Titlebook: Applied Quantitative Finance; Wolfgang Karl H?rdle,Cathy Yi-Hsuan Chen,Ludger Ov Textbook 2017Latest edition Springer-Verlag GmbH Germany

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書目名稱Applied Quantitative Finance影響因子(影響力)




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https://doi.org/10.1007/978-1-4020-8213-9te its possible application in risk management. We implement the PIF to the daily probability of default data from 1999 to 2013. The proposed method provides good interpretation of the dynamic structure of 14 economies’ global default probability from pre-Dot Com bubble to post-Sub Prime crisis.

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https://doi.org/10.1007/978-94-015-8664-1roceed to evaluate the statistical significance of the differences in performance of the analysed risk models. We employ a novel methodology for comparing VaR performance allowing us to rank competing models. Our simulation results show that for a significant number of different VaR models there is no statistical difference in the performance.

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Textbook 2017Latest editiontion 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 cuttin

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1431-8784 een theoretical concepts, computational tools and practical .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 analy

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Risk Analysis of Cryptocurrency as an Alternative Asset Classludes that the closer the right tail of wealth distribution approaching the Power-Law model, the more stable the market will be. This result is quite useful for investors to make decisions when investing in cryptocurrencies.

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