Risk Quantification and Allocation Methods for Practitioners.
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Superior document: | Atlantis Studies in Computational Finance and Financial Engineering Series |
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Place / Publishing House: | Amsterdam : : Amsterdam University Press,, 2017. ©2017. |
Year of Publication: | 2017 |
Edition: | 1st ed. |
Language: | English |
Series: | Atlantis Studies in Computational Finance and Financial Engineering Series
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Physical Description: | 1 online resource (169 pages) |
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Belles-Sampera, Jaume. Risk Quantification and Allocation Methods for Practitioners. 1st ed. Amsterdam : Amsterdam University Press, 2017. ©2017. 1 online resource (169 pages) text txt rdacontent computer c rdamedia online resource cr rdacarrier Atlantis Studies in Computational Finance and Financial Engineering Series Intro -- Preface -- Contents -- List of Figures -- List of Tables -- Part I Risk Assessment -- Preliminary concepts on quantitative risk measurement -- Risk measurement - Theory -- First definitions -- Properties for risk measures -- Risk measurement - Practice -- `Liability side' versus `asset side' perspectives -- Some misunderstandings to be avoided in practice -- Exercises -- Data on losses for risk evaluation -- An example on three dimensional data -- Basic graphical analysis of the loss severity distributions -- Quantile estimation -- Examples -- A family of distortion risk measures -- Overview on risk measures -- Distortion risk measures -- A new family of risk measures: GlueVaR -- Linear combination of risk measures -- Subadditivity -- Concavity of the distortion function -- Example of risk measurement with GlueVaR -- Exercises -- GlueVaR and other new risk measures -- Analytical closed-form expressions of GlueVaR -- Illustration: GlueVaR expression for Student t distribution -- Analytical expressions for other frequently used distributions -- The Cornish-Fisher approximation of GlueVaR -- On the relationship between GlueVaR and Tail Distortion risk measures -- On the relationship between GlueVaR and RVaR risk measures -- Example -- Exercises -- Risk measure choice -- Aggregate attitude towards risk -- Local risk attitude -- Application of risk assessment in a scenario involving catastrophic losses -- Calibration of GlueVaR parameters -- Data and Results -- GlueVaR to reflect risk attitudes -- Exercises -- Part II Capital Allocation Problems -- An overview on capital allocation problems -- Main concepts and notation -- Properties of capital allocation principles -- Review of some principles -- The gradient allocation principle -- Other capital allocation principles based on partial contributions -- The excess based allocation principle. Further reading -- Exercices -- Capital allocation based on GlueVaR -- A capital allocation framework -- The Haircut capital allocation principle -- Proportional risk capital allocation principles using GlueVaR -- Stand-alone proportional allocation principles using GlueVaR -- Proportional allocation principles based on partial contributions using GlueVaR -- An example of risk capital allocation on claim costs -- Exercices -- Capital allocation principles as compositional data -- The simplex and its vectorial and metric structure -- From capital allocation principles to compositional data -- Simplicial concepts applied to capital allocation -- The inverse of a capital allocation -- Ranking capital allocation principles -- Averaging capital allocation principles -- An illustration -- Exercises -- Appendix -- Equivalent expression for the GlueVaR distortion function -- Bijective relationship between heights and weights as parameters for GlueVaR risk measures -- Relationship between GlueVaR and Tail Distortion risk measures -- Bibliography -- Biographies of the authors -- Index. Description based on publisher supplied metadata and other sources. Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2024. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries. Electronic books. Guillén, Montserrat. Santolino, Miguel. Print version: Belles-Sampera, Jaume Risk Quantification and Allocation Methods for Practitioners Amsterdam : Amsterdam University Press,c2017 9789462984059 ProQuest (Firm) https://ebookcentral.proquest.com/lib/oeawat/detail.action?docID=6639843 Click to View |
language |
English |
format |
eBook |
author |
Belles-Sampera, Jaume. |
spellingShingle |
Belles-Sampera, Jaume. Risk Quantification and Allocation Methods for Practitioners. Atlantis Studies in Computational Finance and Financial Engineering Series Intro -- Preface -- Contents -- List of Figures -- List of Tables -- Part I Risk Assessment -- Preliminary concepts on quantitative risk measurement -- Risk measurement - Theory -- First definitions -- Properties for risk measures -- Risk measurement - Practice -- `Liability side' versus `asset side' perspectives -- Some misunderstandings to be avoided in practice -- Exercises -- Data on losses for risk evaluation -- An example on three dimensional data -- Basic graphical analysis of the loss severity distributions -- Quantile estimation -- Examples -- A family of distortion risk measures -- Overview on risk measures -- Distortion risk measures -- A new family of risk measures: GlueVaR -- Linear combination of risk measures -- Subadditivity -- Concavity of the distortion function -- Example of risk measurement with GlueVaR -- Exercises -- GlueVaR and other new risk measures -- Analytical closed-form expressions of GlueVaR -- Illustration: GlueVaR expression for Student t distribution -- Analytical expressions for other frequently used distributions -- The Cornish-Fisher approximation of GlueVaR -- On the relationship between GlueVaR and Tail Distortion risk measures -- On the relationship between GlueVaR and RVaR risk measures -- Example -- Exercises -- Risk measure choice -- Aggregate attitude towards risk -- Local risk attitude -- Application of risk assessment in a scenario involving catastrophic losses -- Calibration of GlueVaR parameters -- Data and Results -- GlueVaR to reflect risk attitudes -- Exercises -- Part II Capital Allocation Problems -- An overview on capital allocation problems -- Main