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Keywords
- risk management
About this book
The notes grew out of a course I taught at a Cattedra Galileiana at the Scuola Normale Superiore di Pisa, March 2000. The aim of these lectures was to show that it is possible to translate problems from Risk Management into mathematics and back. Part of the course was devoted to an analysis of Value at Risk and its relation to quantiles. We concentrate on the mathematics behind the concept of coherent risk measures.
Bibliographic Information
Book Title: Coherent risk measures
Authors: Freddy Delbean
Series Title: Publications of the Scuola Normale Superiore
Publisher: Edizioni della Normale Pisa
Copyright Information: Edizioni della Normale 2002
Softcover ISBN: 978-88-7642-305-5Due: 01 October 2002
Series ISSN: 2239-1460
Series E-ISSN: 2532-1668
Edition Number: 1
Number of Pages: 63