國立虎尾科技大學 |

Future perspectives in risk models and finance

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Future perspectives in risk models and finance/ edited by Alain Bensoussan, Dominique Guegan, Charles S. Tapiero.
其他作者:	Bensoussan, Alain.
出版者:	Cham :Springer International Publishing : : 2015.,
面頁冊數:	xiv, 315 p. :ill., digital ; : 24 cm.;
Contained By:	Springer eBooks
標題:	Financial risk management. -
電子資源:	http://dx.doi.org/10.1007/978-3-319-07524-2
ISBN:	9783319075242 (electronic bk.)

Future perspectives in risk models and finance
Future perspectives in risk models and finance[electronic resource] /edited by Alain Bensoussan, Dominique Guegan, Charles S. Tapiero. - Cham :Springer International Publishing :2015. - xiv, 315 p. :ill., digital ;24 cm. - International series in operations research & management science,v.2110884-8289 ;. - International series in operations research & management science ;106..

Estimation Theory for Generalized Linear Models -- New Distorsion Risk Measure Based on Bimodal Distributions -- Stress Testing Engineering: Risk Vs Incident -- The Skin In The Game Heuristic for Protection Against Tail Events -- The Fragility Theorem -- Financial Modeling, Memory and Mathematical Systems -- Asset price modeling: from Fractional to Multifractional Processes -- Financial Analytics and A Binomial Pricing Model.

This book provides a perspective on a number of approaches to financial modelling and risk management. It examines both theoretical and practical issues. Theoretically, financial risks models are models of a real and a financial uncertainty, based on both common and private information and economic theories defining the rules that financial markets comply to. Financial models are thus challenged by their definitions and by a changing financial system fueled by globalization, technology growth, complexity, regulation and the many factors that contribute to rendering financial processes to be continuously questioned and re-assessed. The underlying mathematical foundations of financial risks models provide future guidelines for risk modeling. The book's chapters provide selective insights and developments that can contribute to better understand the complexity of financial modelling and its ability to bridge financial theories and their practice. Future Perspectives in Risk Models and Finance begins with an extensive outline by Alain Bensoussan et al. of GLM estimation techniques combined with proofs of fundamental results. Applications to static and dynamic models provide a unified approach to the estimation of nonlinear risk models. A second section is concerned with the definition of risks and their management. In particular, Guegan and Hassani review a number of risk models definition emphasizing the importance of bi-modal distributions for financial regulation. An additional chapter provides a review of stress testing and their implications. Nassim Taleb, and Sandis provide an anti-fragility approach based on skin in the game. To conclude, Raphael Douady discusses the noncyclical CAR (Capital Adequacy Rule) and their effects of aversion of systemic risks. A third section emphasizes analytic financial modelling approaches and techniques. Tapiero and Vallois provide an overview of mathematical systems and their use in financial modeling. These systems span the fundamental Arrow-Debreu framework underlying financial models of complete markets and subsequently, mathematical systems departing from this framework but yet generalizing their approach to dynamic financial models. Explicitly, models based on fractional calculus, on persistence (short memory) and on entropy-based non-extensiveness. Applications of these models are used to define a modeling approach to incomplete financial models and their potential use as a measure of incompleteness. Subsequently Bianchi and Pianese provide an extensive overview of multi-fractional models and their important applications to Asset price modeling. Finally, Tapiero and Jinquyi consider the binomial pricing model by discussing the effects of memory on the pricing of asset prices.

ISBN: 9783319075242 (electronic bk.)

