB), which changes the philosophy for the risk valuation and capital requirements of the market risk, and of the latest developments on the credit valuation adjustments (CVA) framework. It also examines the impact of the final calibration of operational risk parameters on the level of capital requirements. It provides an overview of the modelling properties that govern the application of the internal models for credit and market risk, and provides evidence on the overall impact on banks’ cost of funding due to the implementation of Basel reforms as shaped in December 2017. Finally, the book provides practical examples and hands-on applications for assessing the new BCBS framework.
