Risk measurement: from quantitative measures to management decisions
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cham
Springer
[2019]
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | xiv, 215 Seiten Diagramme |
| ISBN: | 9783030026790 |
Internformat
MARC
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| 245 | 1 | 0 | |a Risk measurement |b from quantitative measures to management decisions |c Dominique Guégan, Bertrand K. Hassani |
| 264 | 1 | |a Cham |b Springer |c [2019] | |
| 264 | 4 | |c © 2019 | |
| 300 | |a xiv, 215 Seiten |b Diagramme | ||
| 336 | |b txt |2 rdacontent | ||
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| 338 | |b nc |2 rdacarrier | ||
| 650 | 4 | |a Risk Management | |
| 650 | 4 | |a Business Finance | |
| 650 | 4 | |a Financial Engineering | |
| 650 | 4 | |a Quantitative Finance | |
| 650 | 4 | |a Statistics for Business, Management, Economics, Finance, Insurance | |
| 650 | 4 | |a Risk management | |
| 650 | 4 | |a Business enterprises-Finance | |
| 650 | 4 | |a Financial engineering | |
| 650 | 4 | |a Finance | |
| 650 | 4 | |a Statistics | |
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Datensatz im Suchindex
| _version_ | 1804180091318566912 |
|---|---|
| adam_text | Contents 1 Introduction.................................................................................................. 1.1 1968-1988: Premises............................................................................ 1.1.1 The Triggering Elements.......................................................... 1.2 Basell.................................................................................................... 1.3 Basel II................................................................................................... 1.3.1 Basel II.5................................................................................... 1.4 Baselin.................................................................................................. 1.5 Solvency II Directives.......................................................................... 1.6 Successive Criticisms............................................................................ 1.6.1 Basell........................................................................................ 1.6.2 Basel II...................................................................................... 1.6.3 Baselin..................................................................................... 1.6.4 Solvency II................................................................................ References....................................................................................................... 2 Financial Institutions: A Regulation Review Through the Risk Measurement
Prism..................................................................................... 2.1 Credit Risk............................................................................................ 2.1.1 Standardised Approach............................................................ 2.1.2 Internal Ratings-Based Approach............................................ 2.2 Credit Value Adjustment....................................................................... 2.3 Operational Risk................................................................................... 2.3.1 Basic Indicator Approach........................................................ 2.3.2 Standardised Approach............................................................ 2.3.3 The Advanced Measurement Approach(AMA)..................... 2.3.4 Standardised Measurement Approachor New Standardized Approach............................................................. 2.4 Market Risk........................................................................................... 2.4.1 The Fundamental Review of the Trading Book...................... 2.4.2 Standardised Approach............................................................. 2.4.3 Internal Models Approach........................................................ 1 1 1 4 4 6 7 11 12 12 13 13 14 15 17 17 18 19 21 22 23 23 24 25 27 27 28 29 xi
xii 3 4 Contents 2.5 IFRS9 as a Risk Regulation................................................................ 2.6 The Stress-Testing Framework............................................................ References..................................................................................................... 31 33 35 The Traditional Risk Measures.................................................................. 3.1 Measures of Dispersion........................................................................ 3.1.1 Distance Between Representative Values................................ 3.1.2 Deviation from a Central Value.............................................. 3.1.3 Mean Absolute Difference...................................................... 3.2 Risk Measurement: Portfolio TheoryPhilosophy............................... 3.2.1 Modern Portfolio Theory........................................................ 3.2.2 Efficient Frontier with No Risk-Free Asset: Risk Management in Essence................................................. 3.2.3 Risk-Free Asset and the Capital Allocation Line .................. 3.2.4 Risk Management Through MPT: Systematic Risk and Specific Risk..................................................................... 3.2.5 Capital Asset Pricing Model................................................... 3.2.6 Arbitrage Pricing Theory......................................................... 3.2.7 Downside Risk Measures......................................................... 3.2.8 Downside
