Innovations in Quantitative Risk Management

Part I Markets, Regulation, and Model Risk.- A Random Holding Period Approach for Liquidity-Inclusive Risk Management.- Regulatory Developments in Risk Management: Restoring Confidence in Internal Models.- Model Risk in Incomplete Markets with Jumps.- Part II Financial Engineering.- Bid-Ask Spread for Exotic Options Under Conic Finance.- Derivative Pricing Under the Possibility of Long Memory in the supOU Stochastic Volatility Model.- A Two-Sided BNS Model for Multicurrency FX Markets.- Modeling the Price of Natural Gas with Temperature and Oil Price as Exogenous Factors.- Copula-Specific Credit Portfolio Modeling.- Implied Recovery Rates-Auctions and Models.- Upside and Downside Risk Exposures of Currency Carry Trades via Tail Dependence.- Part III Insurance Risk and Asset Management.- Participating Life Insurance Contracts Under Risk Based Solvency Frameworks: How to Increase Capital Efficiency by Product Design.- Reducing Surrender Incentives Through Fee Structure in Variable Annuities.- A Variational Approach for Mean-Variance-Optimal Deterministic Consumption and Investment.- Risk Control in Asset Management: Motives and Concepts.- Worst-Case Scenario Portfolio Optimization Given the Probability of a Crash.- Improving Optimal Terminal Value Replicating Portfolios.- Part IV Computational Methods for Risk Management.- Risk and Computation.- Extreme Value Importance Sampling for Rare Event Risk Measurement.- A Note on the Numerical Evaluation of the Hartman-Watson Density and Distribution Function.- Computation of Copulas by Fourier Methods.- Part V Dependence Modelling.- Goodness-of-fit Tests for Archimedean Copulas in High Dimensions.- Duality in Risk Aggregation.- Some Consequences of the Markov Kernel Perspective of Copulas.- Copula Representations for Invariant Dependence Functions.- Nonparametric Copula Density Estimation Using a Petrov-Galerkin Projection.... Mehr