Leseprobe
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A Probability Metrics Approach to Financial Risk Measures
Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi, et al.
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Sozialwissenschaften, Recht, Wirtschaft / Volkswirtschaft
Beschreibung
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
Rezensionen
"The authors should be applauded for providing a unique and very readable account of probability metrics and the application of this specialized field to financial problems."
"This self-contained book covering the important field of probability metrics is a wonderful addition to the literature in financial economics. What makes it unique is that it presents this area at a level accessible to those without extensive prior experience-academic and practitioner alike."
Kundenbewertungen
Econometrics, Volkswirtschaftslehre, Economics, Ökonometrie