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Applied Quantitative Finance

Overview of attention for book
Cover of 'Applied Quantitative Finance'

Table of Contents

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    Book Overview
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    Chapter 1 Approximating Value at Risk in Conditional Gaussian Models
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    Chapter 2 Applications of Copulas for the Calculation of Value-at-Risk
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    Chapter 3 Quantification of Spread Risk by Means of Historical Simulation
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    Chapter 4 Rating Migrations
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    Chapter 5 Sensitivity analysis of credit portfolio models
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    Chapter 6 The Analysis of Implied Volatilities
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    Chapter 7 How Precise Are Price Distributions Predicted by Implied Binomial Trees?
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    Chapter 8 Estimating State-Price Densities with Nonparametric Regression
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    Chapter 9 Trading on Deviations of Implied and Historical Densities
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    Chapter 10 Multivariate Volatility Models
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    Chapter 11 Statistical Process Control
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    Chapter 12 An Empirical Likelihood Goodness-of-Fit Test for Diffusions
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    Chapter 13 A simple state space model of house prices
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    Chapter 14 Long Memory Effects Trading Strategy
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    Chapter 15 Locally time homogeneous time series modeling
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    Chapter 16 Simulation based Option Pricing
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    Chapter 17 Nonparametric Estimators of GARCH Processes
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    Chapter 18 Net Based Spreadsheets in Quantitative Finance
Attention for Chapter 5: Sensitivity analysis of credit portfolio models
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Citations

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Chapter title
Sensitivity analysis of credit portfolio models
Chapter number 5
Book title
Applied Quantitative Finance
Published by
Springer, Berlin, Heidelberg, January 2002
DOI 10.1007/978-3-662-05021-7_5
Book ISBNs
978-3-54-043460-3, 978-3-66-205021-7
Authors

Rüdiger Kiesel, Torsten Kleinow, Kiesel, Rüdiger, Kleinow, Torsten

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Mendeley readers

Mendeley readers

The data shown below were compiled from readership statistics for 1 Mendeley reader of this research output. Click here to see the associated Mendeley record.

Geographical breakdown

Country Count As %
Unknown 1 100%

Demographic breakdown

Readers by professional status Count As %
Student > Master 1 100%
Readers by discipline Count As %
Nursing and Health Professions 1 100%

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