Risk Quantification and Allocation Methods for Practitioners

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

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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 developme...

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Bibliographic Details
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)
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Table of Contents:
  • 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

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