Comparative Analyses of Expected Shortfall and Value-at-risk (3)
Author : Yasuhiro Yamai
Publisher :
Page : 86 pages
File Size : 10,95 MB
Release : 2002
Category : Financial futures
ISBN :
Comparative Analyses of Expected Shortfall and VaR
Author : Yasuhiro Yamai
Publisher :
Page : 56 pages
File Size : 14,18 MB
Release : 2001
Category : Financial futures
ISBN :
Book Description
Expected shortfall is compared with Value-at-Risk (VaR) in three aspects: estimation errors, decomposition into risk factors, and optimization. Advantages and disadvantages of expected shortfall over VaR are shown, and that expected shortfall is easily decomposed (needing a larger size of sample than VaR for the same level of accuracy) and optimized, while VaR is not.
Hidden Markov Models in Finance
Author : Rogemar S. Mamon
Publisher : Springer Science & Business Media
Page : 203 pages
File Size : 24,23 MB
Release : 2007-04-26
Category : Business & Economics
ISBN : 0387711635
Book Description
A number of methodologies have been employed to provide decision making solutions globalized markets. Hidden Markov Models in Finance offers the first systematic application of these methods to specialized financial problems: option pricing, credit risk modeling, volatility estimation and more. The book provides tools for sorting through turbulence, volatility, emotion, chaotic events – the random "noise" of financial markets – to analyze core components.
Emerging Trends in Smart Banking: Risk Management Under Basel II and III
Author : Li, Siqiwen
Publisher : IGI Global
Page : 302 pages
File Size : 14,64 MB
Release : 2014-04-30
Category : Business & Economics
ISBN : 1466659513
Book Description
The 2008 global financial crisis has illustrated the need for tighter regulations and management of banking institutions, approaching banking and money lending in a more intelligent, directed fashion. Emerging Trends in Smart Banking: Risk Management Under Basel II and III discusses some of the latest developments in banking regulations and safeguards to ensure the mitigation of risk and economic collapse. This book is a critical reference in the exploration of business frameworks to identify areas of strength and potential weaknesses, insight that will be of use to business leaders, professionals in the banking industry, and researchers and scholars in all aspects of business and accounting.
Mathematical and Statistical Methods for Actuarial Sciences and Finance
Author : Marco Corazza
Publisher : Springer Nature
Page : 456 pages
File Size : 13,41 MB
Release : 2022-04-11
Category : Mathematics
ISBN : 3030996387
Book Description
The cooperation and contamination among mathematicians, statisticians and econometricians working in actuarial sciences and finance are improving the research on these topics and producing numerous meaningful scientific results. This volume presents new ideas in the form of four- to six-page papers presented at the International Conference MAF2022 – Mathematical and Statistical Methods for Actuarial Sciences and Finance. Due to the COVID-19 pandemic, the conference, to which this book is related, was organized in a hybrid form by the Department of Economics and Statistics of the University of Salerno, with the partnership of the Department of Economics of Cà Foscari University of Venice, and was held from 20 to 22 April 2022 in Salerno (Italy) MAF2022 is the tenth edition of an international biennial series of scientific meetings, started in 2004 on the initiative of the Department of Economics and Statistics of the University of Salerno. It has established itself internationally with gradual and continuous growth and scientific enrichment. The effectiveness of this idea has been proven by the wide participation in all the editions, which have been held in Salerno (2004, 2006, 2010, 2014, 2022), Venice (2008, 2012 and 2020 online), Paris (2016) and Madrid (2018). This book covers a wide variety of subjects: artificial intelligence and machine learning in finance and insurance, behavioural finance, credit risk methods and models, dynamic optimization in finance, financial data analytics, forecasting dynamics of actuarial and financial phenomena, foreign exchange markets, insurance models, interest rate models, longevity risk, models and methods for financial time series analysis, multivariate techniques for financial markets analysis, pension systems, portfolio selection and management, real-world finance, risk analysis and management, trading systems, and others. This volume is a valuable resource for academics, PhD students, practitioners, professionals and researchers. Moreover, it is also of interest to other readers with quantitative background knowledge.
