A probability metrics approach to financial risk measures [[electronic resource] /] / Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi

• Autore: Rachev S. T (Svetlozar Todorov)
• Pubblicazione: Chichester, West Sussex, U.K. ; ; Malden, MA, : Wiley-Blackwell, 2011
• Descrizione fisica: 1 online resource (283 p.)
• Disciplina: 332.015192
• Soggetto topico: Financial risk management; Probabilities
• Classificazione: BUS033070
• Altri autori: StoyanovStoyan V FabozziFrank J
• Note generali: Description based upon print version of record.
• Nota di bibliografia: Includes bibliographical references and index.
• Nota di contenuto: ""Title Page""; ""Copyright""; ""Dedication""; ""Preface""; ""About the Authors""; ""Chapter 1: Introduction""; ""1.1 Probability Metrics""; ""1.2 Applications in Finance""; ""References""; ""Chapter 2: Probability Distances and Metrics""; ""2.1 Introduction""; ""2.2 Some Examples of Probability Metrics""; ""2.3 Distance and Semidistance Spaces""; ""2.4 Definitions of Probability Distances and Metrics""; ""2.5 Summary""; ""2.6 Technical Appendix""; ""References""; ""Chapter 3: Choice under Uncertainty""; ""3.1 Introduction""; ""3.2 Expected Utility Theory""; ""3.3 Stochastic Dominance"" ; ""3.4 Probability Metrics and Stochastic Dominance""""3.5 Cumulative Prospect Theory""; ""3.6 Summary""; ""3.7 Technical Appendix""; ""References""; ""Chapter 4: A Classification of Probability Distances""; ""4.1 Introduction""; ""4.2 Primary Distances and Primary Metrics""; ""4.3 Simple Distances and Metrics""; ""4.4 Compound Distances and Moment Functions""; ""4.5 Ideal Probability Metrics""; ""4.6 Summary""; ""4.7 Technical Appendix""; ""References""; ""Chapter 5: Risk and Uncertainty""; ""5.1 Introduction""; ""5.2 Measures of Dispersion"" ; ""5.3 Probability Metrics and Dispersion Measures""""5.4 Measures of Risk""; ""5.5 Risk Measures and Dispersion Measures""; ""5.6 Risk Measures and Stochastic Orders""; ""5.7 Summary""; ""5.8 Technical Appendix""; ""References""; ""Chapter 6: Average Value-at-Risk""; ""6.1 Introduction""; ""6.2 Average Value-at-Risk""; ""6.3 AVaR Estimation from a Sample""; ""6.4 Computing Portfolio AVaR in Practice""; ""6.5 Back-Testing of AVaR""; ""6.6 Spectral Risk Measures""; ""6.7 Risk Measures and Probability Metrics""; ""6.8 Risk Measures Based on Distortion Functionals""; ""6.9 Summary"" ; ""6.10 Technical Appendix""""References""; ""Chapter 7: Computing AVaR through Monte Carlo""; ""7.1 Introduction""; ""7.2 An Illustration of Monte Carlo Variability""; ""7.3 Asymptotic Distribution, Classical Conditions""; ""7.4 Rate of Convergence to the Normal Distribution""; ""7.5 Asymptotic Distribution, Heavy-tailed Returns""; ""7.6 Rate of Convergence, Heavy-tailed Returns""; ""7.7 On the Choice of a Distributional Model""; ""7.8 Summary""; ""7.9 Technical Appendix""; ""References""; ""Chapter 8: Stochastic Dominance Revisited""; ""8.1 Introduction"" ; ""8.2 Metrization of Preference Relations""""8.3 The Hausdorff Metric Structure""; ""8.4 Examples""; ""8.5 Utility-type Representations""; ""8.6 Almost Stochastic Orders and Degree of Violation""; ""8.7 Summary""; ""8.8 Technical Appendix""; ""References""; ""Index""
• Sommario/riassunto: "A Probability Metrics Approach to Financial Risk Measures relates the field of probability metrics and risk measures to one another and applies them to finance for the first time. Helps to answer the question: which risk measure is best for a given problem? Finds new relations between existing classes of risk measures. Describes applications in finance and extends them where possible. Presents the theory of probability metrics in a more accessible form which would be appropriate for non-specialists in the field. Applications include optimal portfolio choice, risk theory, and numerical methods in finance. Topics requiring more mathematical rigor and detail are included in technical appendices to chapters."--Provided by publisher.; "Is the behavior of the stocks in our portfolio close to their behavior during the most recent crisis? How close is the strategy of hedge fund A to the strategy of hedge fund B? In which proportions do we invest in a given universe of stocks so that the resulting portfolio matches as much as possible the strategy of fund C? All of these questions are essential to finance and they have one feature in common: measuring distances between random quantities. Problems of this kind have been explored for many years in areas other than finance. In A Probability Metrics Approach to Financial Risk Measures, the field of probability metrics and risk measures are related to one another and applied to finance for the first time, revealing groundbreaking new classes of risk measures, finding new relations between existing classes of risk measures, and providing answers to the question of which risk measure is best for a given problem. Applications include optimal portfolio choice, risk theory, and numerical methods in finance"--Provided by publisher.
• Titolo autorizzato: A probability metrics approach to financial risk measures
• ISBN: 1-4443-9269-7; 1-4443-9271-9; 1-283-40798-1; 9786613407986; 1-4443-9270-0
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910830374503321
• Lo trovi qui: Univ. Federico II