Standard No.: 10.1007/978-3-319-07524-2doiSubjects--Topical Terms:

564847
Financial risk management.

LC Class. No.: HG173

Dewey Class. No.: 332

Future perspectives in risk models and finance
LDR:04287nam a2200337 a 4500 001 834933
003 DE-He213
005 20150630144457.0
006 m d
007 cr nn 008maaau
008 160421s2015 gw s 0 eng d
020 $a 9783319075242 (electronic bk.)
020 $a 9783319075235 (paper)
024 7 $a 10.1007/978-3-319-07524-2 $2 doi
035 $a 978-3-319-07524-2
040 $a GP $c GP
041 0 $a eng
050 4 $a HG173
072 7 $a KJT $2 bicssc
072 7 $a KJMD $2 bicssc
072 7 $a BUS049000 $2 bisacsh
082 0 4 $a 332 $2 22
090 $a HG173 $b .F996 2015
245 0 0 $a Future perspectives in risk models and finance $h [electronic resource] / $c edited by Alain Bensoussan, Dominique Guegan, Charles S. Tapiero.
260 $a Cham : $c 2015. $b Springer International Publishing : $b Imprint: Springer,
300 $a xiv, 315 p. : $b ill., digital ; $c 24 cm.
490 1 $a International series in operations research & management science, $x 0884-8289 ; $v v.211
505 0 $a Estimation Theory for Generalized Linear Models -- New Distorsion Risk Measure Based on Bimodal Distributions -- Stress Testing Engineering: Risk Vs Incident -- The Skin In The Game Heuristic for Protection Against Tail Events -- The Fragility Theorem -- Financial Modeling, Memory and Mathematical Systems -- Asset price modeling: from Fractional to Multifractional Processes -- Financial Analytics and A Binomial Pricing Model.
520 $a This book provides a perspective on a number of approaches to financial modelling and risk management. It examines both theoretical and practical issues. Theoretically, financial risks models are models of a real and a financial uncertainty, based on both common and private information and economic theories defining the rules that financial markets comply to. Financial models are thus challenged by their definitions and by a changing financial system fueled by globalization, technology growth, complexity, regulation and the many factors that contribute to rendering financial processes to be continuously questioned and re-assessed. The underlying mathematical foundations of financial risks models provide future guidelines for risk modeling. The book's chapters provide selective insights and developments that can contribute to better understand the complexity of financial modelling and its ability to bridge financial theories and their practice. Future Perspectives in Risk Models and Finance begins with an extensive outline by Alain Bensoussan et al. of GLM estimation techniques combined with proofs of fundamental results. Applications to static and dynamic models provide a unified approach to the estimation of nonlinear risk models. A second section is concerned with the definition of risks and their management. In particular, Guegan and Hassani review a number of risk models definition emphasizing the importance of bi-modal distributions for financial regulation. An additional chapter provides a review of stress testing and their implications. Nassim Taleb, and Sandis provide an anti-fragility approach based on skin in the game. To conclude, Raphael Douady discusses the noncyclical CAR (Capital Adequacy Rule) and their effects of aversion of systemic risks. A third section emphasizes analytic financial modelling approaches and techniques. Tapiero and Vallois provide an overview of mathematical systems and their use in financial modeling. These systems span the fundamental Arrow-Debreu framework underlying financial models of complete markets and subsequently, mathematical systems departing from this framework but yet generalizing their approach to dynamic financial models. Explicitly, models based on fractional calculus, on persistence (short memory) and on entropy-based non-extensiveness. Applications of these models are used to define a modeling approach to incomplete financial models and their potential use as a measure of incompleteness. Subsequently Bianchi and Pianese provide an extensive overview of multi-fractional models and their important applications to Asset price modeling. Finally, Tapiero and Jinquyi consider the binomial pricing model by discussing the effects of memory on the pricing of asset prices.
650 0 $a Financial risk management. $3 564847
650 0 $a Finance. $3 559073
650 1 4 $a Economics/Management Science. $3 669170
650 2 4 $a Operation Research/Decision Theory. $3 881408
650 2 4 $a Quantitative Finance. $3 669372
650 2 4 $a Financial Economics. $3 669216
700 1 $a Bensoussan, Alain. $3 865135
700 1 $a Guegan, Dominique. $3 1063820
700 1 $a Tapiero, Charles S. $3 797657
710 2 $a SpringerLink (Online service) $3 593884
773 0 $t Springer eBooks
830 0 $a International series in operations research & management science ; $v 106. $3 744236
856 4 0 $u http://dx.doi.org/10.1007/978-3-319-07524-2
950 $a Business and Economics (Springer-11643)