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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.

Quantitative methods (economics) --- Probability theory --- Financial analysis --- Financial risk management. --- Quantitative research. --- Data analysis (Quantitative research) --- Exploratory data analysis (Quantitative research) --- Quantitative analysis (Research) --- Quantitative methods (Research) --- Research --- Risk management --- Economics, Mathematical . --- Game theory. --- Finance. --- Actuarial science. --- Quantitative Finance. --- Game Theory, Economics, Social and Behav. Sciences. --- Finance, general. --- Actuarial Sciences. --- Statistics --- Insurance --- Funding --- Funds --- Economics --- Currency question --- Games, Theory of --- Theory of games --- Mathematical models --- Mathematics --- Mathematical economics --- Econometrics --- Methodology --- Quantitative Finance --- Game Theory, Economics, Social and Behav. Sciences --- Finance/Investment/Banking --- Actuarial Sciences

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This book presents 20 peer-reviewed chapters on current aspects of derivatives markets and derivative pricing. The contributions, written by leading researchers in the field as well as experienced authors from the financial industry, present the state of the art in: • Modeling counterparty credit risk: credit valuation adjustment, debit valuation adjustment, funding valuation adjustment, and wrong way risk. • Pricing and hedging in fixed-income markets and multi-curve interest-rate modeling. • Recent developments concerning contingent convertible bonds, the measuring of basis spreads, and the modeling of implied correlations. The recent financial crisis has cast tremendous doubts on the classical view on derivative pricing. Now, counterparty credit risk and liquidity issues are integral aspects of a prudent valuation procedure and the reference interest rates are represented by a multitude of curves according to their different periods and maturities. A panel discussion included in the book (featuring Damiano Brigo, Christian Fries, John Hull, and Daniel Sommer) on the foundations of modeling and pricing in the presence of counterparty credit risk provides intriguing insights on the debate. .

Mathematics. --- Banks and banking. --- Financial engineering. --- Economics, Mathematical. --- Mathematical models. --- Probabilities. --- Statistics. --- Quantitative Finance. --- Banking. --- Statistics for Business/Economics/Mathematical Finance/Insurance. --- Mathematical Modeling and Industrial Mathematics. --- Probability Theory and Stochastic Processes. --- Financial Engineering. --- Statistical analysis --- Statistical data --- Statistical methods --- Statistical science --- Probability --- Statistical inference --- Models, Mathematical --- Economics --- Mathematical economics --- Computational finance --- Engineering, Financial --- Agricultural banks --- Banking --- Banking industry --- Commercial banks --- Depository institutions --- Math --- Mathematics --- Econometrics --- Combinations --- Chance --- Least squares --- Mathematical statistics --- Risk --- Simulation methods --- Finance --- Financial institutions --- Money --- Science --- Methodology --- Finance. --- Distribution (Probability theory. --- Statistics for Business, Management, Economics, Finance, Insurance. --- Distribution functions --- Frequency distribution --- Characteristic functions --- Probabilities --- Funding --- Funds --- Currency question --- Economics, Mathematical . --- Statistics .

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

This book presents 20 peer-reviewed chapters on current aspects of derivatives markets and derivative pricing. The contributions, written by leading researchers in the field as well as experienced authors from the financial industry, present the state of the art in: • Modeling counterparty credit risk: credit valuation adjustment, debit valuation adjustment, funding valuation adjustment, and wrong way risk. • Pricing and hedging in fixed-income markets and multi-curve interest-rate modeling. • Recent developments concerning contingent convertible bonds, the measuring of basis spreads, and the modeling of implied correlations. The recent financial crisis has cast tremendous doubts on the classical view on derivative pricing. Now, counterparty credit risk and liquidity issues are integral aspects of a prudent valuation procedure and the reference interest rates are represented by a multitude of curves according to their different periods and maturities. A panel discussion included in the book (featuring Damiano Brigo, Christian Fries, John Hull, and Daniel Sommer) on the foundations of modeling and pricing in the presence of counterparty credit risk provides intriguing insights on the debate. .

Statistical science --- Quantitative methods (economics) --- Private finance --- Economics --- Operational research. Game theory --- Mathematical statistics --- Probability theory --- Mathematics --- Financial analysis --- Planning (firm) --- Financial organisation --- Business economics --- kennis --- banken --- waarschijnlijkheidstheorie --- stochastische analyse --- mathematische modellen --- statistiek --- sociale interventies --- bankwezen --- financiële analyse --- econometrie --- wiskunde --- kansrekening