Deviation................................................................ 3.2.9 Sonino Ratio............................................................................ 3.3 Quantile Risk Measure and Affiliated................................................. 3.3.1 VaR........................................................................................... 3.3.2 Expected Shortfall................................................................... 3.3.3 Tail Value at Risk..................................................................... 3.3.4 Co VaR...................................................................................... 3.3.5 Entropie Risk Measures: ptrm and EVaR............................... 3.4 Distortion Risk Measure...................................................................... References..................................................................................................... 37 37 38 39 45 46 46 Univariate and Multivariate Distributions............................................. 4.1 Univariate Distributions ...................................................................... 4.1.1 Some Recalls on the Probabilistic Characteristic of a Risk Factor........................................................................ 4.1.2 Examples of ParametricDistributions..................................... 4.1.3 Non-parametric Modelling for a Distribution........................ 4.1.4 Distorted Distributions ......................................................... 4.2 Multivariate
Approach......................................................................... 4.2.1 Definition of a Copula............................................................. 4.2.2 Properties.................................................................................. 4.2.3 Examples of Copulas............................................................... 4.2.4 Tail Dependence Concept....................................................... References..................................................................................................... 69 69 48 49 49 50 51 53 55 56 56 56 58 59 60 61 64 65 69 70 77 80 92 93 94 98 103 112
Contents 5 6 7 Intensions for Kisk Measures:Univariate and Multivariate Approaches................................................................................................. 5.1 New Risk Measure Computedlor One Risk Factor........................... 5.1.1 Introduction............................................................................ 5.1.2 The Spectral Risk Measure..................................................... 5.1.3 The Spectrum as a Risk Measure .......................................... 5.1.4 A Spatial Risk Measure ......................................................... 5.1.5 Risk Measure Associated with a Multimodal Distribution ... 5.1.6 Some Remarks....................................................................... 5.2 VaR in High Dimension ..................................................................... 5.2.1 Archimedean and Hxtreme Value Copulas in High Dimension............................................................................... 5.2.2 Lower- and Upper-Orthant VaR, and Multivariate Quantiles................................................................................ References................................................................................................... Ull 115 115 115 115 117 IIS 123 12S 131 13! 135 142 Linear Dynamics........................................................................................ 6.1 Introduction ........................................................................................ 6.2 Stochastic
Processes.......................................................................... 6.2.1 Definition of a Stochastic Process ......................................... 6.2.2 Stationarity Framework.......................................................... 6.2.3 Examples of Particular Stochastic Processes: The Related Random Walk Models....................................... 6.3 Models Used in the Classical Portfolio Theory.................................. 6.3.1 Introduction............................................................................ 6.3.2 Regression Model................................................................... 6.4 ARMA Processes ............................................................................... 6.4.1 Stationary Solution for ARMA(/ . q) Model......................... 6.4.2 Second Order Properties of an ARMA ( ր. ą ) Process.......... 6.4.3 Estimation............................................................................... 6.4.4 Model s Selection................................................................... 6.4.5 Forecasting............................................................................. References................................................................................................... 143 143 145 145 146 Risks and Non-Linear Dynamics............................................................. 7.1 GARCH Modelling............................................................................ 7.1.1 Introduction............................................................................ 7.1.2 Description of
