Innovations in Quantitative Risk Management - Springer Proceedings in Mathematics & Statistics
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9783319091136, 9783319091143

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Copula Representations for Invariant Dependence Functions

Innovations in Quantitative Risk Management - Springer Proceedings in Mathematics & Statistics ◽

10.1007/978-3-319-09114-3_24 ◽

2015 ◽

pp. 411-421 ◽

Cited By ~ 3

Author(s):

Jayme Pinto ◽

Nikolai Kolev

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Upside and Downside Risk Exposures of Currency Carry Trades via Tail Dependence

Innovations in Quantitative Risk Management - Springer Proceedings in Mathematics & Statistics ◽

10.1007/978-3-319-09114-3_10 ◽

2015 ◽

pp. 163-181 ◽

Cited By ~ 5

Author(s):

Matthew Ames ◽

Gareth W. Peters ◽

Guillaume Bagnarosa ◽

Ioannis Kosmidis

Keyword(s):

Tail Dependence ◽

Downside Risk

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Nonparametric Copula Density Estimation Using a Petrov–Galerkin Projection

Innovations in Quantitative Risk Management - Springer Proceedings in Mathematics & Statistics ◽

10.1007/978-3-319-09114-3_25 ◽

2015 ◽

pp. 423-438

Author(s):

Dana Uhlig ◽

Roman Unger

Keyword(s):

Density Estimation ◽

Galerkin Projection ◽

Copula Density

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Improving Optimal Terminal Value Replicating Portfolios

Innovations in Quantitative Risk Management - Springer Proceedings in Mathematics & Statistics ◽

10.1007/978-3-319-09114-3_16 ◽

2015 ◽

pp. 289-301 ◽

Cited By ~ 2

Author(s):

Jan Natolski ◽

Ralf Werner

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Duality in Risk Aggregation

Innovations in Quantitative Risk Management - Springer Proceedings in Mathematics & Statistics ◽

10.1007/978-3-319-09114-3_22 ◽

2015 ◽

pp. 375-392

Author(s):

Raphael Hauser ◽

Sergey Shahverdyan ◽

Paul Embrechts

Keyword(s):

Risk Aggregation

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Regulatory Developments in Risk Management: Restoring Confidence in Internal Models

Innovations in Quantitative Risk Management - Springer Proceedings in Mathematics & Statistics ◽

10.1007/978-3-319-09114-3_2 ◽

2015 ◽

pp. 19-37

Author(s):

Uwe Gaumert ◽

Michael Kemmer

Keyword(s):

Risk Management ◽

Internal Models

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Risk and Computation

Innovations in Quantitative Risk Management - Springer Proceedings in Mathematics & Statistics ◽

10.1007/978-3-319-09114-3_17 ◽

2015 ◽

pp. 305-316

Author(s):

Rüdiger U. Seydel

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Modeling the Price of Natural Gas with Temperature and Oil Price as Exogenous Factors

Innovations in Quantitative Risk Management - Springer Proceedings in Mathematics & Statistics ◽

10.1007/978-3-319-09114-3_7 ◽

2015 ◽

pp. 109-128 ◽

Cited By ~ 2

Author(s):

Jan Müller ◽

Guido Hirsch ◽

Alfred Müller

Keyword(s):

Natural Gas ◽

Oil Price ◽

Exogenous Factors

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Participating Life Insurance Contracts under Risk Based Solvency Frameworks: How to Increase Capital Efficiency by Product Design

Innovations in Quantitative Risk Management - Springer Proceedings in Mathematics & Statistics ◽

10.1007/978-3-319-09114-3_11 ◽

2015 ◽

pp. 185-208 ◽

Cited By ~ 5

Author(s):

Andreas Reuß ◽

Jochen Ruß ◽

Jochen Wieland

Keyword(s):

Product Design ◽

Life Insurance ◽

Insurance Contracts ◽

Capital Efficiency

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A Note on the Numerical Evaluation of the Hartman–Watson Density and Distribution Function

Innovations in Quantitative Risk Management - Springer Proceedings in Mathematics & Statistics ◽

10.1007/978-3-319-09114-3_19 ◽

2015 ◽

pp. 337-345 ◽

Cited By ~ 1

Author(s):

German Bernhart ◽

Jan-Frederik Mai

Keyword(s):

Distribution Function ◽

Numerical Evaluation

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Innovations in Quantitative Risk Management - Springer Proceedings in Mathematics & StatisticsLatest Publications

TOTAL DOCUMENTS

H-INDEX

Published By Springer International Publishing

Copula Representations for Invariant Dependence Functions

Upside and Downside Risk Exposures of Currency Carry Trades via Tail Dependence

Nonparametric Copula Density Estimation Using a Petrov–Galerkin Projection

Improving Optimal Terminal Value Replicating Portfolios

Duality in Risk Aggregation

Regulatory Developments in Risk Management: Restoring Confidence in Internal Models

Risk and Computation

Modeling the Price of Natural Gas with Temperature and Oil Price as Exogenous Factors

Participating Life Insurance Contracts under Risk Based Solvency Frameworks: How to Increase Capital Efficiency by Product Design

A Note on the Numerical Evaluation of the Hartman–Watson Density and Distribution Function

Innovations in Quantitative Risk Management - Springer Proceedings in Mathematics & Statistics
Latest Publications