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
Clasificación:Libro Electrónico
Autores principales: Belles-Sampera, Jaume (Autor), Guillen, Montserrat (Autor), Santolino, Miguel (Autor)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Amsterdam : Atlantis Press : Amsterdam University Press, [2017]
Colección:Atlantis studies in computational finance and financial engineering.
Temas:
Financial risk management.
Financial services industry > Risk management.
Risk management > Mathematical models.
Finances > Gestion du risque.
Services financiers > Gestion du risque.
Gestion du risque > Modèles mathématiques.
Mathematical and statistical software.
BUSINESS & ECONOMICS > General.
Financial risk management
Risk management > Mathematical models
Electronic books.
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Preliminary concepts on quantitative risk measurement
  • Data on losses for risk evaluation
  • A family of distortion risk measures
  • GlueVaR and other new risk measures
  • Risk measure choice
  • An overview on capital allocation problems
  • Capital allocation based on GlueVaR
  • Capital allocation principles as compositional data.

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