ENGLISH

A Probability Metrics Approach to Financial Risk Measures

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

Book information

Publisher
Wiley
Year
2011
ISBN
9781405183697, 1405183691
Language
english
Format
PDF
Filesize
2 MB (2060758 bytes)
Edition
1
Pages
392\392
Library
Kolxo3
Time added
2012-08-21 20:00:00

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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