Risk Measurement: From Quantitative Measures to Management Decisions

Description

This book combines theory and practice to analyze risk measurement from different points of view. The limitations of a model depend on the framework on which it has been built as well as specific assumptions, and risk managers need to be aware of these when assessing risks. The authors investigate the impact of these limitations, propose an alternative way of thinking that challenges traditional assumptions, and also provide novel solutions. Starting with the traditional Value at Risk (VaR) model and its limitations, the book discusses concepts like the expected shortfall, the spectral measure, the use of the spectrum, and the distortion risk measures from both a univariate and a multivariate perspective. Front Matter ....Pages i-xiv Introduction (Dominique Guégan, Bertrand K. Hassani)....Pages 1-15 Financial Institutions: A Regulation Review Through the Risk Measurement Prism (Dominique Guégan, Bertrand K. Hassani)....Pages 17-36 The Traditional Risk Measures (Dominique Guégan, Bertrand K. Hassani)....Pages 37-67 Univariate and Multivariate Distributions (Dominique Guégan, Bertrand K. Hassani)....Pages 69-114 Extensions for Risk Measures: Univariate and Multivariate Approaches (Dominique Guégan, Bertrand K. Hassani)....Pages 115-142 Linear Dynamics (Dominique Guégan, Bertrand K. Hassani)....Pages 143-166 Risks and Non-Linear Dynamics (Dominique Guégan, Bertrand K. Hassani)....Pages 167-215