Vai al contenuto principale della pagina
Autore: |
Guégan Dominique
![]() |
Titolo: |
Risk Measurement : From Quantitative Measures to Management Decisions / / by Dominique Guégan, Bertrand K. Hassani
![]() |
Pubblicazione: | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2019 |
Edizione: | 1st ed. 2019. |
Descrizione fisica: | 1 online resource (XIV, 215 p. 30 illus., 16 illus. in color.) |
Disciplina: | 658.155 |
Soggetto topico: | Risk management |
Business enterprises—Finance | |
Financial engineering | |
Economics, Mathematical | |
Statistics | |
Risk Management | |
Business Finance | |
Financial Engineering | |
Quantitative Finance | |
Statistics for Business, Management, Economics, Finance, Insurance | |
Persona (resp. second.): | HassaniBertrand K |
Nota di contenuto: | 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. |
Sommario/riassunto: | 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. . |
Titolo autorizzato: | Risk Measurement ![]() |
ISBN: | 3-030-02680-9 |
Formato: | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione: | Inglese |
Record Nr.: | 9910337681503321 |
Lo trovi qui: | Univ. Federico II |
Opac: | Controlla la disponibilità qui |