Risk Quantification and Allocation Methods for Practitioners / Jaume Belles-Sampera, Montserrat Guillén, Miguel Santolino.

• Superior document: Atlantis Studies in Computational Finance and Financial Engineering.
• VerfasserIn: Belles-Sampera, Jaume; Guillén, Montserrat; Santolino, Miguel
• TeilnehmendeR: Guillén, Montserrat; Santolino, Miguel
• Place / Publishing House: [s.l.] : : Amsterdam University Press,, 2017.
• Year of Publication: 2017
• Language: English
• Series: Atlantis Studies in Computational Finance and Financial Engineering
• Physical Description: 1 online resource (169 pages)
• Other title: Frontmatter --; Preface --; Contents --; PART I RISK ASSESSMENT --; 1 Preliminary concepts on quantitative risk measurement --; 2 Data on losses for risk evaluation --; 3 A family of distortion risk measures --; 4 GlueVaR and other new risk measures --; 5 Risk measure choice --; PART II CAPITAL ALLOCATION PROBLEMS --; 6 An overview on capital allocation problems --; 7 Capital allocation based on GlueVaR --; 8 Capital allocation principles as compositional data --; Appendix --; Bibliography --; Biographies of the authors --; Index
• ISBN: 9048534585
• Hierarchical level: Monograph
• Statement of Responsibility: Jaume Belles-Sampera, Montserrat Guillén, Miguel Santolino.

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.