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A Probability Metrics Approach to Financial Risk Measures
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Start ReadingRatings:
Rating: 2 out of 5 stars2/5 (1 rating)
Length: 508 pages4 hours
- Publisher:
- Wiley
- Released:
- Mar 10, 2011
- ISBN:
- 9781444392708
- Format:
- Book
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 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
Book Actions
Start ReadingBook Information
A Probability Metrics Approach to Financial Risk Measures
Ratings:
Rating: 2 out of 5 stars2/5 (1 rating)
Length: 508 pages4 hours
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 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
- Publisher:
- Wiley
- Released:
- Mar 10, 2011
- ISBN:
- 9781444392708
- Format:
- Book
About the author
Svetlozar (Zari) Rachev completed his PhD in 1979 from Moscow State University, and his Doctor of Science degree in 1986 from the Steklov mathematical Institute in Moscow. Currently he is Chair-Professor at the University of Karlsruhe in the School of Economics and Business Engineering. He is also Professor Emeritus at the University of California Santa Barbara in the Dept of Statistics and Applied Probability. He has published six monographs and over 230 research articles. He is a Fellow of the Institute of Mathematical Statistics, Elected member of the International statistical Institute, foreign Member of the Russian Academy of Natural Science, and hols an honorary doctorate degree from St. Petersburg Technical University. He is co-founder of Bravo Risk Management Group specializing in financial risk management software. Bravo Group was recently acquired by FinAnalytics for which he currently serves as Chief-Scientist.
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