A probability metrics approach to financial risk measures:
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Chichester, West Sussex
Wiley-Blackwell
2011
|
| Schlagworte: | |
| Online-Zugang: | UBG01 Volltext |
| Beschreibung: | "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 measures. Describes applications in finance and extends them where possible. Presents the theory of probability metrics in a more accessible form which would be appropriate for non-specialists in the field. Applications include optimal portfolio choice, risk theory, and numerical methods in finance. Topics requiring more mathematical rigor and detail are included in technical appendices to chapters."--Provided by publisher "Is the behavior of the stocks in our portfolio close to their behavior during the most recent crisis? How close is the strategy of hedge fund A to the strategy of hedge fund B? In which proportions do we invest in a given universe of stocks so that the resulting portfolio matches as much as possible the strategy of fund C? All of these questions are essential to finance and they have one feature in common: measuring distances between random quantities. Problems of this kind have been explored for many years in areas other than finance. In A Probability Metrics Approach to Financial Risk Measures, the field of probability metrics and risk measures are related to one another and applied to finance for the first time, revealing groundbreaking new classes of risk measures, finding new relations between existing classes of risk measures, and providing answers to the question of which risk measure is best for a given problem. Applications include optimal portfolio choice, risk theory, and numerical methods in finance"--Provided by publisher |
| Beschreibung: | 1 Online-Ressource |
| ISBN: | 9781444392715 9781444392692 9781444392708 9781405183697 |
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| 500 | |a "Is the behavior of the stocks in our portfolio close to their behavior during the most recent crisis? How close is the strategy of hedge fund A to the strategy of hedge fund B? In which proportions do we invest in a given universe of stocks so that the resulting portfolio matches as much as possible the strategy of fund C? All of these questions are essential to finance and they have one feature in common: measuring distances between random quantities. Problems of this kind have been explored for many years in areas other than finance. In A Probability Metrics Approach to Financial Risk Measures, the field of probability metrics and risk measures are related to one another and applied to finance for the first time, revealing groundbreaking new classes of risk measures, finding new relations between existing classes of risk measures, and providing answers to the question of which risk measure is best for a given problem. Applications include optimal portfolio choice, risk theory, and numerical methods in finance"--Provided by publisher | ||
| 505 | 0 | |a Front Matter -- Introduction -- Probability Distances and Metrics -- Choice under Uncertainty -- A Classification of Probability Distances -- Risk and Uncertainty -- Average Value-at-Risk -- Computing AVaR through Monte Carlo -- Stochastic Dominance Revisited -- Index | |
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Datensatz im Suchindex
| _version_ | 1804150580356055040 |
|---|---|
| any_adam_object | |
| author | Račev, Svetlozar T. 1951- Stoyanov, Stoyan Veselinov Fabozzi, Frank J. 1948- |
| author_GND | (DE-588)12022979X (DE-588)129772054 |
| author_facet | Račev, Svetlozar T. 1951- Stoyanov, Stoyan Veselinov Fabozzi, Frank J. 1948- |
| author_role | aut aut aut |
| author_sort | Račev, Svetlozar T. 1951- |
| author_variant | s t r st str s v s sv svs f j f fj fjf |
| building | Verbundindex |
| bvnumber | BV041167586 |
| classification_rvk | QK 810 |
| collection | ZDB-35-WCE ZDB-35-WIC |
| contents | Front Matter -- Introduction -- Probability Distances and Metrics -- Choice under Uncertainty -- A Classification of Probability Distances -- Risk and Uncertainty -- Average Value-at-Risk -- Computing AVaR through Monte Carlo -- Stochastic Dominance Revisited -- Index |
| ctrlnum | (OCoLC)729731400 (DE-599)BVBBV041167586 |
| dewey-full | 332.01/5192 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.01/5192 |
| dewey-search | 332.01/5192 |
| dewey-sort | 3332.01 45192 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | DE-604.BV041167586 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T00:41:11Z |
| institution | BVB |
