Risk Measurement: From Quantitative Measures to Management Decisions

Guegan, Dominique, Hassani, Bertrand K.

  • 出版商: Springer
  • 出版日期: 2019-04-02
  • 售價: $4,120
  • 貴賓價: 9.5$3,914
  • 語言: 英文
  • 頁數: 215
  • 裝訂: Hardcover - also called cloth, retail trade, or trade
  • ISBN: 3030026795
  • ISBN-13: 9783030026790
  • 海外代購書籍(需單獨結帳)


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.


Dominique Guégan is Professor Emeritus (Applied Mathematics and Applications of Mathematics) at the Université Paris 1 Panthéon Sorbonne.

Bertrand K. Hassani is Chief Solutions Officer at Instadeep, Honorary Reader at University College London (Computer Science) and Associate Researcher at Université Paris 1 Panthéon Sorbonne.