The Measurement of Market Risk: Modelling of Risk Factors, Asset Pricing, and Approximation of Portfolio Distributions
This book is a revised version of my doctoral dissertation submitted to the University of St. Gallen in October 1999. I would like to thank Dr. oec. Marc Wildi whose careful reading of much of the text led to many improvements. All errors remain mine. Pfiiffikon SZ, Switzerland, March 2001 Pierre-Yv...
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Berlin, Heidelberg
Springer Berlin Heidelberg
2001
|
| Ausgabe: | 1st ed. 2001 |
| Schriftenreihe: | Lecture Notes in Economics and Mathematical Systems
504 |
| Schlagworte: | |
| Online-Zugang: | BTU01 Volltext |
| Zusammenfassung: | This book is a revised version of my doctoral dissertation submitted to the University of St. Gallen in October 1999. I would like to thank Dr. oec. Marc Wildi whose careful reading of much of the text led to many improvements. All errors remain mine. Pfiiffikon SZ, Switzerland, March 2001 Pierre-Yves Moix Preface to the dissertation "Education is man's going forward from cocksure ignorance to thoughtful uncertainty" Don Clark's Scrapbook quoted in Wonnacott and Wonnacott (1990). After several years of banking practice, I decided to give up some of my certitudes and considered this thesis project a good opportunity to study some of the quantitative tools necessary for the modelling of uncertainty. lowe very much to Prof. Dr. Karl Frauendorfer, the referee of my thesis, for the time he took to read the manuscript and for the numerous valuable suggestions he made. I am also very grateful to Prof. Dr. Klaus Spremann who kindly accepted to co-refer my thesis and who strengthened my inter est in finance during my study period. During my time at the Institute for Operations Research of the University of St. Gallen (lfU-HSG) I had the opportunity to participate in the project "RiskLab" which provides a very profitable link between finance practice and academics. I would especially like to thank Dr. Christophe Rouvinez from Credit Suisse for his comments and all the data he provided so generously |
| Beschreibung: | 1 Online-Ressource (XI, 276 p) |
| ISBN: | 9783642564819 |
| DOI: | 10.1007/978-3-642-56481-9 |
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| spelling | Moix, Pierre-Yves Verfasser aut The Measurement of Market Risk Modelling of Risk Factors, Asset Pricing, and Approximation of Portfolio Distributions by Pierre-Yves Moix 1st ed. 2001 Berlin, Heidelberg Springer Berlin Heidelberg 2001 1 Online-Ressource (XI, 276 p) txt rdacontent c rdamedia cr rdacarrier Lecture Notes in Economics and Mathematical Systems 504 This book is a revised version of my doctoral dissertation submitted to the University of St. Gallen in October 1999. I would like to thank Dr. oec. Marc Wildi whose careful reading of much of the text led to many improvements. All errors remain mine. Pfiiffikon SZ, Switzerland, March 2001 Pierre-Yves Moix Preface to the dissertation "Education is man's going forward from cocksure ignorance to thoughtful uncertainty" Don Clark's Scrapbook quoted in Wonnacott and Wonnacott (1990). After several years of banking practice, I decided to give up some of my certitudes and considered this thesis project a good opportunity to study some of the quantitative tools necessary for the modelling of uncertainty. lowe very much to Prof. Dr. Karl Frauendorfer, the referee of my thesis, for the time he took to read the manuscript and for the numerous valuable suggestions he made. I am also very grateful to Prof. Dr. Klaus Spremann who kindly accepted to co-refer my thesis and who strengthened my inter est in finance during my study period. During my time at the Institute for Operations Research of the University of St. Gallen (lfU-HSG) I had the opportunity to participate in the project "RiskLab" which provides a very profitable link between finance practice and academics. I would especially like to thank Dr. Christophe Rouvinez from Credit Suisse for his comments and all the data he provided so generously Operations Research/Decision Theory Finance, general Quantitative Finance Operations research Decision making Finance Economics, Mathematical Risiko (DE-588)4050129-2 gnd rswk-swf Marktrisiko (DE-588)4506224-9 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Messung (DE-588)4038852-9 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Portfolio Selection (DE-588)4046834-3 s Marktrisiko (DE-588)4506224-9 s Risikomanagement (DE-588)4121590-4 s Risiko (DE-588)4050129-2 s Messung (DE-588)4038852-9 s DE-604 Erscheint auch als Druck-Ausgabe 9783540421436 Erscheint auch als Druck-Ausgabe 9783642564826 https://doi.org/10.1007/978-3-642-56481-9 Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Moix, Pierre-Yves The Measurement of Market Risk Modelling of Risk Factors, Asset Pricing, and Approximation of Portfolio Distributions Operations Research/Decision Theory Finance, general Quantitative Finance Operations research Decision making Finance Economics, Mathematical Risiko (DE-588)4050129-2 gnd Marktrisiko (DE-588)4506224-9 gnd Risikomanagement (DE-588)4121590-4 gnd Messung (DE-588)4038852-9 gnd Portfolio Selection (DE-588)4046834-3 gnd |
| subject_GND | (DE-588)4050129-2 (DE-588)4506224-9 (DE-588)4121590-4 (DE-588)4038852-9 (DE-588)4046834-3 (DE-588)4113937-9 |
| title | The Measurement of Market Risk Modelling of Risk Factors, Asset Pricing, and Approximation of Portfolio Distributions |
| title_auth | The Measurement of Market Risk Modelling of Risk Factors, Asset Pricing, and Approximation of Portfolio Distributions |
| title_exact_search | The Measurement of Market Risk Modelling of Risk Factors, Asset Pricing, and Approximation of Portfolio Distributions |
| title_exact_search_txtP | The Measurement of Market Risk Modelling of Risk Factors, Asset Pricing, and Approximation of Portfolio Distributions |
| title_full | The Measurement of Market Risk Modelling of Risk Factors, Asset Pricing, and Approximation of Portfolio Distributions by Pierre-Yves Moix |
| title_fullStr | The Measurement of Market Risk Modelling of Risk Factors, Asset Pricing, and Approximation of Portfolio Distributions by Pierre-Yves Moix |
| title_full_unstemmed | The Measurement of Market Risk Modelling of Risk Factors, Asset Pricing, and Approximation of Portfolio Distributions by Pierre-Yves Moix |
| title_short | The Measurement of Market Risk |
| title_sort | the measurement of market risk modelling of risk factors asset pricing and approximation of portfolio distributions |
| title_sub | Modelling of Risk Factors, Asset Pricing, and Approximation of Portfolio Distributions |
| topic | Operations Research/Decision Theory Finance, general Quantitative Finance Operations research Decision making Finance Economics, Mathematical Risiko (DE-588)4050129-2 gnd Marktrisiko (DE-588)4506224-9 gnd Risikomanagement (DE-588)4121590-4 gnd Messung (DE-588)4038852-9 gnd Portfolio Selection (DE-588)4046834-3 gnd |
| topic_facet | Operations Research/Decision Theory Finance, general Quantitative Finance Operations research Decision making Finance Economics, Mathematical Risiko Marktrisiko Risikomanagement Messung Portfolio Selection Hochschulschrift |
| url | https://doi.org/10.1007/978-3-642-56481-9 |
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