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VaR Methodology for Non-Gaussian Finance.
With the impact of the recent financial crises, more attention must be given to new models in finance rejecting "Black-Scholes-Samuelson" assumptions leading to what is called non-Gaussian finance. With the growing importance of Solvency II, Basel II and III regulatory rules for insurance...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Wiley-ISTE,
2013.
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| Colección: | Focus series in finance, business and management.
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| Temas: | |
| Acceso en línea: | Texto completo |
| Sumario: | With the impact of the recent financial crises, more attention must be given to new models in finance rejecting "Black-Scholes-Samuelson" assumptions leading to what is called non-Gaussian finance. With the growing importance of Solvency II, Basel II and III regulatory rules for insurance companies and banks, value at risk (VaR) - one of the most popular risk indicator techniques plays a fundamental role in defining appropriate levels of equities. The aim of this book is to show how new VaR techniques can be built more appropriately for a crisis situation. VaR methodology for non-Ga. |
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| Descripción Física: | 1 online resource |
| Bibliografía: | Includes bibliographical references and index. |
| ISBN: | 1299606695 9781299606692 9781118733905 1118733908 9781118733691 111873369X 1848214642 9781848214644 |