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Risk Measurement = From Quantitative Measures to Management Decisions /

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Risk Measurement/ by Dominique Guégan, Bertrand K. Hassani.
Reminder of title:	From Quantitative Measures to Management Decisions /
Author:	Guégan, Dominique.
other author:	Hassani, Bertrand K.
Description:	XIV, 215 p. 30 illus., 16 illus. in color.online resource. :
Contained By:	Springer Nature eBook
Subject:	Risk management. -
Online resource:	https://doi.org/10.1007/978-3-030-02680-6
ISBN:	9783030026806

Risk Measurement = From Quantitative Measures to Management Decisions /
Guégan, Dominique.

Risk MeasurementFrom Quantitative Measures to Management Decisions /[electronic resource] :by Dominique Guégan, Bertrand K. Hassani. - 1st ed. 2019. - XIV, 215 p. 30 illus., 16 illus. in color.online resource.

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.

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. .

ISBN: 9783030026806

Standard No.: 10.1007/978-3-030-02680-6doiSubjects--Topical Terms:

559158
Risk management.

LC Class. No.: HD61

Dewey Class. No.: 658.155

Risk Measurement = From Quantitative Measures to Management Decisions /
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