Innovations in Quantitative Risk Management: TU M}}nchen, September 2013 [Paperback]

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.

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 RatesAuctions and Models.- Upside and Downside Risk Exposures of Currency Carry Trades via Tail Dependence.- Part III Insurance Risk and Asset Management.- Pal“?