concepts and notation -- Properties of capital allocation principles -- Review of some principles -- The gradient allocation principle -- Other capital allocation principles based on partial contributions -- The excess based allocation principle. Further reading -- Exercices -- Capital allocation based on GlueVaR -- A capital allocation framework -- The Haircut capital allocation principle -- Proportional risk capital allocation principles using GlueVaR -- Stand-alone proportional allocation principles using GlueVaR -- Proportional allocation principles based on partial contributions using GlueVaR -- An example of risk capital allocation on claim costs -- Exercices -- Capital allocation principles as compositional data -- The simplex and its vectorial and metric structure -- From capital allocation principles to compositional data -- Simplicial concepts applied to capital allocation -- The inverse of a capital allocation -- Ranking capital allocation principles -- Averaging capital allocation principles -- An illustration -- Exercises -- Appendix -- Equivalent expression for the GlueVaR distortion function -- Bijective relationship between heights and weights as parameters for GlueVaR risk measures -- Relationship between GlueVaR and Tail Distortion risk measures -- Bibliography -- Biographies of the authors -- Index. |
author_facet |
Belles-Sampera, Jaume. Guillén, Montserrat. Santolino, Miguel. |
author_variant |
j b s jbs |
author2 |
Guillén, Montserrat. Santolino, Miguel. |
author2_variant |
m g mg m s ms |
author2_role |
TeilnehmendeR TeilnehmendeR |
author_sort |
Belles-Sampera, Jaume. |
title |
Risk Quantification and Allocation Methods for Practitioners. |
title_full |
Risk Quantification and Allocation Methods for Practitioners. |
title_fullStr |
Risk Quantification and Allocation Methods for Practitioners. |
title_full_unstemmed |
Risk Quantification and Allocation Methods for Practitioners. |
title_auth |
Risk Quantification and Allocation Methods for Practitioners. |
title_new |
Risk Quantification and Allocation Methods for Practitioners. |
title_sort |
risk quantification and allocation methods for practitioners. |
series |
Atlantis Studies in Computational Finance and Financial Engineering Series |
series2 |
Atlantis Studies in Computational Finance and Financial Engineering Series |
publisher |
Amsterdam University Press, |
publishDate |
2017 |
physical |
1 online resource (169 pages) |
edition |
1st ed. |
contents |
Intro -- Preface -- Contents -- List of Figures -- List of Tables -- Part I Risk Assessment -- Preliminary concepts on quantitative risk measurement -- Risk measurement - Theory -- First definitions -- Properties for risk measures -- Risk measurement - Practice -- `Liability side' versus `asset side' perspectives -- Some misunderstandings to be avoided in practice -- Exercises -- Data on losses for risk evaluation -- An example on three dimensional data -- Basic graphical analysis of the loss severity distributions -- Quantile estimation -- Examples -- A family of distortion risk measures -- Overview on risk measures -- Distortion risk measures -- A new family of risk measures: GlueVaR -- Linear combination of risk measures -- Subadditivity -- Concavity of the distortion function -- Example of risk measurement with GlueVaR -- Exercises -- GlueVaR and other new risk measures -- Analytical closed-form expressions of GlueVaR -- Illustration: GlueVaR expression for Student t distribution -- Analytical expressions for other frequently used distributions -- The Cornish-Fisher approximation of GlueVaR -- On the relationship between GlueVaR and Tail Distortion risk measures -- On the relationship between GlueVaR and RVaR risk measures -- Example -- Exercises -- Risk measure choice -- Aggregate attitude towards risk -- Local risk attitude -- Application of risk assessment in a scenario involving catastrophic losses -- Calibration of GlueVaR parameters -- Data and Results -- GlueVaR to reflect risk attitudes -- Exercises -- Part II Capital Allocation Problems -- An overview on capital allocation problems -- Main concepts and notation -- Properties of capital allocation principles -- Review of some principles -- The gradient allocation principle -- Other capital allocation principles based on partial contributions -- The excess based allocation principle. Further reading -- Exercices -- Capital allocation based on GlueVaR -- A capital allocation framework -- The Haircut capital allocation principle -- Proportional risk capital allocation principles using GlueVaR -- Stand-alone proportional allocation principles using GlueVaR -- Proportional allocation principles based on partial contributions using GlueVaR -- An example of risk capital allocation on claim costs -- Exercices -- Capital allocation principles as compositional data -- The simplex and its vectorial and metric structure -- From capital allocation principles to compositional data -- Simplicial concepts applied to capital allocation -- The inverse of a capital allocation -- Ranking capital allocation principles -- Averaging capital allocation principles -- An illustration -- Exercises -- Appendix -- Equivalent expression for the GlueVaR distortion function -- Bijective relationship between heights and weights as parameters for GlueVaR risk measures -- Relationship between GlueVaR and Tail Distortion risk measures -- Bibliography -- Biographies of the authors -- Index. |
isbn |
9789048534586 9789462984059 |
callnumber-first |
H - Social Science |
callnumber-subject |
HG - Finance |
callnumber-label |
HG4515 |
callnumber-sort |
HG 44515 |
genre |
Electronic books. |
genre_facet |
Electronic books. |
url |
https://ebookcentral.proquest.com/lib/oeawat/detail.action?docID=6639843 |
illustrated |
Not Illustrated |
oclc_num |
1256821465 |
work_keys_str_mv |
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ids_txt_mv |
(MiAaPQ)5006639843 (Au-PeEL)EBL6639843 (OCoLC)1256821465 |
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hierarchy_parent_title |
Atlantis Studies in Computational Finance and Financial Engineering Series |
is_hierarchy_title |
Risk Quantification and Allocation Methods for Practitioners. |
container_title |
Atlantis Studies in Computational Finance and Financial Engineering Series |
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