Innovations in Quantitative Risk Management
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Beschreibung
Quantitative models are omnipresent -but often controversially discussed- in todays risk management practice. New regulations, innovative ¿nancial products, and advances in valuation techniques provide a continuous ¿ow of challenging problems for ¿nancial engineers and risk managers alike. Designing a sound stochastic model requires ¿nding 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 ¿rm understanding of the economic conditions in which a given model is used. Discussed ¿elds 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. von Glau, Kathrin und Scherer, Matthias und Zagst, Rudi
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