Téléchargez le livre : VaR Methodology for Non-Gaussian Finance

VaR Methodology for Non-Gaussian Finance

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Wiley-ISTE


Paru le : 2013-05-06

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Description

With the impact of the recent financial crises, more attention must be given to new models in finance rejecting “Black-Scholes-Samuelson” assumptions leading to what is called non-Gaussian finance. With the growing importance of Solvency II, Basel II and III regulatory rules for insurance companies and banks, value at risk (VaR) – one of the most popular risk indicator techniques plays a fundamental role in defining appropriate levels of equities. The aim of this book is to show how new VaR techniques can be built more appropriately for a crisis situation.
VaR methodology for non-Gaussian finance looks at the importance of VaR in standard international rules for banks and insurance companies; gives the first non-Gaussian extensions of VaR and applies several basic statistical theories to extend classical results of VaR techniques such as the NP approximation, the Cornish-Fisher approximation, extreme and a Pareto distribution. Several non-Gaussian models using Copula methodology, Lévy processes along with particular attention to models with jumps such as the Merton model are presented; as are the consideration of time homogeneous and non-homogeneous Markov and semi-Markov processes and for each of these models.
Pages
176 pages
Collection
n.c
Parution
2013-05-06
Marque
Wiley-ISTE
EAN papier
9781848214644
EAN PDF
9781118733905
Informations sur l'ebook
Nombre pages copiables
0
Nombre pages imprimables
176
Taille du fichier
2294 Ko
Prix
163,47 €
EAN EPUB
9781118733981
Informations sur l'ebook
Nombre pages copiables
0
Nombre pages imprimables
176
Taille du fichier
5202 Ko
Prix
163,47 €

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