A Probability Metrics Approach to Financial Risk Measures

Business & Finance, Industries & Professions, Insurance
Cover of the book A Probability Metrics Approach to Financial Risk Measures by Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi, Wiley
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Author: Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi ISBN: 9781444392708
Publisher: Wiley Publication: March 10, 2011
Imprint: Wiley-Blackwell Language: English
Author: Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi
ISBN: 9781444392708
Publisher: Wiley
Publication: March 10, 2011
Imprint: Wiley-Blackwell
Language: English

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
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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.

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