ISBN:
9789048534586
,
9048534585
Language:
English
Pages:
1 Online-Ressource (xiii, 154 pages)
Series Statement:
Atlantis studies in computational finance and financial engineering
Parallel Title:
Erscheint auch als Belles-Sampera, Jaume Risk quantification and allocation methods for practitioners
Keywords:
Financial risk management
;
Financial services industry Risk management
;
Risk management Mathematical models
;
Financial risk management
;
Risk management ; Mathematical models
;
BUSINESS & ECONOMICS / General
Abstract:
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.
Abstract:
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 developments into computational practice, and key tools for dealing with the issues of risk measurement and capital allocation
Note:
Includes bibliographical references and index
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