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Risk Measurement = From Quantitative Measures to Management Decisions /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Risk Measurement/ by Dominique Guégan, Bertrand K. Hassani.
其他題名:	From Quantitative Measures to Management Decisions /
作者:	Guégan, Dominique.
其他作者:	Hassani, Bertrand K.
面頁冊數:	XIV, 215 p. 30 illus., 16 illus. in color.online resource. :
Contained By:	Springer Nature eBook
標題:	Risk management. -
電子資源:	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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