TY  - DATA
AU  - Haardle, Wolfgang,
AU  - Chen, Cathy Yi-Hsuan,
AU  - Overbeck, Ludger,
TI  - Applied quantitative finance
T2  - Statistics and computing,
SN  - 9783662544860 (E-book)     
AV  - HG 106 A66 2017
PY  - 2017///
CY  - Berlin, Germany
PB  - Springer
KW  - FINANCE
KW  - MATHEMATICAL MODELS
KW  - RISK ASSESSMENT
N1  - Market Risk -- VaR in high dimensional systems - A conditional correlation approach -- Multivariate volatility models -- Portfolio selection with spectral risk measures -- Implementation of local stochastic volatility model in FX derivatives -- Credit risk -- Estimating distance-to-default with a sector-specific liability adjustment via sequential monte carlo -- Risk measurement with spectral capital allocation -- Market based credit rating and its applications -- Using public information to predict corporate
default risk -- Stress testing in credit portfolio models -- Penalized independent factor -- Term structure of loss cascades in securitisation -- Credit rating score analysis -- Dynamics risk measurement -- Copulae in high dimensions : An introduction
UR  - https://drive.google.com/file/d/11Z7MUqtPN9tG-axHxYvj02EuNvyiFFjz/view?usp=sharing
ER  -