Future perspectives in risk models and finance:
Gespeichert in:
| Weitere Verfasser: | , , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cham [u.a.]
Springer
2014
|
| Schriftenreihe: | International series in operations research & management science
211 |
| Schlagworte: | |
| Online-Zugang: | Inhaltstext Inhaltsverzeichnis Abstract |
| Beschreibung: | XIV, 315 S. graph. Darst. 235 mm x 155 mm |
| ISBN: | 3319075233 9783319075235 |
Internformat
MARC
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| 264 | 1 | |a Cham [u.a.] |b Springer |c 2014 | |
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Datensatz im Suchindex
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| adam_text |
FUTURE PERSPECTIVES IN RISK MODELS AND FINANCE
/
: 2015
TABLE OF CONTENTS / INHALTSVERZEICHNIS
ESTIMATION THEORY FOR GENERALIZED LINEAR MODELS
NEW DISTORSION RISK MEASURE BASED ON BIMODAL DISTRIBUTIONS
STRESS TESTING ENGINEERING: RISK VS INCIDENT
THE SKIN IN THE GAME HEURISTIC FOR PROTECTION AGAINST TAIL EVENTS
THE FRAGILITY THEOREM
FINANCIAL MODELING, MEMORY AND MATHEMATICAL SYSTEMS
ASSET PRICE MODELING: FROM FRACTIONAL TO MULTIFRACTIONAL PROCESSES
FINANCIAL ANALYTICS AND A BINOMIAL PRICING MODEL
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
FUTURE PERSPECTIVES IN RISK MODELS AND FINANCE
/
: 2015
ABSTRACT / INHALTSTEXT
THIS BOOK PROVIDES A PERSPECTIVE ON A NUMBER OF APPROACHES TO FINANCIAL
MODELLING AND RISK MANAGEMENT. IT EXAMINES BOTH THEORETICAL AND
PRACTICAL ISSUES. THEORETICALLY, FINANCIAL RISKS MODELS ARE MODELS OF A
REAL AND A FINANCIAL “UNCERTAINTY”, BASED ON BOTH COMMON AND PRIVATE
INFORMATION AND ECONOMIC THEORIES DEFINING THE RULES THAT FINANCIAL
MARKETS COMPLY TO. FINANCIAL MODELS ARE THUS CHALLENGED BY THEIR
DEFINITIONS AND BY A CHANGING FINANCIAL SYSTEM FUELED BY GLOBALIZATION,
TECHNOLOGY GROWTH, COMPLEXITY, REGULATION AND THE MANY FACTORS THAT
CONTRIBUTE TO RENDERING FINANCIAL PROCESSES TO BE CONTINUOUSLY
QUESTIONED AND RE-ASSESSED. THE UNDERLYING MATHEMATICAL FOUNDATIONS OF
FINANCIAL RISKS MODELS PROVIDE FUTURE GUIDELINES FOR RISK MODELING.THE
BOOK’S CHAPTERS PROVIDE SELECTIVE INSIGHTS AND DEVELOPMENTS THAT CAN
CONTRIBUTE TO BETTER UNDERSTAND THE COMPLEXITY OF FINANCIAL MODELLING
AND ITS ABILITY TO BRIDGE FINANCIAL THEORIES AND THEIR PRACTICE.
FUTURE PERSPECTIVES IN RISK MODELS AND FINANCE BEGINS WITH AN
EXTENSIVE OUTLINE BY ALAIN BENSOUSSAN ET AL. OF GLM ESTIMATION
TECHNIQUES COMBINED WITH PROOFS OF FUNDAMENTAL RESULTS. APPLICATIONS TO
STATIC AND DYNAMIC MODELS PROVIDE A UNIFIED APPROACH TO THE ESTIMATION
OF NONLINEAR RISK MODELS. A SECOND SECTION IS CONCERNED WITH THE
DEFINITION OF RISKS AND THEIR MANAGEMENT. IN PARTICULAR, GUEGAN AND
HASSANI REVIEW A NUMBER OF RISK MODELS DEFINITION EMPHASIZING THE
IMPORTANCE OF BI-MODAL DISTRIBUTIONS FOR FINANCIAL REGULATION. AN
ADDITIONAL CHAPTER PROVIDES A REVIEW OF STRESS TESTING AND THEIR
IMPLICATIONS. NASSIM TALEB, AND SANDIS PROVIDE AN ANTI-FRAGILITY
APPROACH BASED ON “SKIN IN THE GAME”.TO CONCLUDE, RAPHAEL DOUADY
DISCUSSES THE NONCYCLICAL CAR (CAPITAL ADEQUACY RULE) AND THEIR EFFECTS
OF AVERSION OF SYSTEMIC RISKS. A THIRD SECTION EMPHASIZES ANALYTIC
FINANCIAL MODELLING APPROACHES AND TECHNIQUES. TAPIERO AND VALLOIS
PROVIDE AN OVERVIEW OF MATHEMATICAL SYSTEMS AND THEIR USE IN FINANCIAL
MODELING. THESE SYSTEMS SPAN THE FUNDAMENTAL ARROW-DEBREU FRAMEWORK
UNDERLYING FINANCIAL MODELS OF COMPLETE MARKETS AND SUBSEQUENTLY,
MATHEMATICAL SYSTEMS DEPARTING FROM THIS FRAMEWORK BUT YET GENERALIZING
THEIR APPROACH TO DYNAMIC FINANCIAL MODELS. EXPLICITLY, MODELS BASED ON
FRACTIONAL CALCULUS, ON PERSISTENCE (SHORT MEMORY) AND ON ENTROPY-BASED
