Innovations in Quantitative Risk Management: TU München, by Kathrin Glau, Matthias Scherer, Rudi Zagst

By Kathrin Glau, Matthias Scherer, Rudi Zagst

Quantitative versions are omnipresent –but usually controversially mentioned– in todays probability administration perform. New laws, cutting edge financial items, and advances in valuation thoughts supply a continuing flow of tough difficulties for financial engineers and possibility managers alike. Designing a valid stochastic version calls for finding a cautious stability among parsimonious version assumptions, mathematical viability, and interpretability of the output. furthermore, info specifications and the end-user education are to be regarded as well.

The KPMG heart of Excellence in threat administration convention danger administration Reloaded and this court cases quantity give a contribution to bridging the distance among academia –providing methodological advances– and perform –having a firm figuring out of the commercial stipulations during which a given version is used. mentioned fields of software variety from asset administration, credits hazard, and effort to threat administration concerns in coverage. Methodologically, dependence modeling, multiple-curve curiosity rate-models, and version chance are addressed. ultimately, regulatory advancements and attainable limits of mathematical modeling are discussed.

Show description

Read or Download Innovations in Quantitative Risk Management: TU München, September 2013 PDF

Best risk management books

Financial Risk Manager Handbook

I've got used this ebook as a textual content for a graduate point monetary hazard administration direction, in education for the GARP FRM examination (which I passed), and as a reference professionally. The instruction manual promises precisely what it says it's going to, and serves as a superb primer sooner than stepping into the heavier, extra specified assigned readings (this isn't an assigned examining for the FRM examination, brain you).

COSO Enterprise Risk Management: Understanding the New Integrated ERM Framework

Compliment for COSO company probability Management"COSO ERM is a considerate advent to the demanding situations of probability administration on the firm point and encompasses a wealth of knowledge on facing it by using the COSO framework. targeted systems protecting a wide selection of occasions are by way of an intensive rationalization of the way each one is deployed.

Handbook of Explosion Prevention and Protection

Among them, the popular crew of editors and authors have gathered extraordinary event at such institutes as BAM, PTB, Pittsburgh nationwide Institute for Occupational wellbeing and fitness and safeguard, BASF AG, and the college of Göttingen. during this work-the first of its type for 35 years-they describe intimately these measures that hinder or restrict commercial explosions and the wear so triggered.

The Doom Loop in the Financial Sector: And Other Black Holes of Risk

Some time past years, the realm has skilled how unsound monetary practices can disrupt international financial and social order. Today’s risky international monetary scenario highlights the significance of dealing with possibility and the implications of terrible determination making. The Doom Loop within the monetary area unearths an underlying paradox of probability administration: the higher we develop into at assessing dangers, the extra we think cozy taking them.

Extra info for Innovations in Quantitative Risk Management: TU München, September 2013

Sample text

Kemmer Association of German Banks, Burgstr. de M. de © The Author(s) 2015 K. Glau et al. 1007/978-3-319-09114-3_2 19 20 U. Gaumert and M. Kemmer point for explaining and commenting on the current debate. Much of the following applies to other types of internal models as well. Banks and supervisors learned many lessons from the sometimes unsatisfactory performance of VaR models in the crisis—one of the root causes of the loss of confidence by investors in model results. This led, at bank level, to a range of improvements in methodology, and also to the realisation that not all products and portfolios lend themselves to internal modelling.

Nonetheless, it is most certainly possible to standardise models in a way which will reduce their complexity and improve the comparability of their results but will not compromise their suitability for internal use. Here are a few suggestions35 : • Develop a market standard for IRC models to avoid variation as a result of differences in the choice of model (proposed standard established by supervisors: see Trading Book Review). • Reduce the amount of flexibility in how historical data are used.

In addition to the code of “moral ethics” discussed in Sect. 8, the following additional incentive to use models appropriately could be considered. Establishing a link between traders’ bonuses and model backtesting results could serve to improve the alignment of interests. This idea is also closely connected with the issue of strengthening the use test concept (see Sect. 5). Trade repositories already collect key data, including calculated market values, relating to all derivative contracts, irrespective of whether they are centrally cleared or not.

Download PDF sample

Rated 4.17 of 5 – based on 34 votes