Risk Measurement: From Quantitative Measures to Management Decisions
暫譯: 風險測量:從量化指標到管理決策

Guegan, Dominique, Hassani, Bertrand K.

  • 出版商: Springer
  • 出版日期: 2019-04-02
  • 售價: $3,880
  • 貴賓價: 9.5$3,686
  • 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)

相關主題

商品描述

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.

商品描述(中文翻譯)

本書結合理論與實務,從不同的角度分析風險測量。模型的限制取決於其所建立的框架以及特定的假設,風險管理者在評估風險時需要意識到這些限制。作者探討這些限制的影響,提出挑戰傳統假設的替代思維方式,並提供新穎的解決方案。本書從傳統的風險價值(Value at Risk, VaR)模型及其限制開始,討論預期短缺(expected shortfall)、光譜測度(spectral measure)、光譜的使用以及扭曲風險測度(distortion risk measures),並從單變量和多變量的角度進行分析。

作者簡介

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.


作者簡介(中文翻譯)

多米尼克·蓋根是巴黎第一大學(巴黎索邦大學)應用數學及數學應用的名譽教授。

伯特蘭·K·哈薩尼是Instadeep的首席解決方案官,倫敦大學學院(計算機科學)的名譽講師,以及巴黎第一大學(巴黎索邦大學)的副研究員。