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Sinopsis
With the impact of the recent financial crises, more attention must be given to new models in finance rejecting “Black-Scholes-Samuelson” assumptions leading to what is called non-Gaussian finance. With the growing importance of Solvency II, Basel II and III regulatory rules for insurance companies and banks, value at risk (VaR) – one of the most popular risk indicator techniques plays a fundamental role in defining appropriate levels of equities. The aim of this book is to show how new VaR techniques can be built more appropriately for a crisis situation.
VaR methodology for non-Gaussian finance looks at the importance of VaR in standard international rules for banks and insurance companies; gives the first non-Gaussian extensions of VaR and applies several basic statistical theories to extend classical results of VaR techniques such as the NP approximation, the Cornish-Fisher approximation, extreme and a Pareto distribution. Several non-Gaussian models using Copula methodology, Lévy processes along with particular attention to models with jumps such as the Merton model are presented; as are the consideration of time homogeneous and non-homogeneous Markov and semi-Markov processes and for each of these models.
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Acerca del autor
Marine Habart-Corlosquet is a Qualified and Certified Actuary at BNP Paribas Cardif, Paris, France. She is co-director of EURIA (Euro-Institut d'Actuariat, University of West Brittany, Brest, France), and associate researcher at Telecom Bretagne (Brest, France) as well as a board member of the French Institute of Actuaries. She teaches at EURIA, Telecom Bretagne and Ecole Centrale Paris (France). Her main research interests are pandemics, Solvency II internal models and ALM issues for insurance companies.
Jacques Janssen is now Honorary Professor at the Solvay Business School (ULB) in Brussels, Belgium, having previously taught at EURIA (Euro-Institut d'Actuariat, University of West Brittany, Brest, France) and Telecom Bretagne (Brest, France) as well as being a director of Jacan Insurance and Finance Services, a consultancy and training company.
Raimondo Manca is Professor of mathematical methods applied to economics, finance and actuarial science at University of Roma "La Sapienza" in Italy. He is associate editor for the journal Methodology and Computing in Applied Probability. His main research interests are multidimensional linear algebra, computational probability, application of stochastic processes to economics, finance and insurance and simulation models.
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VaR Methodology for Non-Gaussian Finance (Focus Series in Finance, Business and Management)
Librería: Norbert Kretschmann, Bad Aibling, Alemania
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Gebundene Ausgabe. Condición: Wie neu. 176 Seiten; 2013. Buchdeckel leicht berieben/bestossen. Innenteil tadellos - u n g e l e s e n - keine Risse, Knicke, Anmerkungen. ! Altersbedingt minimal nachgedunkelt! KEIN Mängelexemplar! Versand aus München V62 Sprache: Deutsch Gewicht in Gramm: 443. Nº de ref. del artículo: 55868
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VaR Methodology for Non-Gaussian Finance
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VaR Methodology for Non-Gaussian Finance Format: Hardcover
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VaR Methodology for Non-Gaussian Finance
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VaR Methodology for Non-Gaussian Finance (Hardcover)
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ISTE Ltd and John Wiley & Sons Inc, London, 2013
ISBN 10: 1848214642
ISBN 13: 9781848214644
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Hardcover. Condición: new. Hardcover. With the impact of the recent financial crises, more attention must be given to new models in finance rejecting Black-Scholes-Samuelson assumptions leading to what is called non-Gaussian finance. With the growing importance of Solvency II, Basel II and III regulatory rules for insurance companies and banks, value at risk (VaR) one of the most popular risk indicator techniques plays a fundamental role in defining appropriate levels of equities. The aim of this book is to show how new VaR techniques can be built more appropriately for a crisis situation.VaR methodology for non-Gaussian finance looks at the importance of VaR in standard international rules for banks and insurance companies; gives the first non-Gaussian extensions of VaR and applies several basic statistical theories to extend classical results of VaR techniques such as the NP approximation, the Cornish-Fisher approximation, extreme and a Pareto distribution. Several non-Gaussian models using Copula methodology, Levy processes along with particular attention to models with jumps such as the Merton model are presented; as are the consideration of time homogeneous and non-homogeneous Markov and semi-Markov processes and for each of these models. Contents 1. Use of Value-at-Risk (VaR) Techniques for Solvency II, Basel II and III.2. Classical Value-at-Risk (VaR) Methods.3. VaR Extensions from Gaussian Finance to Non-Gaussian Finance.4. New VaR Methods of Non-Gaussian Finance.5. Non-Gaussian Finance: Semi-Markov Models. With the impact of the recent financial crises, more attention must be given to new models in finance rejecting Black-Scholes-Samuelson assumptions leading to what is called non-Gaussian finance. Shipping may be from multiple locations in the US or from the UK, depending on stock availability. Nº de ref. del artículo: 9781848214644
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VaR Methodology for Non-Gaussian Finance
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VaR Methodology for Non-Gaussian Finance
Publicado por
ISTE Ltd and John Wiley & Sons Inc, 2013
ISBN 10: 1848214642
ISBN 13: 9781848214644
Nuevo
Tapa dura
Librería: Kennys Bookshop and Art Galleries Ltd., Galway, GY, Irlanda
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Condición: New. With the impact of the recent financial crises, more attention must be given to new models in finance rejecting Black-Scholes-Samuelson assumptions leading to what is called non-Gaussian finance. Num Pages: 176 pages, black & white illustrations, black & white tables, figures. BIC Classification: KFF. Category: (P) Professional & Vocational. Dimension: 239 x 161 x 21. Weight in Grams: 442. . 2013. . . . . Nº de ref. del artículo: V9781848214644
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VaR Methodology for Non-Gaussian Finance
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VaR Methodology for Non-Gaussian Finance
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VaR Methodology for Non-Gaussian Finance
Librería: moluna, Greven, Alemania
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Condición: New. With the impact of the recent financial crises, more attention must be given to new models in finance rejecting Black-Scholes-Samuelson assumptions leading to what is called non-Gaussian finance. With the growing importance of Solvency II, Basel II and II. Nº de ref. del artículo: 556580996
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