A Probability Metrics Approach to Financial Risk Measures

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A Probability Metrics Approach to Financial Risk Measures

Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi CFA

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A Probability Metrics Approach to Financial Risk Measures relates the field of probability metrics and risk measures to one another and applies them to finance for the first time.

Helps to answer the question: which risk measure is best for a given problem?
Finds new relations between existing classes of risk measures
Describes applications in finance and extends them where possible
Presents the theory of probability metrics in a more accessible form which would be appropriate for non-specialists in the field
Applications include optimal portfolio choice, risk theory, and numerical methods in finance
Topics requiring more mathematical rigor and detail are included in technical appendices to chapters

种类:

Business & Economics

年:

2011

出版:

1

出版社:

Wiley-Blackwell

语言:

english

页:

392

ISBN 10:

1405183691

ISBN 13:

9781405183697

文件:

PDF, 3.88 MB

IPFS:

,

english, 2011

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