Risk Measurement - E-book

eBook

Risk Measurement - ENG

From Quantitative Measures To Management Decisions

Dominique Guégan; Bertrand K. Hassani

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$1,780.00

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Sinopsis

ISBN:	9783030026806
Formato:	ePub
Idioma:	Inglés
Editorial:	Springer Nature
Tema:	Negocios y economía
Subtema:	Finanzas Corporativas general
Año de publicación:	2019-03-22

This book combines theory and practice to analyze risk measurement from different points of view. The limitations of a model depend on the framework on which it has been built as well as specific assumptions, and risk managers need to be aware of these when assessing risks. The authors investigate the impact of these limitations, propose an alternative way of thinking that challenges traditional assumptions, and also provide novel solutions. Starting with the traditional Value at Risk (VaR) model and its limitations, the book discusses concepts like the expected shortfall, the spectral measure, the use of the spectrum, and the distortion risk measures from both a univariate and a multivariate perspective.Â

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