On the Validity of Value-at-risk
Author : Yasuhiro Yamai
Publisher :
Page : 46 pages
File Size : 13,24 MB
Release : 2001
Category : Investment analysis
ISBN :
Book Description
Investment Risk Management
Author : Harold Kent Baker
Publisher : Oxford University Press, USA
Page : 709 pages
File Size : 41,23 MB
Release : 2015
Category : Business & Economics
ISBN : 0199331960
Book Description
Investment Risk Management provides an overview of developments in risk management and a synthesis of research on the subject. The chapters examine ways to alter exposures through measuring and managing risk exposures and provide an understanding of the latest strategies and trends within risk management.
Fat-Tailed and Skewed Asset Return Distributions
Author : Svetlozar T. Rachev
Publisher : John Wiley & Sons
Page : 385 pages
File Size : 45,32 MB
Release : 2005-09-15
Category : Business & Economics
ISBN : 0471758906
Book Description
While mainstream financial theories and applications assume that asset returns are normally distributed, overwhelming empirical evidence shows otherwise. Yet many professionals don’t appreciate the highly statistical models that take this empirical evidence into consideration. Fat-Tailed and Skewed Asset Return Distributions examines this dilemma and offers readers a less technical look at how portfolio selection, risk management, and option pricing modeling should and can be undertaken when the assumption of a non-normal distribution for asset returns is violated. Topics covered in this comprehensive book include an extensive discussion of probability distributions, estimating probability distributions, portfolio selection, alternative risk measures, and much more. Fat-Tailed and Skewed Asset Return Distributions provides a bridge between the highly technical theory of statistical distributional analysis, stochastic processes, and econometrics of financial returns and real-world risk management and investments.
Risk Analysis for the Digital Age
Author : Anton Gerunov
Publisher : Springer Nature
Page : 252 pages
File Size : 12,99 MB
Release : 2022-11-16
Category : Technology & Engineering
ISBN : 303118100X
Book Description
This book presents a foray into the fascinating process of risk management, beginning from classical methods and approaches to understanding risk all the way into cutting-age thinking. Risk management by necessity must lie at the heart of governing our ever more complex digital societies. New phenomena and activities necessitate a new look at how individuals, firms, and states manage the uncertainty they must operate in. Initial chapters provide an introduction to traditional methods and show how they can be built upon to better understand the workings of the modern economy. Later chapters review digital activities and assets like cryptocurrencies showing how such emergent risks can be conceptualized better. Network theory figures prominently and the book demonstrates how it can be used to gauge the risk in the digital sectors of the economy. Predicting the unpredictable black swan events is also discussed in view of a wider adoption of economic simulations. The journey concludes by looking at how individuals perceive risk and make decisions as they operate in a virtual social network. This book interests the academic audience, but it also features insights and novel research results that are relevant for practitioners and policymakers.
Handbook of Research Methods and Applications in Empirical Finance
Author : Adrian R. Bell
Publisher : Edward Elgar Publishing
Page : 494 pages
File Size : 11,94 MB
Release : 2013-01-01
Category : Business & Economics
ISBN : 0857936093
Book Description
This impressive Handbook presents the quantitative techniques that are commonly employed in empirical finance research together with real-world, state-of-the-art research examples. Written by international experts in their field, the unique approach describes a question or issue in finance and then demonstrates the methodologies that may be used to solve it. All of the techniques described are used to address real problems rather than being presented for their own sake, and the areas of application have been carefully selected so that a broad range of methodological approaches can be covered. The Handbook is aimed primarily at doctoral researchers and academics who are engaged in conducting original empirical research in finance. In addition, the book will be useful to researchers in the financial markets and also advanced Masters-level students who are writing dissertations.
