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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Bibliographic Details
Call Number:Libro Electrónico
Main Authors: Belles-Sampera, Jaume (Author), Guillen, Montserrat (Author), Santolino, Miguel (Author)
Format: Electronic eBook
Language:Inglés
Published: Amsterdam : Atlantis Press : Amsterdam University Press, [2017]
Series:Atlantis studies in computational finance and financial engineering.
Subjects:
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.
Online Access:Texto completo
Table of Contents:
  • 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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