Risk Measurement : From Quantitative Measures to Management Decisions / by Dominique Guégan, Bertrand K. Hassani

Von:

Guégan, Dominique [VerfasserIn]

Mitwirkende(r):

Hassani, Bertrand [VerfasserIn]

Resource type: Ressourcentyp: Buch (Online)Buch (Online)Sprache: Englisch Reihen: Springer eBooks Economics and Finance | Springer eBook CollectionVerlag: Cham : Springer, 2019Beschreibung: 1 Online-Ressource (XIV, 215 p. 30 illus., 16 illus. in color)ISBN:

9783030026806

Schlagwörter: Andere physische Formen: 9783030026790 | Erscheint auch als: 978-3-030-02679-0 Druck-Ausgabe | Erscheint auch als: Risk measurement. Druck-Ausgabe Cham, Switzerland : Springer, 2019. xiv, 215 SeitenDDC-Klassifikation:

658.155 23

MSC: MSC: *91-02 | 91G70 | 91G40 | 91G10 | 62P05LOC-Klassifikation:

HD61

DOI: DOI: 10.1007/978-3-030-02680-6Online-Ressourcen:

Zusammenfassung: 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 modellingZusammenfassung: 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 perspectivePPN: PPN: 1666743380Package identifier: Produktsigel: ZDB-2-ECF | ZDB-2-SEB | ZDB-2-SXEF

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