Risk Measurement
From Quantitative Measures to Management Decisions
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Beschreibung
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.
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.
Discusses new methodologies to capture and measure risk Includes compliance and regulatory aspects of risk measurement Offers practical case studies related to risk measurement
Autor*in
Dominique Guégan
Themen in »Risk Measurement«
Value at Risk Time Series Dependencies Financial Regulations quantitative finance
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“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)
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