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Risk measurement : = from quantitati...

Hassani, Bertrand K.

Risk measurement : = from quantitative measures to management decisions /

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Risk measurement :/ Dominique Guégan, Bertrand K. Hassani.
Reminder of title:	from quantitative measures to management decisions /
Author:	Guégan, Dominique,
other author:	Hassani, Bertrand K.
Published:	Cham, Switzerland :Springer, : c2019.,
Description:	xiv, 215 p. :ill. (some col.) ; : 25 cm.;
Subject:	Risk management - Mathematical models. -
ISBN:	9783030026790 (cloth) :

Risk measurement : = from quantitative measures to management decisions /
Guégan, Dominique,

Risk measurement :from quantitative measures to management decisions /Dominique Guégan, Bertrand K. Hassani. - Cham, Switzerland :Springer,c2019. - xiv, 215 p. :ill. (some col.) ;25 cm.

Includes bibliographical references.

Introduction -- Financial institutions : a regulation review through the risk measurement prism -- The traditional risk measures -- Univariate and multivariate distributions -- Extensions for risk measures : univariate and multivariate approaches -- Linear dynamics -- Risks and non-linear dynamics.

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: 9783030026790 (cloth) :NT2705Subjects--Topical Terms:

559444
Risk management
--Mathematical models.

LC Class. No.: HD61 / .G84 2019

Dewey Class. No.: 658.15/5

Risk measurement : = from quantitative measures to management decisions /
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005 20191205214619.0
008 191211s2019 sz a b 000 0 eng d
020 $a 9783030026790 (cloth) : $c NT2705
020 $z 9783030026806 (ebook)
035 $a (OCoLC)1052877516
035 $a on1052877516
040 $a YDX $b eng $c NFU $d BDX $d OCLCQ $d YDXIT $d ICU $d OCLCF
041 0 $a eng
050 4 $a HD61 $b .G84 2019
082 0 4 $a 658.15/5 $2 23
100 1 $a Guégan, Dominique, $e author. $3 1220926
245 1 0 $a Risk measurement : $b from quantitative measures to management decisions / $c Dominique Guégan, Bertrand K. Hassani.
260 $a Cham, Switzerland : $b Springer, $c c2019.
300 $a xiv, 215 p. : $b ill. (some col.) ; $c 25 cm.
504 $a Includes bibliographical references.
505 0 $a Introduction -- Financial institutions : a regulation review through the risk measurement prism -- The traditional risk measures -- Univariate and multivariate distributions -- Extensions for risk measures : univariate and multivariate approaches -- Linear dynamics -- Risks and non-linear dynamics.
520 $a 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.
650 0 $a Risk management $x Mathematical models. $3 559444
650 0 $a Risk management. $3 559158
700 1 $a Hassani, Bertrand K. $3 1114604