A Probability Metrics Approach to Financial Risk Measures
Business & Finance, Industries & Professions, Insurance
| Author: | Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi | ISBN: | 9781444392708 |
| Publisher: | Wiley | Publication: | March 10, 2011 |
| Imprint: | Wiley-Blackwell | Language: | English |
| Author: | Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi |
| ISBN: | 9781444392708 |
| Publisher: | Wiley |
| Publication: | March 10, 2011 |
| Imprint: | Wiley-Blackwell |
| Language: | English |
A Probability Metrics Approach to Financial Risk Measures relates the field of probability metrics and risk measures to one another and applies them to finance for the first time.
- Helps to answer the question: which risk measure is best for a given problem?
- Finds new relations between existing classes of risk measures
- Describes applications in finance and extends them where possible
- Presents the theory of probability metrics in a more accessible form which would be appropriate for non-specialists in the field
- Applications include optimal portfolio choice, risk theory, and numerical methods in finance
- Topics requiring more mathematical rigor and detail are included in technical appendices to chapters
A Probability Metrics Approach to Financial Risk Measures relates the field of probability metrics and risk measures to one another and applies them to finance for the first time.
- Helps to answer the question: which risk measure is best for a given problem?
- Finds new relations between existing classes of risk measures
- Describes applications in finance and extends them where possible
- Presents the theory of probability metrics in a more accessible form which would be appropriate for non-specialists in the field
- Applications include optimal portfolio choice, risk theory, and numerical methods in finance
- Topics requiring more mathematical rigor and detail are included in technical appendices to chapters
