ENGLISH

A Probability Metrics Approach to Financial Risk Measures

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

Book information

Publisher
John Wiley and Sons
Year
2011
ISBN
1405183691, 9781405183697
LCC
HD61 .R33 2010
Google Books ID
gil92tHIy_8C
Open Library ID
OL24479506M
Language
english
Format
PDF
Filesize
3 MB (3182762 bytes)
Edition
1
Pages
392\392
Orientation
yes
Scanned
no
Time added
2012-03-09 12:00:00

Description

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 measuresDescribes applications in finance and extends them where possiblePresents the theory of probability metrics in a more accessible form which would be appropriate for non-specialists in the fieldApplications include optimal portfolio choice, risk theory, and numerical methods in financeTopics requiring more mathematical rigor and detail are included in technical appendices to chapters

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