A Probability Metrics Approach to Financial Risk Measures
Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi
A Probability Metrics Approach to Financial Risk Measures relates the field of probability metrics and risk measures to one another and applies them to finance for the first time.Helps to answer the question: which risk measure is best for a given problem?Finds new relations between existing classes of risk measuresDescribes applications in finance and extends them where possiblePresents the theory of probability metrics in a more accessible form which would be appropriate for non-specialists in the fieldApplications include optimal portfolio choice, risk theory, and numerical methods in financeTopics requiring more mathematical rigor and detail are included in technical appendices to chapters
Kategori:
Tahun:
2011
Edisi:
1
Penerbit:
Wiley-Blackwell
Bahasa:
english
Halaman:
387
ISBN 10:
1405183691
ISBN 13:
9781405183697
File:
PDF, 2.86 MB
IPFS:
,
english, 2011