NON-EXTENSIVENESS. APPLICATIONS OF THESE MODELS ARE USED TO DEFINE A
MODELING APPROACH TO INCOMPLETE FINANCIAL MODELS AND THEIR POTENTIAL USE
AS A “MEASURE OF INCOMPLETENESS”. SUBSEQUENTLY BIANCHI AND PIANESE
PROVIDE AN EXTENSIVE OVERVIEW OF MULTI-FRACTIONAL MODELS AND THEIR
IMPORTANT APPLICATIONS TO ASSET PRICE MODELING.FINALLY, TAPIERO AND
JINQUYI CONSIDER THE BINOMIAL PRICING MODEL BY DISCUSSING THE EFFECTS OF
MEMORY ON THE PRICING OF ASSET PRICES
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT. |
| any_adam_object | 1 |
| author2 | Bensoussan, Alain 1940- Guégan, Dominique Tapiero, Charles S. |
| author2_role | edt edt edt |
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| author_GND | (DE-588)13295947X (DE-588)170934667 (DE-588)170389804 |
| author_facet | Bensoussan, Alain 1940- Guégan, Dominique Tapiero, Charles S. |
| building | Verbundindex |
| bvnumber | BV042000643 |
| classification_rvk | QP 700 |
| ctrlnum | (OCoLC)900606998 (DE-599)DNB1050660153 |
| discipline | Wirtschaftswissenschaften |
| format | Book |
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| isbn | 3319075233 9783319075235 |
| language | English |
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| series2 | International series in operations research & management science |
| spelling | Future perspectives in risk models and finance Alain Bensoussan ; Dominique Guegan ; Charles S. Tapiero (eds.) Cham [u.a.] Springer 2014 XIV, 315 S. graph. Darst. 235 mm x 155 mm txt rdacontent n rdamedia nc rdacarrier International series in operations research & management science 211 Finanzmanagement (DE-588)4139075-1 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Finanzmanagement (DE-588)4139075-1 s Risikomanagement (DE-588)4121590-4 s b DE-604 Bensoussan, Alain 1940- (DE-588)13295947X edt Guégan, Dominique (DE-588)170934667 edt Tapiero, Charles S. (DE-588)170389804 edt Erscheint auch als Online-Ausgabe 978-3-319-07524-2 International series in operations research & management science 211 (DE-604)BV011630976 211 X:MVB text/html http://deposit.dnb.de/cgi-bin/dokserv?id=4657606&prov=M&dok_var=1&dok_ext=htm Inhaltstext Springer Fremddatenuebernahme application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027442707&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Springer Fremddatenuebernahme application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027442707&sequence=000003&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Abstract |
| spellingShingle | Future perspectives in risk models and finance International series in operations research & management science Finanzmanagement (DE-588)4139075-1 gnd Risikomanagement (DE-588)4121590-4 gnd |
| subject_GND | (DE-588)4139075-1 (DE-588)4121590-4 |
| title | Future perspectives in risk models and finance |
| title_auth | Future perspectives in risk models and finance |
| title_exact_search | Future perspectives in risk models and finance |
| title_full | Future perspectives in risk models and finance Alain Bensoussan ; Dominique Guegan ; Charles S. Tapiero (eds.) |
| title_fullStr | Future perspectives in risk models and finance Alain Bensoussan ; Dominique Guegan ; Charles S. Tapiero (eds.) |
| title_full_unstemmed | Future perspectives in risk models and finance Alain Bensoussan ; Dominique Guegan ; Charles S. Tapiero (eds.) |
| title_short | Future perspectives in risk models and finance |
| title_sort | future perspectives in risk models and finance |
| topic | Finanzmanagement (DE-588)4139075-1 gnd Risikomanagement (DE-588)4121590-4 gnd |
| topic_facet | Finanzmanagement Risikomanagement |
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