Rachev / Stoyanov / Fabozzi A Probability Metrics Approach to Financial Risk Measures

1. Auflage 2011
ISBN: 978-1-4443-9270-8
Verlag: John Wiley & Sons
Format: EPUB
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 392 Seiten, E-Book

A Probability Metrics Approach to Financial Risk Measuresrelates the field of probability metrics and risk measures to oneanother and applies them to finance for the first time.
* Helps to answer the question: which risk measure is best for agiven problem?
* Finds new relations between existing classes of riskmeasures
* Describes applications in finance and extends them wherepossible
* Presents the theory of probability metrics in a more accessibleform which would be appropriate for non-specialists in thefield
* Applications include optimal portfolio choice, risk theory, andnumerical methods in finance
* Topics requiring more mathematical rigor and detail areincluded in technical appendices to chapters

Autoren/Hrsg.

Rachev, Svetlozar T.

Stoyanov, Stoyan V.

Fabozzi, Frank J.

Über Autor(innen)

Svetlozar (Zari) T. Rachev is Chair-Professor in Statistics,Econometrics and Mathematical Finance at the University ofKarlsruhe in the School of Economics and Business Engineering. Heis also Professor Emeritus at the University of California, SantaBarbara in the Department of Statistics and Applied Probability. Hehas published seven monographs, eight handbooks and special-editedvolumes, and over 300 research articles. His recently coauthoredbooks published by Wiley in mathematical finance and financialeconometrics include Fat-Tailed and Skewed Asset ReturnDistributions: Implications for Risk Management, Portfolioselection, and Option Pricing (2005), Operational Risk: AGuide to Basel II Capital Requirements, Models, and Analysis(2007), Financial Econometrics: From Basics to Advanced ModelingTechniques (2007), and Bayesian Methods in Finance(2008). He is cofounder of Bravo Group, now FinAnalytica,specializing in financial risk-management software, for whichhe serves as Chief Scientist.
Stoyan V. Stoyanov, Ph.D. is the Head of QuantitativeResearch at FinAnalytica specializing in financial risk managementsoftware. He is author and co-author of numerous papers some ofwhich have recently appeared in Economics Letters,Journal of Banking and Finance, Applied MathematicalFinance, Applied Financial Economics, andInternational Journal of Theoretical and Applied Finance. Heis a coauthor of the mathematical finance book AdvancedStochastic Models, Risk Assessment and Portfolio Optimization: theIdeal Risk, Uncertainty and Performance Measures (2008)published by Wiley. Dr. Stoyanov has years of experience inapplying optimal portfolio theory and market risk estimationmethods when solving practical problems of clients ofFinAnalytica.
Frank J. Fabozzi is Professor in the Practice of Financein the School of Management at Yale University. Prior to joiningthe Yale faculty, he was a Visiting Professor of Finance in theSloan School at MIT. Professor Fabozzi is a Fellow of theInternational Center for Finance at Yale University and on theAdvisory Council for the Department of Operations Research andFinancial Engineering at Princeton University. He is the editor ofthe Journal of Portfolio Management. His recently coauthoredbooks published by Wiley in mathematical finance and financialeconometrics include The Mathematics of Financial Modeling andInvestment Management (2004), Financial Modeling ofthe Equity Market: From CAPM to Cointegration (2006), RobustPortfolio Optimization and Management (2007), FinancialEconometrics: From Basics to Advanced Modeling Techniques(2007), and Bayesian Methods in Finance (2008).