,

Risk Measurement

From Quantitative Measures to Management Decisions

Gebonden Engels 2019 9783030026790
Verwachte levertijd ongeveer 9 werkdagen

Samenvatting

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. 

Specificaties

ISBN13:9783030026790
Taal:Engels
Bindwijze:gebonden
Uitgever:Springer International Publishing

Lezersrecensies

Wees de eerste die een lezersrecensie schrijft!

Inhoudsopgave

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.

Managementboek Top 100

Rubrieken

Populaire producten

    Personen

      Trefwoorden

        Risk Measurement