Essays On Quantitative Risk Management
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Essays On Quantitative Risk Management
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Author : Fei Fei
language : en
Publisher:
Release Date : 2013
Essays On Quantitative Risk Management written by Fei Fei and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
Essays On Quantitative Risk Management
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Author : Linda Möstel
language : en
Publisher:
Release Date : 2018
Essays On Quantitative Risk Management written by Linda Möstel and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
Essays On Quantitative Risk Management And Behavioral Finance
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Author : Maike Timphus
language : en
Publisher:
Release Date : 2024
Essays On Quantitative Risk Management And Behavioral Finance written by Maike Timphus and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024 with categories.
Essays On Qualitative And Quantitative Risk Management
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Author : David Fritz
language : en
Publisher: Books on Demand
Release Date : 2018-02-09
Essays On Qualitative And Quantitative Risk Management written by David Fritz and has been published by Books on Demand this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-02-09 with categories.
This book is based on the Ph.D. thesis "Essays on Qualitative and Quantitative Risk Management" written by the author of this book. It consists out of three essays on text mining applications in finance and the validation of a credit risk model. To be more precise, the three essays address the following research questions: What kind of text mining measures are suitable in the finance area for analyzing text such as annual reports and can we use these measures to predict short-term performance or the reporting quality? Can we measure the tone of a document by using automatically calculated sentiment scores? How can we build a sentiment score, that captures keywords within a larger context? Do the chapters/sections of an annual report have a different influence on the whole content of the report? How can banks validate their credit risk model with a special focus on an analytical model? This book addresses practitioners, consultants, analysts, and bankers as well as students, researchers, and lecturers with focus on text mining applications in finance and the validation of credit risk models.
Empirical Essays In Quantitative Risk Management
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Author : Yang Zhao
language : en
Publisher:
Release Date : 2016
Empirical Essays In Quantitative Risk Management written by Yang Zhao and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with Copulas (Mathematical statistics) categories.
Essays On Quantitative Risk Management With An Application To Asset Allocation Problems
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Author : Sascha Offermann
language : en
Publisher:
Release Date : 2022
Essays On Quantitative Risk Management With An Application To Asset Allocation Problems written by Sascha Offermann and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022 with categories.
Essays In Quantitative Risk Management For Financial Regulation Of Operational Risk Models
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Author : Pavan Aroda
language : en
Publisher:
Release Date : 2016
Essays In Quantitative Risk Management For Financial Regulation Of Operational Risk Models written by Pavan Aroda and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
An extensive amount of evolving guidance and rules are provided to banks by financial regulators. A particular set of instructions outline requirements to calculate and set aside loss-absorbing regulatory capital to ensure the solvency of a bank. Mathematical models are typically used by banks to quantify sufficient amounts of capital. In this thesis, we explore areas that advance our knowledge in regulatory risk management. In the first essay, we explore an aspect of operational risk loss modeling using scenario analysis. An actuarial modeling method is typically used to quantify a baseline capital value which is then layered with a judgemental component in order to account for and integrate what-if future potential losses into the model. We propose a method from digital signal processing using the convolution operator that views the problem of the blending of two signals. That is, a baseline loss distribution obtained from the modeling of frequency and severity of internal losses is combined with a probability distribution obtained from scenario responses to yield a final output that integrates both sets of information. In the second essay, we revisit scenario analysis and the potential impact of catastrophic events to that of the enterprise level of a bank. We generalize an algorithm to account for multiple level of intensities of events together with unique loss profiles depending on the business units effected. In the third essay, we investigate the problem of allocating aggregate capital across sub-portfolios in a fair manner when there are various forms of interdependencies. Relevant to areas of market, credit and operational risk, the multivariate shortfall allocation problem quantifies the optimal amount of capital needed to ensure that the expected loss under a convex loss penalty function remains bounded by a threshold. We first provide an application of the existing methodology to a subset of high frequency loss cells. Lastly, we provide an extension using copula models which allows for the modeling of joint fat-tailed events or asymmetries in the underlying process.
Essays In Quantitative Finance On Risk Management And Credit Portfolio Optimisation
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Author : Zhi Wang
language : en
Publisher:
Release Date : 2011
Essays In Quantitative Finance On Risk Management And Credit Portfolio Optimisation written by Zhi Wang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
This thesis discusses three topics in the area of quantitative finance in relation to risk and credit portfolio management. Chapter 2 investigates the issue of estimating and testing the goodness-of-fit of a model for a dependence break. The dependence is modelled by copulas and an unknown break of dependence structure is allowed for by including a dummy variable in the copula. The model is selected by minimizing the Akaike Information Criterion (AIC) of each candidate breaking point. The candidate models are estimated by a well-established two-step Maximum Likelihood (ML) approach, namely "Inference Function for Margin" (IFM). Moreover, we examine 5 single-factor copulas and compare them to each other by AIC criteria. A parametric bootstrap goodness-of-fit test is also proposed. Empirically, the dependence structures of stock indices between the US-UK and US-Japan markets during the Subprime crisis are examined. We found breaks in both dependence structures. In Chapter 3, a new general approach is developed for optimizing a credit portfolio by minimizing the default risk of a whole credit portfolio subject to a certain target premium. The approach is rooted in concepts from Modem Portfolio Theory. The default risk is measured by a quadratic form of weights and a matrix containing information about default correlations between any two single-names and default intensities of each single-name. The default correlation and the default intensities are modelled by a new binomial intensity model. A Genetic Algorithm (GA) approach is also introduced to optimize a credit portfolio with the purpose of overcoming limitations of the analytical method and the traditional numerical method based on the first order condition. Empirically, the approach is applied to optimize Credit Default Swap (CDS) portfolios consisting of members of iTraxx and CDX indices. In Chapter 4, we focus on modelling counterparty risks of two important financial instruments: the Interest Rate Swap (IRS) and the CDS. Analytical solutions are derived for the theoretical fair prices of the IRS and the CDS under various assumptions of defaults of counterparties. Also a Monte Carlo approach is proposed as a numerical solution for the fair prices. Numerical experiments are designed to study the effects of various factors on the fair price. Empirically, we examine the counterparty risk of a CDS portfolio, composed of randomly selected single-names from iTraxx series 10.
Quantitative And Qualitative Approaches To Risk Assessment And Analysis Why Do Regulators Generally Rely On Quantitative Methods
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Author : Deniz Tarsus
language : en
Publisher:
Release Date : 2014-04-25
Quantitative And Qualitative Approaches To Risk Assessment And Analysis Why Do Regulators Generally Rely On Quantitative Methods written by Deniz Tarsus and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-04-25 with categories.
Essay from the year 2011 in the subject Sociology - Methodology and Methods, grade: 2, University of Leicester (Department of Sociology), course: Risk, Crisis and Disaster Management, language: English, abstract: The given question argues that there are two approaches to risk assessment and analysis, quantitative and qualitative, and asks why regulators generally rely on quantitative risk assessment and analysis. The essay examines the question by considering first what is meant by the terms risk, risk assessment and analysis, regulators and quantitative/qualitative approach to risk assessment and analysis. With reference to the latter terms, the essay then focuses on the analysis of advantages and disadvantages of both quantitative and qualitative approaches from the regulators' perspective. By comparison of both approaches the essay then concludes with why regulators generally rely on quantitative methods.
Essays In Advanced Risk Management And Quantitative Strategies In Infrastructure Finance
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Author : Feng Dong
language : en
Publisher:
Release Date : 2010
Essays In Advanced Risk Management And Quantitative Strategies In Infrastructure Finance written by Feng Dong and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.