Some Heteroskedastic Processes................... 7.1.3 Properties of Gaussian GARCI I Processes........................... 7.1.4 GARCH Models with Non-Gaussian Distributions.............. 7.1.5 Inference for GARCH Processes............................................ 7.2 Markov Switching Modelling............................................................ 7.2.1 Model Formalisation............................................................... 7.2.2 Some Properties...................................................................... 7.2.3 Simulations Studies with Gaussian Noises............................ 167 I6S 16X 169 173 ISO IS1 1S3 1S3 1S5 1S9 147 150 150 152 155 156 157 161 165 165 166
Contents 7.2.4 Simulations Studies with Non-Gaussian Noises.................... 7.2.5 Estimation Procedures.............................................................. 7.3 Dynamical VaR and Expected Shortfall Measures: Illustration......... 7.3.1 VaR and ES Measures Computed Using Parametric Models ...................................................................................... 7.3.2 The RiskMetrics Approach....................................................... 7.3.3 The GARCH Approach............................................................. 7.3.4 Markov-Switching Approach.................................................. 7.3.5 VaR and ES Computed Usingthe Empirical Histogram......... 7.3.6 VaR and ES Computed Using Copulas............................. 7.4 References on Dynamical Modelling for Financial Applications...... References....................................................................................................... 198 200 204 205 206 206 207 208 208 209 211
|
| any_adam_object | 1 |
| author | Guégan, Dominique Hassani, Bertrand |
| author_GND | (DE-588)170934667 (DE-588)1119087244 |
| author_facet | Guégan, Dominique Hassani, Bertrand |
| author_role | aut aut |
| author_sort | Guégan, Dominique |
| author_variant | d g dg b h bh |
| building | Verbundindex |
| bvnumber | BV045915614 |
| classification_rvk | QK 320 |
| ctrlnum | (OCoLC)1105602358 (DE-599)BVBBV045915614 |
| dewey-full | 658.155 |
| dewey-hundreds | 600 - Technology (Applied sciences) |
| dewey-ones | 658 - General management |
| dewey-raw | 658.155 |
| dewey-search | 658.155 |
| dewey-sort | 3658.155 |
| dewey-tens | 650 - Management and auxiliary services |
| discipline | Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV045915614 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T08:30:15Z |
| institution | BVB |
| isbn | 9783030026790 |
| language | English |
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| owner_facet | DE-355 DE-BY-UBR DE-11 |
| physical | xiv, 215 Seiten Diagramme |
| publishDate | 2019 |
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| publishDateSort | 2019 |
| publisher | Springer |
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| spelling | Guégan, Dominique Verfasser (DE-588)170934667 aut Risk measurement from quantitative measures to management decisions Dominique Guégan, Bertrand K. Hassani Cham Springer [2019] © 2019 xiv, 215 Seiten Diagramme txt rdacontent n rdamedia nc rdacarrier Risk Management Business Finance Financial Engineering Quantitative Finance Statistics for Business, Management, Economics, Finance, Insurance Risk management Business enterprises-Finance Financial engineering Finance Statistics Risikomaß (DE-588)4716345-8 gnd rswk-swf Risikomaß (DE-588)4716345-8 s 1\p DE-604 Hassani, Bertrand Verfasser (DE-588)1119087244 aut Erscheint auch als Online-Ausgabe 978-3-030-02680-6 Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=031298119&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Guégan, Dominique Hassani, Bertrand Risk measurement from quantitative measures to management decisions Risk Management Business Finance Financial Engineering Quantitative Finance Statistics for Business, Management, Economics, Finance, Insurance Risk management Business enterprises-Finance Financial engineering Finance Statistics Risikomaß (DE-588)4716345-8 gnd |
| subject_GND | (DE-588)4716345-8 |
| title | Risk measurement from quantitative measures to management decisions |
| title_auth | Risk measurement from quantitative measures to management decisions |
| title_exact_search | Risk measurement from quantitative measures to management decisions |
| title_full | Risk measurement from quantitative measures to management decisions Dominique Guégan, Bertrand K. Hassani |
| title_fullStr | Risk measurement from quantitative measures to management decisions Dominique Guégan, Bertrand K. Hassani |
| title_full_unstemmed | Risk measurement from quantitative measures to management decisions Dominique Guégan, Bertrand K. Hassani |
| title_short | Risk measurement |
| title_sort | risk measurement from quantitative measures to management decisions |
| title_sub | from quantitative measures to management decisions |
| topic | Risk Management Business Finance Financial Engineering Quantitative Finance Statistics for Business, Management, Economics, Finance, Insurance Risk management Business enterprises-Finance Financial engineering Finance Statistics Risikomaß (DE-588)4716345-8 gnd |
| topic_facet | Risk Management Business Finance Financial Engineering Quantitative Finance Statistics for Business, Management, Economics, Finance, Insurance Risk management Business enterprises-Finance Financial engineering Finance Statistics Risikomaß |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=031298119&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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