| isbn | 9781444392715 9781444392692 9781444392708 9781405183697 |
| language | English |
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| spelling | Račev, Svetlozar T. 1951- Verfasser (DE-588)12022979X aut A probability metrics approach to financial risk measures Svetlozar T. Rachev ; Stoyan V. Stoyanov ; Frank J. Fabozzi Chichester, West Sussex Wiley-Blackwell 2011 1 Online-Ressource txt rdacontent c rdamedia cr rdacarrier "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 measures. Describes applications in finance and extends them where possible. Presents the theory of probability metrics in a more accessible form which would be appropriate for non-specialists in the field. Applications include optimal portfolio choice, risk theory, and numerical methods in finance. Topics requiring more mathematical rigor and detail are included in technical appendices to chapters."--Provided by publisher "Is the behavior of the stocks in our portfolio close to their behavior during the most recent crisis? How close is the strategy of hedge fund A to the strategy of hedge fund B? In which proportions do we invest in a given universe of stocks so that the resulting portfolio matches as much as possible the strategy of fund C? All of these questions are essential to finance and they have one feature in common: measuring distances between random quantities. Problems of this kind have been explored for many years in areas other than finance. In A Probability Metrics Approach to Financial Risk Measures, the field of probability metrics and risk measures are related to one another and applied to finance for the first time, revealing groundbreaking new classes of risk measures, finding new relations between existing classes of risk measures, and providing answers to the question of which risk measure is best for a given problem. Applications include optimal portfolio choice, risk theory, and numerical methods in finance"--Provided by publisher Front Matter -- Introduction -- Probability Distances and Metrics -- Choice under Uncertainty -- A Classification of Probability Distances -- Risk and Uncertainty -- Average Value-at-Risk -- Computing AVaR through Monte Carlo -- Stochastic Dominance Revisited -- Index Financial risk management Probabilities Messung (DE-588)4038852-9 gnd rswk-swf Risiko (DE-588)4050129-2 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 s Risiko (DE-588)4050129-2 s Messung (DE-588)4038852-9 s Finanzmathematik (DE-588)4017195-4 s b DE-604 Stoyanov, Stoyan Veselinov Verfasser aut Fabozzi, Frank J. 1948- Verfasser (DE-588)129772054 aut https://onlinelibrary.wiley.com/doi/book/10.1002/9781444392715 Verlag Volltext |
| spellingShingle | Račev, Svetlozar T. 1951- Stoyanov, Stoyan Veselinov Fabozzi, Frank J. 1948- A probability metrics approach to financial risk measures Front Matter -- Introduction -- Probability Distances and Metrics -- Choice under Uncertainty -- A Classification of Probability Distances -- Risk and Uncertainty -- Average Value-at-Risk -- Computing AVaR through Monte Carlo -- Stochastic Dominance Revisited -- Index Financial risk management Probabilities Messung (DE-588)4038852-9 gnd Risiko (DE-588)4050129-2 gnd Finanzmathematik (DE-588)4017195-4 gnd Portfolio Selection (DE-588)4046834-3 gnd |
| subject_GND | (DE-588)4038852-9 (DE-588)4050129-2 (DE-588)4017195-4 (DE-588)4046834-3 |
| title | A probability metrics approach to financial risk measures |
| title_auth | A probability metrics approach to financial risk measures |
| title_exact_search | A probability metrics approach to financial risk measures |
| title_full | A probability metrics approach to financial risk measures Svetlozar T. Rachev ; Stoyan V. Stoyanov ; Frank J. Fabozzi |
| title_fullStr | A probability metrics approach to financial risk measures Svetlozar T. Rachev ; Stoyan V. Stoyanov ; Frank J. Fabozzi |
| title_full_unstemmed | A probability metrics approach to financial risk measures Svetlozar T. Rachev ; Stoyan V. Stoyanov ; Frank J. Fabozzi |
| title_short | A probability metrics approach to financial risk measures |
| title_sort | a probability metrics approach to financial risk measures |
| topic | Financial risk management Probabilities Messung (DE-588)4038852-9 gnd Risiko (DE-588)4050129-2 gnd Finanzmathematik (DE-588)4017195-4 gnd Portfolio Selection (DE-588)4046834-3 gnd |
| topic_facet | Financial risk management Probabilities Messung Risiko Finanzmathematik Portfolio Selection |
| url | https://onlinelibrary.wiley.com/doi/book/10.1002/9781444392715 |
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