Overview
Discusses new methodologies to capture and measure risk
Includes compliance and regulatory aspects of risk measurement
Offers practical case studies related to risk measurement
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Table of contents (7 chapters)
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Front Matter
Keywords
About this book
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.
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Authors and Affiliations
About the authors
Dominique Guégan is Professor Emeritus (Applied Mathematics and Applications of Mathematics) at the Université Paris 1 Panthéon Sorbonne.
Bertrand K. Hassani is Chief Solutions Officer at Instadeep, Honorary Reader at University College London (Computer Science) and Associate Researcher at Université Paris 1 Panthéon Sorbonne.
Bibliographic Information
Book Title: Risk Measurement
Book Subtitle: From Quantitative Measures to Management Decisions
Authors: Dominique Guégan, Bertrand K. Hassani
DOI: https://doi.org/10.1007/978-3-030-02680-6
Publisher: Springer Cham
eBook Packages: Economics and Finance, Economics and Finance (R0)
Copyright Information: Springer Nature Switzerland AG 2019
Hardcover ISBN: 978-3-030-02679-0Published: 02 April 2019
eBook ISBN: 978-3-030-02680-6Published: 22 March 2019
Edition Number: 1
Number of Pages: XIV, 215
Number of Illustrations: 14 b/w illustrations, 16 illustrations in colour
Topics: Risk Management, Business Finance, Financial Engineering, Quantitative Finance, Statistics for Business, Management, Economics, Finance, Insurance