| dc.description.abstract | The third edition of Applied Quantitative Finance moves the focus to risk
management. As a consequence, we changed the basic structure from four to three
chapters with many more contributions to market and credit risk. We revisit
important market risk issues in Chap. 1. Chapter 2 introduces novel concepts in
credit risk along with renewed quantitative methods being proposed accordingly.
A wider range of coverage in recent development of credit risk and its management
is presented in this version. The last chapter is on dynamics of risk management and
includes risk analysis of energy markets and for cryptocurrencies. Digital assets,
such as block chain-based currencies, become popular but are theoretically
challenging when based on conventional methods. A modern text mining method
called Dynamic Topic Modelling is introduced in detail and applied to the message
board of Bitcoins. A time-varying LASSO technique for tail events is at the heart of
a new financial risk meter. This third edition brings together modern risk analysis
based on quantitative methods and textual analytics for the need of the new
challenges in banking and finance. | en_US |
