Dominique Guégan,
Bertrand K. Hassani
Springer International Publishing
e druk, 2019
9783030026790
Risk Measurement
From Quantitative Measures to Management Decisions
Specificaties
Gebonden, blz.
|
Engels
Springer International Publishing |
e druk, 2019
ISBN13: 9783030026790
Rubricering
Juridisch
:
Levertijd ongeveer 9 werkdagen
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Samenvatting
This book combines theory and practice to analyze risk measurement from different points of view. The limitations of a model depend on the framework on which it has been built as well as specific assumptions, and risk managers need to be aware of these when assessing risks. The authors investigate the impact of these limitations, propose an alternative way of thinking that challenges traditional assumptions, and also provide novel solutions. Starting with the traditional Value at Risk (VaR) model and its limitations, the book discusses concepts like the expected shortfall, the spectral measure, the use of the spectrum, and the distortion risk measures from both a univariate and a multivariate perspective.
Specificaties
ISBN13:9783030026790
Taal:Engels
Bindwijze:gebonden
Uitgever:Springer International Publishing
Inhoudsopgave
1 Introduction.- 2. Financial Institutions : A Regulation review through the Risk Measurement prism.- 3. The Traditional Risk measures.- 4. Univariate and Multivariate Distributions.- 5. Extensions for Risk Measures: Univariate and Multivariate Approaches.- 6. Risks Measures and Dynamics.- 7. Markov Switching modelling.
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