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Author Belles-Sampera, Jaume, author.

Title Risk quantification and allocation methods for practitioners / Jaume Belles-Sampera, Montserrat Guillen, and Miguel Santolino.

Publication Info. Amsterdam : Atlantis Press : Amsterdam University Press, [2017]
©2017

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Description 1 online resource (xiii, 154 pages).
Series Atlantis studies in computational finance and financial engineering
Atlantis studies in computational finance and financial engineering.
Bibliography Includes bibliographical references and index.
Summary Risk Quantification and Allocation Methods for Practitioners offers a practical approach to risk management in the financial industry. This in-depth study provides quantitative tools to better describe qualitative issues, as well as clear explanations of how to transform recent theoretical developments into computational practice, and key tools for dealing with the issues of risk measurement and capital allocation.
Contents Preliminary concepts on quantitative risk measurement -- Data on losses for risk evaluation -- A family of distortion risk measures -- GlueVaR and other new risk measures -- Risk measure choice -- An overview on capital allocation problems -- Capital allocation based on GlueVaR -- Capital allocation principles as compositional data.
Note Print version record.
Subject Financial risk management.
Financial services industry -- Risk management.
Risk management -- Mathematical models.
Financial risk management. (OCoLC)fst01739657
Risk management -- Mathematical models. (OCoLC)fst01098179
BUSINESS & ECONOMICS / General.
Added Author Guillen, Montserrat, author.
Santolino, Miguel, author.
Other Form: Print version: Belles-Sampera, Jaume. Risk quantification and allocation methods for practitioners. Amsterdam : Atlantis Press : Amsterdam University Press, [2017] 9789462984059 (OCoLC)962231920
ISBN 9789048534586 (electronic book)
9048534585 (electronic book)
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