Risk Quantification and Allocation Methods for Practitioners

Risk Quantification and Allocation Methods for Practitioners

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
Otros Autores: Belles-Sampera, Jaume author (author), Guillén, Montserrat author, Santolino, Miguel author
Formato: Libro electrónico
Idioma:Inglés
Publicado: [s.l.] : Amsterdam University Press 2017.
Colección:Atlantis Studies in Computational Finance and Financial Engineering
Materias:
Financial Risk Management.
Finance.
Business.
Economics
Ver en Biblioteca Universitat Ramon Llull:https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009423710406719
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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