Risk Measurement

From Quantitative Measures to Management Decisions
1. Auflage 2019
ISBN: 978-3-030-02679-0
Verlag: Springer International Publishing

Buch, Englisch, 215 Seiten, HC runder Rücken kaschiert, Format (B × H): 160 mm x 241 mm, Gewicht: 518 g

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.

Zielgruppe

Graduate

Autoren/Hrsg.

Hassani, Bertrand K.

Guégan, Dominique

Fachgebiete

• Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsmathematik und -statistik
• Mathematik | Informatik Mathematik Mathematik Interdisziplinär Finanz- und Versicherungsmathematik
• Wirtschaftswissenschaften Betriebswirtschaft Unternehmensfinanzen
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Finanzsektor & Finanzdienstleistungen: Allgemeines
• Wirtschaftswissenschaften Betriebswirtschaft Management Risikomanagement

Inhaltsverzeichnis

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.

Über Autor(innen)

Dominique Guégan is Professor Emeritus (Applied Mathematics and Applications of Mathematics) at the Université Paris 1 Panthéon Sorbonne.

Bertrand K. Hassani is Chief Solutions Officer at Instadeep, Honorary Reader at University College London (Computer Science) and Associate Researcher at Université Paris 1 Panthéon Sorbonne.