Risk Quantification and Allocation Methods for Practitioners /

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Risk Quantification and Allocation Methods for Practitioners offers a practical approach to risk management in the financial industry. This in-depth study provides quantitative tools to better describe qualitative issues, as well as clear explanations of how to transform recent theoretical developme...

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Detalles Bibliográficos
Autores principales: Belles-Sampera, Jaume (Autor), Guillén, Montserrat (Autor), Santolino, Miguel (Autor)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Amsterdam : Amsterdam University Press, [2022]
Colección:Atlantis Studies in Computational Finance and Financial Engineering
Temas:
Science and Technology.
Science, Medicine, and Technology.
MATHEMATICS / Probability & Statistics / General.
Capital allocation.
Decision maker.
Risk behavior.
Risk measurement.
Uncertainty.
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Frontmatter
  • Preface
  • Contents
  • PART I RISK ASSESSMENT
  • 1 Preliminary concepts on quantitative risk measurement
  • 2 Data on losses for risk evaluation
  • 3 A family of distortion risk measures
  • 4 GlueVaR and other new risk measures
  • 5 Risk measure choice
  • PART II CAPITAL ALLOCATION PROBLEMS
  • 6 An overview on capital allocation problems
  • 7 Capital allocation based on GlueVaR
  • 8 Capital allocation principles as compositional data
  • Appendix
  • Bibliography
  • Biographies of the authors
  • Index

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