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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Risk Measurement with Spectral Capital Allocationrisk or the capital allocation is the sensible approach. Since spectral risk measures are coherent there exists also a sensible capital allocation based on the notion of derivatives or more in the light of the coherency approach as an expectation under a generalized maximal scenario.

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Penalized Independent Factorte 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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參考書目

Implementation of Local Stochastic Volatility Model in FX Derivativestions, we compare the calibration and pricing results of the LSV model with the LV model and the SV model, lower calibration errors and relatively accurate pricing results are achieved, which demonstrates the effectiveness of the methods presented in the paper.

長矛

Term Structure of Loss Cascades in Portfolio Securitisationibution for uniform loan portfolios and show that the expected loss of the first loss position increases roughly linear whereas the expected losses of the more senior tranches increase exponentially over time depending on the relation between mean default probability and tranching limits.

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