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[null,"1.","Record Nr.",null,"UNINA9910827088103321"]
[null,null,"Autore",null,"Habart-Corlosquet Marine"]
[null,null,"Titolo",null,"VaR methodology for non-gaussian finance / / Marine Habart-Corlosquet, Jacques Janssen, Raimondo Manca"]
[null,null,"Pubbl/distr/stampa",null,"Hoboken, N.J., : ISTE Ltd./John Wiley and Sons Inc., 2013"]
[null,null,"ISBN",null,"9781118733981"]
[{"$nulls":4},"1118733983"]
[{"$nulls":4},"9781118733691"]
[{"$nulls":4},"111873369X"]
[{"$nulls":4},"9781118733905"]
[{"$nulls":4},"1118733908"]
[null,null,"Edizione",null,"[1st ed.]"]
[null,null,"Descrizione fisica",null,"1 online resource (177 p.)"]
[null,null,"Collana",null,"Focus series in finance, business and management, , 2051-2481"]
[null,null,"Disciplina",null,"332.0151"]
[null,null,"Soggetti",null,"Financial risk management"]
[null,null,"Lingua di pubblicazione",null,"Inglese"]
[null,null,"Formato",null,"Materiale a stampa"]
[null,null,null,"Livello bibliografico","Monografia"]
[null,null,null,"Note generali","Description based upon print version of record."]
[null,null,null,"Nota di bibliografia","Includes bibliographical references and index."]
[null,null,"Nota di contenuto",null,"Cover; Title Page; Contents; INTRODUCTION; CHAPTER 1. USE OF VALUE-AT-RISK (VAR) TECHNIQUES FOR SOLVENCY II, BASEL II AND III; 1.1. Basic notions of VaR; 1.1.1. Definition; 1.1.2. Calculation methods; 1.1.3. Advantages and limits; 1.2. The use of VaR for insurance companies; 1.2.1. Regulatory approach; 1.2.2. Risk profile approach; 1.3. The use of VaR for banks; 1.3.1. Basel II; 1.3.2. Basel III; 1.4. Conclusion; CHAPTER 2. CLASSICAL VALUE-AT-RISK (VAR) METHODS; 2.1. Introduction; 2.2. Risk measures; 2.3. General form of the VaR; 2.4. VaR extensions: tail VaR and conditional VaR"]
[{"$nulls":4},"2.5. VaR of an asset portfolio 2.5.1. VaR methodology; 2.6. A simulation example: the rates of investment of assets; CHAPTER 3. VAR EXTENSIONS FROM GAUSSIAN FINANCE TO NON-GAUSSIAN FINANCE; 3.1. Motivation; 3.2. The normal power approximation; 3.3. VaR computation with extreme values; 3.3.1. Extreme value theory; 3.3.2. VaR values; 3.3.3. Comparison of methods; 3.3.4. VaR values in extreme theory; 3.4. VaR value for a risk with Pareto distribution; 3.4.1. Forms of the Pareto distribution; 3.4.2. Explicit forms VaR and CVaR in Pareto case; 3.4.3. Example of computation by simulation"]
[{"$nulls":4},"3.5. Conclusion CHAPTER 4. NEW VAR METHODS OF NON-GAUSSIAN FINANCE; 4.1. Lévy processes; 4.1.1. Motivation; 4.1.2. Notion of characteristic functions; 4.1.3. Lévy processes; 4.1.4. Lévy-Khintchine "]
[{"$nulls":4},"formula; 4.1.5. Examples of Lévy processes; 4.1.6. Variance gamma (VG) process; 4.1.7. Risk neutral measures for Lévy models in finance; 4.1.8. Particular Lévy processes: Poisson-Brownian model with jumps; 4.1.9. Particular Lévy processes: Merton model with jumps; 4.1.10. VaR techniques for Lévy processes; 4.2. Copula models and VaR techniques; 4.2.1. Introduction; 4.2.2. Sklar theorem (1959)"]
[{"$nulls":4},"4.2.3. Particular case and Fréchet bounds 4.2.4. Examples of copula; 4.2.5. The normal copula; 4.2.6. Estimation of copula; 4.2.7. Dependence; 4.2.8. VaR with copula; 4.3. VaR for insurance; 4.3.1. VaR and SCR; 4.3.2. Particular cases; CHAPTER 5. NON-GAUSSIAN FINANCE: SEMI-MARKOV MODELS; 5.1. Introduction; 5.2. Homogeneous semi-Markov process; 5.2.1. Basic definitions; 5.2.2. Basic properties [JAN 09]; 5.2.3. Particular cases of MRP; 5.2.4. Asymptotic behavior of SMP; 5.2.5. Non-homogeneous semi-Markov process; 5.2.6. Discrete-time homogeneous and non-homogeneous semi-Markov processes"]
[{"$nulls":4},"5.2.7. Semi-Markov backward processes in discrete time 5.2.8. Semi-Markov backward processes in discrete time; 5.3. Semi-Markov option model; 5.3.1. General model; 5.3.2. Semi-Markov Black-Scholes model; 5.3.3. Numerical application for the semi-Markov Black-Scholes model; 5.4. Semi-Markov VaR models; 5.4.1. The environment semi-Markov VaR (ESMVaR) model; 5.4.2. Numerical applications for the semi-MarkovVaR model; 5.4.3. Semi-Markov extension of the Merton's model; 5.5. The Semi-Markov Monte Carlo Model in a homogeneous environment; 5.5.1. Capital at Risk; 5.5.2. A credit risk example"]
[{"$nulls":4},"CONCLUSION"]
[null,null,null,"Sommario/riassunto","With the impact of the recent financial crises, more attention must be given to new models in finance rejecting \"Black-Scholes-Samuelson\" assumptions leading to what is called non-Gaussian finance. With the growing importance of Solvency II, Basel II and III regulatory rules for insurance companies and banks, value at risk (VaR) - one of the most popular risk indicator techniques plays a fundamental role in defining appropriate levels of equities. The aim of this book is to show how new VaR techniques can be built more appropriately for a crisis situation.VaR methodology for non-Gauss"]