Dominique Guégan, Bertrand K. Hassani

Risk Measurement

From Quantitative Measures to Management Decisions

• Gebundenes Buch

Produktbeschreibung

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.

Produktdetails

• Verlag: Springer / Springer International Publishing / Springer, Berlin
• Artikelnr. des Verlages: 978-3-030-02679-0
• 1st ed. 2019
• Seitenzahl: 232
• Erscheinungstermin: 2. April 2019
• Englisch
• Abmessung: 241mm x 160mm x 19mm
• Gewicht: 494g
• ISBN-13: 9783030026790
• ISBN-10: 3030026795
• Artikelnr.: 53869481

Autorenporträt

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.

Inhaltsangabe

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.

Rezensionen

"The book is a useful reading for both academics and practitioners in the field of financial and actuarial management." (Pavel Stoynov, zbMATH 1426.91004, 2020)