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Risk Measurement

From Quantitative Measures to Management Decisions

  • Dominique Guégan
  • Bertrand K. Hassani

Table of contents

  1. Front Matter
    Pages i-xiv
  2. Dominique Guégan, Bertrand K. Hassani
    Pages 1-15
  3. Dominique Guégan, Bertrand K. Hassani
    Pages 17-36
  4. Dominique Guégan, Bertrand K. Hassani
    Pages 37-67
  5. Dominique Guégan, Bertrand K. Hassani
    Pages 69-114
  6. Dominique Guégan, Bertrand K. Hassani
    Pages 115-142
  7. Dominique Guégan, Bertrand K. Hassani
    Pages 143-166
  8. Dominique Guégan, Bertrand K. Hassani
    Pages 167-215

About this book

Introduction

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. 

Keywords

Risk Management Value at Risk Time Series Dependencies Financial Regulations

Authors and affiliations

  • Dominique Guégan
    • 1
  • Bertrand K. Hassani
    • 2
  1. 1.LabEx ReFi and IPAGUniversity Paris1 Panthéon-SorbonneParisFrance
  2. 2.Department of Computer ScienceUniversity College LondonLondonUK

Bibliographic information